|
PureBytes Links
Trading Reference Links
|
Hi Fred,
just a question to your analysis:
which of the 5 results have you used in the analysis?
Which of them is more realistic; ie. the difference among
them being the number of positions it each time opens (1 to 5
different securities). I personally prefer 2, although 1 gives
in most cases much more, but IMHO maybe too risky putting
all money on one stock only. The other extreme is of course
that the more positions the more are the costs (commission etc.).
Thx
UM
----- Original Message -----
From: "Fred Tonetti" <ftonetti@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, May 01, 2003 4:26 AM
Subject: [amibroker] RE: UM_SysLog.zip
> UM,
>
> Initial evaluation of L1-S4 Equity Curve ...
>
> This system looks more like it ... Although the DD's are still high
> (16.5%) for my personal taste there are undoubtedly traders who can live
> with this and the flat to down periods in equity are significantly
> shorter. The equity curve although a little choppy is fairly close to a
> straight line on a log scale.
>
> I think if I were you I would take the same algorithms you are using and
> back test from mid '98 to this tests beginning date and see what your
> equity curve and dd's look like. The world was a different place pre
> 9/11 and different yet pre 3/2000. The longer the period of time you
> can back test on especially if it's out of sample the better. If your
> methodology flies from 98 forward then I think you are probably on the
> right track
>
> Fred
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/O10svD/Me7FAA/uetFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|