|
PureBytes Links
Trading Reference Links
|
Steve,
you are quite right. I tried the D_Ratio back to 1960 and it did
about four trades before 1997. More importantly, it is it is unikely
to trade well going forward.
<FONT face=Arial color=#0000ff
size=2>
It
doesn't take much, however, to make the D-Ratio thingie a bit more
dynamic. I've tried about a dozen variations that work quite
nicely. The easiest to comprehend simply takes a 100-day (or
so) moving average of DRatio and sets D1 and D2 to multiples of that
average. Why would anyone hard code D1 and D2 to such arbitrary
values based on such a short lookback? Making the whole
process dynamic causes it to trade fairly consistently, month after
month going back to 1960 with reasonable returns. Plus the bonus of
a better chance of working into the future.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Steve Almond
[mailto:steve2@xxxxxxxxxxxxxxxxxxxx]Sent: Thursday, June 26, 2003
5:19 AMTo: AmiSubject: [amibroker] Re: ^VLIC : The use
of the D_ratio
Dimitris,
We have visited this area before. The D-Ratio indicator falls apart once
taken out of the last few years of bearish conditions. See the attached
chart where D_Ratio for ^VLIC took us out of the ^NDX in mid
November 1998 at ~1460, and kept us on the sidelines as the ^NDX went to
~4700.
I know you don't keep data back before 2000, but you should in my opinion
- unless you are sure that the coming year will be like 2000-2002 and not
like 1997-1999! Even if you do not backtest on 1997-1999 data, you should be
prepared to observe the behaviour of your excellent indicators during that
period.
SteveSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
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 the Yahoo! Terms of Service.
|