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Joe: LOL (as in Lots of Luck). I worked with it a lot in the past and
attempted to reduce drawdowns (the CMOx stuff is usually early in both
the buy and sell). Not a lot worked in terms of return, but dd can be
reduced -- one approach is moving averages of the CMOx and looking for
crosses of the average AND the trigger level---not easy because they
occur on different bars usually.
However, that said, I do not want to imply it cannot be improved---there
are countless other ways and perhaps someone can find a way to make ma
crosses work in conjuction with trigger levels.
Ken
-----Original Message-----
From: Joe [mailto:run_for_your_life2003@xxxxxxxxx]
Sent: Monday, November 03, 2003 9:05 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Robustness Challenge
My suggestion would be to improve Steve's example of the CMO5 since
the thought process has mostly been done and improve it so it gives
better signals.
--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxxx> wrote:
> OK, makes sense, will get 'em out as soon as I can, in the next
few days.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> > Mark,
> >
> > Each of your posts is going to generate lots of discussion and
> > learning. Keep up the stimulating work.
> >
> > As for a group project, I agree with Fred that we need to see
and
> > discuss all 9 robust criteria first.
> >
> > b
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