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Dimitris,
More remarkable ideas! Testing against ^NDX with:
I=5
Z=10
k0=250
K1=20
K2=30
Gives remarkable results (and just a little curve fitting.....)
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> Steve,
> The
> http://groups.yahoo.com/group/amibroker/message/43353
> code may help your investigation for the recent years
> DT
> --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx>
wrote:
> > Dimitris,
> >
> > You raise an interesting question. Just how long is a sensible
> > backtest? Personally, I see no point in backtesting to 1960 let
> > alone 1930. The computer was hardly invented then, never mind
the
> > internet.
> > What I do like to see is a period of rising prices and a period
of
> > falling prices. I want to include the most recent data, so that
> > means taking 2000-2003 as my falling period. The obvious choice
for
> > the rising period is now 1997-2000, the most recent relevant
period.
> > Hence my test period is usually 1/1/1997 to yesterday.
> >
> > I often think it would be beneficial if we all reported results
for
> > the same bunch of criteria, such as:
> >
> > Date: 1/1/1997 - present
> > Initial equity: $10,000
> > Compounded: Yes (or No?)
> > Commission: 0.5%
> >
> > Etc. etc.
> >
> > Of course, I don't expect my preferences to be selected, but a
> > discussion about a suitable set might be interesting.
> >
> > After such a discussion, I would happily share my most
interesting
> > backtests (methods & results). Would anyone else?
> >
> > Steve
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > <TSOKAKIS@xxxx> wrote:
> > > Steve,
> > > I understand your comments, but there is a more tough
question:
> If
> > we
> > > make a 10 or 20-year study and it is consistent to some basic
> > > principles of the indicator and it is , hopefully, profitable,
> > shall
> > > we expect a repetition of the 20-year scenario ?
> > > The 20-year study may be VERY attractive to force us think in
> this
> > > way. Is it correct? I really doubt.
> > > Anyway, i will temporarily forget these hesitations and give
some
> > > long-term descriptions, just for the dialogue. Give me some
more
> > time
> > > for the examples.
> > > DT
> > > > 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
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxx
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