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Hello all,
I have been working on the MCP technique described in Aronson's book
for some time now. I have just completed conversion of the C++ code on
the web site to C# plus some associated utlities to massage AB data
into the required format yet. No test yet; I will update under this
thread.
A few words on the theoretical underpinnings. There has been new
information since the book was published and the code written. I
believe an update is in the works. Also you need to be cautious when
running MCP on IS data. This is only valid under certain conditions.
Otherwise you must run OOS. I had an email from Aronson explaining all
this but can't find it. You might want to contact David directly - a
good guy and willing to talk with readers.
Finally, I would not reject walk forward. A very useful technique
despite Aronson's reservations. Well integrated with AB too via Fred
Tonetti's IO add-in.
Best regards,
Drew Yallop
p.s. just remebered that there is discussion on MCP as a possible
future addition to AB. Look in the AB suggestions section of the web site.
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