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Hi Forrest Ho,
Here I am again. Just got gripped by your puzzle.
The solution, which works in my MS 6.5,is as follows:
Open your systemtester for a new system. I called it Forrest Ho's VIDYA...
Enter long:
Length:=opt1;
Smooth:=5;
AbsCMO:=(Abs(CMO(C,Length)))/100;
SC:=2/(Smooth+1);
VIDYA:=If(Cum(1)<=(Length+1),C,(SC*AbsCMO*CLOSE)+(1-(SC*AbsCMO))*PREV);
Cross(C,VIDYA)
Optimize: min2 max10 step1
Here are the results for the Heng Seng Index:
Points- and Long only test.
Allowing 0.3 points for entry- and 0.3 points for exit commissions.
Last 1250 periods (approximately 5yrs), after stopping out after 5 days:
Test # Status Net Profit Percent Gain Total Trades Winning OPT 1:
2 OK 3480.9043 N/A 84 49 35 0.9190 3
1 OK 2554.6851 N/A 87 49 38 0.9259 2
4 OK 2417.3462 N/A 84 46 38 0.9960 5
6 OK 2229.3174 N/A 81 47 34 0.8615 7
3 OK 1562.1327 N/A 82 45 37 0.9265 4
7 OK 1541.7965 N/A 79 44 35 0.8985 8
8 OK 1485.5935 N/A 75 42 33 0.8894 9
9 OK 1122.3815 N/A 73 40 33 0.9071 10
5 OK 296.5579 N/A 83 45 38 0.8641 6
"If I misled people including my wife I deeply regret it but this is the truth".
And looking at the mkts today(Dow at 8714.65, s&p500 at 1101.04) reminds me
of that song: When the going gets tough, the tough go shopping....
Cheers,
Frans
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