PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Ara,
<FONT face=Arial color=#0000ff
size=2>
I
should tell you that I have never found moving averages to work well, over time,
except for market timing using something like a 5/15 EMA crossover. Every
attempt that I've made to find one moving average across a basket of stocks has
not been profitable. Dynamically adjusting the lookback periods,
however, does improve things considerably. For the record, I would NEVER
use different lookback periods for each stock.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ara Kaloustian
[mailto:ara1@xxxxxxxxxx]Sent: Friday, February 06, 2004 3:34
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Determining cycles
Chuck, glad to hear you've tried
this....
I tried - a while ago - to use ROC as a measuring
tool to set stochastic cycles ... it improved performance but was rather crude
and did not have the time to persue it at the time.
Hope we get a lot of responses see what tools are
best for measuring cycle length.
... You're right acout MA Crossovers being th
obvious place to start optimizing
Ara
----- Original Message -----
<BLOCKQUOTE dir=ltr
>
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, February 06, 2004 12:03
PM
Subject: RE: [amibroker] Determining
cycles
<FONT face=Arial color=#0000ff
size=2>Ara,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I've used various tools for measuring cycle length and then used the
calculated cycle length to determine which parameter set to use in a
dynamically adjusted system. The obvious system that comes to
mind when considering this approach is the basic moving average
crossover. Since moving averages (reputedly) work best when
using 1/2 the cycle length, the methodology is pretty straight
forward. You have prompted me to resurrect my research in this
area to be used for my market timing tools.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ara Kaloustian
[mailto:ara1@xxxxxxxxxx]Sent: Friday, February 06, 2004 2:44
PMTo: Ami-MainSubject: [amibroker] Determining
cycles
Has anyone used cycle length determined
dynamically and used to set parameters for each run?
I considered using Fast Fourier Transform...
am open to any other suggestions
If it works one can produce constantly
optimzed system ... geting close to the"holly grail"
Thanks
AraSend BUG REPORTS
to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Sponsor
ADVERTISEMENT
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|