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Hi Ed,
Tuesday, May 18, 2004, 7:19:16 PM, you wrote:
e> I hope some one else tried to code this method of Welles Wilder.
I read the book years ago, ran the system on a paper trade basis, and
decided I would never run it with real money. The draw downs are
just too large for me, despite my affection for WW.
With respect to the double signals on one day, you need to find a way
around that. Aside from the fact that the back tester doesn't know
which trade comes first, this is really hurtful draw downs take
place, the kind of minuses that simply destroy confidence and lead to
throwing in the towel.
I will tell you that I use a somewhat similar system now that I
developed myself. Initially, it too had the possibility of double
signals (in opposite directions on the same day). But I found if I
coded the possibility out of existence (set a condition that allowed
only one way or the other on any particular day) I could live just
fine with the results.
Once you get code for this, run some explorations looking for double
signals. If there are more than just a very, very few, you need to
code in something that prevents this, IMO.
I never coded this into AB however. I'm not sure there was an AB
then, and I would have massacred the code anyway. ^^_^^
Yuki
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