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Jason,
I thought that I had provided enough information for anyone interested to
experiment. Try these changes:
<FONT face=Arial color=#0000ff
size=2>
DRatio
= 1000*(High-Low)/(High+Low);
<FONT face=Arial color=#0000ff
size=2>AvgRatio = MA(DRatio,Lookback);
D2 =
AvgRatio*Mplr1;
D2 =
AvgRatio * Mplr2;
<FONT face=Arial color=#0000ff
size=2>
I'll
leave you to find values for Lookback, Mplr1 and Mplr2 that suit your trading
style. I would suggest that values between one and three may be
of interest.
<FONT face=Arial color=#0000ff
size=2>
The
AFL above translates to this English statement that I did post in my earlier
email:
<FONT face=Arial color=#0000ff
size=2>
"The
easiest to comprehend method of making the system more adaptable simply takes a
100-day (or so) moving average of DRatio and sets D1 and D2 to multiples of that
average."
<FONT face=Arial color=#0000ff
size=2>
This
simple method isn't necessarily the best. IMO, however, letting the
market dictate values for D1 and D2 dramatically outperforms any constant values
that you care to use.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxx]Sent: Thursday, June 26, 2003 9:03
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: ^VLIC : The use of the D_ratio (for Steve)
<SPAN
class=420170113-26062003>Chuck,
<SPAN
class=420170113-26062003>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)
<FONT face=Arial color=#0000ff
size=2>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
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