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Steve,
thank you for your comments.
The good news is that I found some time to finalise DEMAcross
prediction. Soon on this list, if you still stay tuned...
Dimitris [on the road] Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> Group,
>
> On July 16th, I posted a simple indicator that might be the basis
for developing a robust approach to the Dow Jones Futures market.
Mostly, the post was criticized for not adequately backtesting the
approach and sharing OOS results (going back to whenever).
>
> I posted the chart in an effort to stimulate some research
synergy. Thanks to all who have contacted me privately. The
discussions behind-the-curtain have been very fruitful.
>
> Certainly, all the trades subsequent to July 16th were OOS (BFD).
Since that date, the "system/approach/idea" has posted eleven
straight winners and grossed 1124 positive points. Please keep in
mind: this is "open-coded" and in it's rawest form.
>
> A few research partners and I have modified (slightly) the rules.
The most robust symmetrical triggers seem to be 88 and 12. We have
added a qualifier that prohibits us from taking signals when the ROC
(defined as: C-Ref(C,-13)) hits extremes above 200-something and -200-
something.
>
> The original chart and today's new chart are attached for
comparison purposes. For trades put on since the beginning of July,
this hypothetical massage of the numbers is 17-0. All I can say is
that I like the average win to average loss ratio.
>
> A note to DT: I did extensive OOS and as I suggested in earlier
posts, results improve by waiting an additional period. You might
find it interesting: a delay of 2, 3, or 4 periods increased the
returns (as opposed to initiating trades the period after the
signal). Yuki, one of the brighter bulbs burning on the Pacific Rim,
recognized that immediately. DT, I admire your work on early entry
(to reduce slippage) and agree that it gives you an edge when
practicing trend-following and break-out systems, but as I have
stated: many sensitive, momentum oscillators, trigger trades in
anticipation of a move. Waiting to put a trade "on", after a signal
triggers, takes discipline. Most traders have been conditioned to
believe that "sooner is better". This is not always the case with
some "quick" indicators...especially if the rules take advantage of
low trigger thresholds.
>
> Many times, researchers have trouble thinking outside the box.
Nothing inhibits system development like a closed mind (or practicing
what's read in a book and believing that you must conduct or
structure your research in a defined way).
>
> To paraphrase Joe Namath: "I can't wait until tomorrow, because I
get luckier everyday". Luck = an open mind and hard work.
Improvements and bright ideas are always welcome.
>
> Take care,
>
> Steve
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