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<SPAN
class=033543211-02102003>yuki, what you're saying would seem to hold true for
pretty much any trend-following indicator, what alternatives do you see as
profitable in the long run?
<SPAN
class=033543211-02102003>
<SPAN
class=033543211-02102003>dave
<BLOCKQUOTE
>Hi
J,Thursday, October 2, 2003, 7:18:49 AM, you wrote:e> yes
it makes sense. I used a ema that worked well but their neare> values
did not....and when I backtested it with new data thee> results were
not good.. I always use half of the historical datae> to adjust system
(parameters, risk managemnt, etc)..Once I finishe> (before money
management) I ran a backtest and see how would havee> done in the
"future" (with the other 50% percent of historicale> data). Also I
backtest contracts seprately ...in this way you aree> sampling data and
seeing if returns are consistent...another waye> would be monthy
testings.e> BTW, I am still looking for a robust system with emas
cross....How?e> 1) filter noise - waveletse> 2) adaptive
parameters (voli adjusted, pattern adjusted, etc)e> 3) neural
networks?e> Any comments?I have serious doubts that it can
be done successfully over the longterm (MA crossover systems). It's
generally accepted that marketstrend less often than they chop. With any
kind of MA crossover,you're going to suffer some amount of lag. When
you do catch atrending period, you may outperform for some period of
time. Buteventually the chop will catch up to you I suspect.
Moreover, yourtrend needs to be so clean that you don't get taken out of
it on whatis simply a correction. Set your MAs (or EMAs, or whatever)
tootightly, and welcome to 'Whipsaw World'. Set them too
loosely(filtering "wavelets, which in my mind can only be defined after
thefact), and you'll get taken out at the bottom of corrections and
lotsof other cycles, and put back in just as the cycle is ready to
rollover on you again. I have never seen a MA crossover that
worksconsistently over the long run. In the short run, and granted
theshort run can persist for some time, they can seem to be great.
Butthen comes payback time.It all boils down to one question: Can
you make enough during "clean"trending periods to pay for the high cost of
chop? Somebody may havefigured out a way to do that, and I can do it quite
well over shortand selected periods of time. But I cannot do it over
the long termwith MA crossovers, and my experience is that the chop will
come, andit will wipe out the gains from the trends.The age-old
dilemma: The longer the MAs, the less noise, but theharder the lag
is on your account. The shorter the MAs, lag isn't aproblem, but the
noise is hard on your account.Yuki
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