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John,
Hope I didn't give the impression that Hugh Clark's methodology is
better/worse than Pardo's and Stridsman's. I cannot do that since I
didn't read the latter.
In Clark's book he uses what he calls the 'Smart Momentum Ratio'.
It's one way to evaluate the performance of a momentum indicator.
The SMR = (Sharpe Ratio)/(max DD * deviation from straight line)
(I don't have the SMR in AFL yet since I'm just beginning on this)
He also advocates the use of 'optimised momentum indicators' using a
similar methodology as is available from Herman van den Bergen 3D
Exel chart. The indicators must continually be adapted to the
current market conditions.
Hope this helps
Regards
Leo
--- In amibroker@xxxxxxxxxxxxxxx, "John <jea55129@xxxx>"
<jea55129@xxxx> wrote:
> Leo,
>
> Have you read this book? If so can you give us some information on
> why his methods of backtesting/optimizing are better than Pardo's
and
> Stridsman's?
>
> Thanks,
>
> John
>
> --- In amibroker@xxxxxxxxxxxxxxx, "leo_amelc
> <leo.timmermans.lt@xxxx>" <leo.timmermans.lt@xxxx> wrote:
> > Hello,
> >
> > Another good book concerning the topic was recommended by S.
> Karnish
> > some months ago.
> > 'Smart Momentum : The Future of Predictive Analysis in the
> Financial
> > Markets' by Hugh Clark
> >
> > Regards
> > Leo
> >
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