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Chuck,
this is exactly the proper use : Arrange the basic idea to fit your
needs [for the past] and your perspectives [for the future].
Amibroker gives so many functions for this purpose.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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.
>
> 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.
> -----Original Message-----
> From: Steve Almond [mailto:steve2@x...]
> Sent: Thursday, June 26, 2003 5:19 AM
> To: Ami
> Subject: [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.
>
> Steve
>
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