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Just one note : This equity improvement is good for slow systems
[less than 10 trades per year]. For medium or fast systems you have
many expenses due to exit/reentry commissions.
It is also my personal advice : If the equity line of your favorite
system falls below its 30/40 day MA, it is better to stay out. The
system looks good for you, promissing perhaps, but, you are going to
pay some money for this preference !!
Now, when you check a new system, take a look to the percentage of
the time your Equity was below its MA. It is expressed as
tb=100*cum(Equity()<MA(Equity(),30))/cum(1);
If it is >50%, forget the system and move quickly to the next step.
Between 30% and 50% there are some slight chances to win, if you
apply with discipline the exit rules [we all know this is the most
difficult part, we usually want to stay one more day...]
For tb<30%, you are in front of an interesting trading idea and you
have reasons to make further investigation. When we are below our
Equity MA, we usually make some small additional mistakes. It would
be better to avoid them ASAP...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> Jim,
>
> I found a post related to your topic.
>
> Message # 21807.....
>
>
> ---
> Outgoing mail is certified Virus Free.
> Checked by AVG anti-virus system (http://www.grisoft.com).
> Version: 6.0.511 / Virus Database: 308 - Release Date: 8/18/2003
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