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I found a very good "system" in the AFL Library that produces very
good results for what I am trying to backtest. Here it is, stripped
to the essentials:
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// Formula Name: STD_STK Multi
// Author/Uploader: Willem Jan
STK=Optimize ("StK" , 14, 2, 18, 2);
STD=Optimize ("StD" ,16, 2, 18, 2);
pds =Optimize("pds", 10,2,18,2);
Sell= Cross (EMA (StochD (STD),pds),EMA( StochK (STK),pds));
Buy= Cross (EMA(StochK (STK),pds),EMA( StochD (STD),pds));
Filter=Buy OR Sell;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
/* My Added POSITIONSCORE */
PositionScore = 100 + MFI(); //Also many others tried!
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The problem is that w/o "POSITIONSCORE", I never get out of the "A's"
during backtesting.
I have had good results using "positionscore" with other formulas, but
I have tried over 30 combinations of different indicators here and the
results are MUCH WORSE. Not only a little, but a lot worse.
I can't believe the formula is so good that nothing will help it, and
the fact that I can't get out of the "A's" in my watchlist mean there
should be "better" trades.
My watchlist is a list of "Optionable" stocks from TC2005, backtesting
for 5 years (about 600 stocks).
Any ideas?
I have emailed the author, but his email bounced.
Thanks.
Roy
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