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I have to agree with Yuki, at least in regards to stock trading.
There is such an overwhelming bullish bias to the stock market that
you're nearly always better off by being long or in cash, and almost
NEVER short.
This isn't one of those times, coincidentally.:)
My advice (and what I did, myself) is to come at the problem from a
different angle: Basic conditions first, system second. Identify the
economic/stock market conditions that are genuinely hostile for stocks
(not just TA-based hostile, like with a bearish moving-average
crossover, I mean fundamentally bearish, as well). Then when those
conditions (rarely) occur, almost any reasonable short-selling system
will work well. Under normal conditions, though, almost no
short-selling system will be worth the effort.
Use it until the conditions (which you also will have identified)
become favorable again for the overall stock market, then stop using
the short-selling system and revert back to being either long or in cash.
AB is a great tool for use in testing macro-economic/financial
conditions. You can test using yield-curve levels and crossovers,
CPI/PPI inflation, market PE levels, 90% up/down volume days, etc. I
incorporate rules based on some of these factors into my TA-based systems.
FWIW.
Luck,
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brianrichard99@xxx> wrote:
>
> I have some nice, well-tested long systems in place. I was surprised
> when testing my discretionary systems, to find that none of my short
> signals performed nearly as well as the long signals, in the
> optimization/backtest/monte carlo simulations.
>
> Is this common?
>
> In addition, I am looking for some ideas around what indicators to use
> as the foundation for building an adequate short system. Any ideas? I
> did some searches on previous messages here, and did not find anything
> of value. General rules of thumb, and bits of experiential wisdom, are
> also welcome -- as they apply to short systems.
>
> Thanks in advance,
>
> Brian
>
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