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<FONT face=Tahoma color=#0000ff
size=2>John,
<FONT face=Tahoma color=#0000ff
size=2>
I
make any progress with the SMR I'd be very interested in it.
<FONT face=Tahoma color=#0000ff
size=2>
<FONT face=Tahoma color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: John
<jea55129@xxxxxxxxx> [mailto:jea55129@xxxxxxxxx] Sent:
Sunday, March 02, 2003 1:25 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Automated
Backtesting Walkforward ValidationLeo,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> > >Send
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