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Steve,
In your graph, after a long trade back in the summer ´99 the ^VLIC
D_ratio takes you out of the market for a long period.
Is it bad?
I don´t suppose you will trade on one indicator only.
The interesting period is when an indicator gives frequent signals
and if they match to the main market behavior.
D_ratio, by design, expresses the intraday volatility. Its values
will be higher when the uncetrainty is the first factor of the market.
The market was safe enough in ´99 days : everything was going up, sky
was the limit. The prolonged uptrend was not a result of strong
buyers/sellers fights. For such a period D_ratio will be low for long
time and the same for bullish/bearish environment.
I use to take the advantages of each indicator, especially the period
they are very active. I do not expect full-time service for the next
20 years, it doesn´t match to my way of thinking perhaps.
Besides that, there is another, more risky method, to magnify the
oscillation amplitude for these "flat" periods. Although I have
interesting studies on the subject, I still hesitate to post anything.
May be some other time...
Thank you for your comments, I hope you widen your AFL horizon.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> 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.
>
> Steve
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