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Dave: thanks for the comments.
I am in my trial VV and am lurking mostly
on the same sites where you post.
I have bitten my tongue with the strategy
talk that is posted where everyone seems to go ga-ga over high percent returns
over the last $B!D(B. er $B!D(B.6 months$B!D(Band some even test back into
2002!!!! No mention of drawdowns, little mention of compound annual
return, and much of it handled via very complex Excel worksheets, rather than
something like AB.
As I am trying to test some of these VV
stock selections, I need to see how and if it is possible to test back several
years, at least to 1998. I know I can buy back data, but the backtesting
system with VV (which is what you need to use in order to test their
parameters) is terrible and a backtest from 1998 would surely put me to sleep.
Ken
-----Original Message-----
From: Dave Merrill
[mailto:dmerrill@xxxxxxx]
Sent: Tuesday, September 30, 2003
8:57 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: Two
Days after the Bullish Inflection
<span
>try any index,
stock, mutual fund, VIX (inverted), anything. the most profitable trading
vehicles aren't necessarily the easiest to generate good signals from.
<span
>for example, the
typical VectorVest model is to use some signal to decide whether to go long or
short, then use one of the many built-in and custom stock selection strategies
to pick stocks to trade. VV is quite good for pick strategies, given good
timing, but there's *endless* discussion and exploration going on about
profitable ways to time the market as a whole. in fact, that search is what led
me to AB.
<span
>you do need to
have confidence that there's good correlation, not just backtest coincidence,
between what you're trading and where you're getting your signals. one way to
do that that I and others have explored some is by doing exactly as you
describe. another variation is to trade only Russell 2000 stocks using a
RUT-based signal, etc.
<span
>this is the great
thing about AB -- have an idea, build it, test it, and draw your own
conclusions. no black box mystery system, no market gurus, no newsletters or
talking heads to follow, just your own hard thinking, and lots of testing.
<span
>dave
Something to think about: what about the watchlist average in
place of<span
>
the NDX index you used, then run it against the
watchlist??
Ken
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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