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Leo,
Thanks for the response. What I was looking for was a reason to spend
another $85 at Amazon. I read a review that stated the book was
targeted more toward backtesting in Excel. I'll probably save my
money. I'll play around with your SMR and see what I come up with.
Thanks,
John
--- In amibroker@xxxxxxxxxxxxxxx, "leo_amelc
<leo.timmermans.lt@xxxx>" <leo.timmermans.lt@xxxx> wrote:
> 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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