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Sorry,
got it. You stated L1-S1, L1-S4 etc. This answers my question.
Thx
UM
----- Original Message -----
From: <uenal.mutlu@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, May 01, 2003 10:12 AM
Subject: Re: [amibroker] RE: UM_SysLog.zip
> 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
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