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John,
Indeed, Clark's book(let) is full of Exel code. Indicators in Exel
while we have it all in AB?! Looks indeed a bit old fashionned (or
independent ??)
Be also interested in the AFL version of the SMR
Regards
Leo
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> Sure looks like English is a third language for me..
>
> I meant it to read : IF YOU make....
>
> d
>
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Sunday, March 02, 2003 1:51 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Automated Backtesting Walkforward
> Validation
>
>
> John,
>
> I make any progress with the SMR I'd be very interested in it.
>
> d
>
> -----Original Message-----
> From: John <jea55129@xxxx> [mailto:jea55129@x...]
> Sent: Sunday, March 02, 2003 1:25 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Automated Backtesting Walkforward
Validation
>
>
> 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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