RE: [amibroker] Re: ^VLIC : The use of the D_ratio (for Steve)

["Jayson" <jcasavant@xxxxxxxxxxx>]

<SPAN 
class=420170113-26062003>Chuck,
since 
DT was kind enough to post his effort perhaps you would be kind enough to post 
the best of your dozen variations that work quite nicely??
 
Regards, 
Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Chuck Rademacher 
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Thursday, June 26, 2003 
5:50 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
[amibroker] Re: ^VLIC : The use of the D_ratio (for Steve)
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 color=#0000ff face=Arial 
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 
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