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Thank you Dimitris for your message #49581 in response to the
question I raised in #49576. I was hoping that this would achieve the
objective but the results I am getting are puzzling.
Taking the year 1995 in isolation, if I optimize for k in the
following code the result for COMPQ is 193 and the gain (short/long)
for the year is 41%.
k = Optimize("k",100,1,200,1);
Buy = ROC(MA(C,K),1)>0;
Sell = ROC(MA(C,K),1)<0;
Buy = ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short= Sell;Cover=Buy;
Short= ExRem(Short,Cover);Cover=ExRem(Cover,Short);
When I run the exploration on COMPQ in your #49581 for year 1995 I
get a kpass of 17. Plugging this into the above trading rules
produces a loss of 11.24%. Am I wrong to expect the same 192?
Either my expectations are unrealistic (not unusual for me), or I am
missing the point in your suggested solution. Could you help further?
Keith
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