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Steve and Jayson,
The two parallel lines D1 and D2 are the closest approximation of the
natural limits of the D1, D2 curves.
They are presented for the simplicity of the description.
My purpose is not to give a copy-paste trading system but a method to
make your own investigation.
For longer time periods the approach is the same, if you see the more
general D1, D2 curves. I have already posted an example and I will
give further details ASAP.
Thank you for the interesting comments.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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
> -----Original Message-----
> From: Chuck Rademacher [mailto:chuck_rademacher@x...]
> Sent: Thursday, June 26, 2003 5:50 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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.
>
> 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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