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Steve,
You may replace the trading system of the example with your own and
see the performance per period.
Perhaps the 2-year interval is big for some other systems, but for
D_ratio is was almost necessary.
As for the D_ratio, the main principle is that for longer periods I
use moving D1, D2 instead of fixed levels.
Searching from 1990 till now was quite interesting for various N100
stocks. D_ratio was definitely better than B&H even for the non-
attractive cases. If you wonder for the reason, the answer is
simple:D_ratio have had a good "contact" with profits the last
[bearish] 3 years. This is the tough period for many systems. This is
the main reason I try to concentrate to this environment.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx> wrote:
> 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
> > > > >
> > > > >
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