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<SPAN
class=031482321-07022004>Chuck, just out of curiosity, why do you say you'd
NEVER use different periods for each stock? Is your concern there with
overfitting? Something else?
<SPAN
class=031482321-07022004>
<SPAN
class=031482321-07022004>Dave
<BLOCKQUOTE dir=ltr
>
<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<SPAN
class=031482321-07022004><FONT face="Courier New"
color=#0000ff>
<SPAN
class=031482321-07022004>
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
<FONT face=Arial
size=2>Ara
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