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Hi Phsst,
Sunday, January 16, 2005, 2:11:11 PM, you wrote:
P> Hi Graham,
P> I don't subscribe to TASC either.
P> But from the variable names of the afl, it seems clear what the
P> intention of the logic is.
P> And if you are like me, you might have put together some simple afl
P> backtests to 'see what shakes'.
P> My own quick analysis pretty well discounted the validity of the
P> variable names.
P> If anyone found anything positive about the Entry / Exit logic of the
P> stradegy, then let the rest of us know. Otherwise, a confirmation post
P> of the lack of validation would be appreciated.
Do we even have a complete system to examine? Apparently there is an
RSI(7) component to this, but there is no trace of such in TJ's code.
Some back-of-the-envelope observations, however:
1) Any system than is based on trending, yet takes a quick profit, is
doomed. Trends make up only a minority of price bars, and profit must
be maximized on those occasions if that is the basis of one's
trading.
2) A quick glance suggests that, when favored by a quick run to the
'profit taker' after entry, an exit there is a sucker's move, but
rather sitting tight and adding to the position on the very first
test of the trailing stop would be the much better idea.
3) Entries that don't rather quickly reach the 'profit taker', and
roll over before touching it, are best exited immediately, without
waiting for the trailing stop.
There is some logic to this, but I still haven't seen the complete
system.
And when we have the ability to partially liquidate a position, some
tests will make great sense that we simply cannot do right now. I'm
waiting with such anticipation.
Yuki
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