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I believe this system is useless because ones you change entry and exit
delay (enter at open 1 day later) system is nothing special. Because
how can you trade at that same close that you need in your calculation
to get a signal. Or you have to try to trade it the next week after a
signal is given at the same CLOSE price, which would be possible I guess
because it's a weekly system although the number will not be the same
still. But you have to analyze the odds that you are able to enter at
that price first.(enter through limit order) I believe with ARTL it
would be possible. The only thing you have to do is the next week enter
a limit order at that close price and if your not triggered in X days
don't take the trade.
Anyone got a response of the author already ? I guess the author
intentions were to show of in TASC, can't believe TASC allowed it.
Greetings
M.
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx] On Behalf Of Herman van den
Bergen
Sent: vrijdag 1 juni 2001 03:05
To: metastock@xxxxxxxxxxxxx
Subject: Re: AT3: 237000 % Profit on ARTL (QQQ:470%)
At 12:16 AM 6/1/01 +0200, you wrote:
>are you using weekly data?
>because you have less trades then i get?
I only had data for ARTL for 1991-2001, you went back to 1986.
Now we have this impressive result ... what can we do with it?
I tried it on the QQQ and got about 470 % for march 1999 to today -
values found by optimizing. I am sure this could be improved with stop
loss techniques. It seems to work on selected stocks for selected
periods. How can we make an exploration to find stock responsive to this
system?
I used this for the QQQ:
LONG:
Periods:=7;
a:=1.2;
e1:=Mov(C,Periods,E);
e2:=Mov(e1,Periods,E);
e3:=Mov(e2,Periods,E);
e4:=Mov(e3,Periods,E);
e5:=Mov(e4,Periods,E);
e6:=Mov(e5,Periods,E);
c1:=-a*a*a;
c2:=3*a*a+3*a*a*a;
c3:=-6*a*a-3*a-3*a*a*a;
c4:=1+3*a+a*a*a+3*a*a;
res:=c1*e6+c2*e5+c3*e4+c4*e3;
C<res
SHORT:
Periods:=2;
a:=0.9;
e1:=Mov(P,Periods,E);
e2:=Mov(e1,Periods,E);
e3:=Mov(e2,Periods,E);
e4:=Mov(e3,Periods,E);
e5:=Mov(e4,Periods,E);
e6:=Mov(e5,Periods,E);
c1:=-a*a*a;
c2:=3*a*a+3*a*a*a;
c3:=-6*a*a-3*a-3*a*a*a;
c4:=1+3*a+a*a*a+3*a*a;
res:=c1*e6+c2*e5+c3*e4+c4*e3;
C>=res
Trades: 230/157/73
Didn't test out of sample.
Best,
Herman
>At 04:12 PM 5/31/01 -0400, you wrote:
>>At 07:09 PM 5/31/01 +0200, you wrote:
>>>herman,
>>>
>>>why does he use the "P" (data array identifier) in his system?
>>
>>No idea ... Tried C & P, no real difference.
>>
>>>ARTL, DAILY, date period: 6/23/1986-5/30/2001, trade delay = 0
>>>profit: 364.2258
>>>trades: 1142/833/309
>>
>>Trade delay = 0 no wonder I couldn't get his results! Its pretty hard
>>to do your analysis at the close and buy before the close ... I buy at
>>next day Open.
>>
>>Profit around $6000000000 (612138%). for the period 1991-2001. Trades:
>>165/128/37.
>>
>>Thank so much for pointing out the zero delay.
>>
>>Herman.
>>
>>>
>>>no errors of any kind reported.
>>>
>>>onno
>>>
>>>
>>>
>>>At 02:37 PM 5/30/01 -0400, you wrote:
>>>>I have been unable to duplicate the results shown on page 31, Figure
>>>>2, of the June issue of TASC, for Aristotle (ARTL). The author uses
>>>>the AT3 system and gives the results as -1.92 % with the plain T3
>>>>system and 237000% with the AT3 system (see figure 2). I requested
>>>>help from the author (Steve Burns) a few days ago but got no reply.
>>>>
>>>>Can anybody step me through the procedure?
>>>>This system appears to be a good starting point... unless the
>>>>performance with ARTL is just plain luck.
>>>>
>>>>Best,
>>>>Herman.
>>>>
>>>>Ps. I am using these formulas:
>>>>
>>>>Enter Long:
>>>>Periods:=5;
>>>>a:=RSquared(C,opt2);
>>>>e1:=Mov(P,Periods,E);
>>>>e2:=Mov(e1,Periods,E);
>>>>e3:=Mov(e2,Periods,E);
>>>>e4:=Mov(e3,Periods,E);
>>>>e5:=Mov(e4,Periods,E);
>>>>e6:=Mov(e5,Periods,E);
>>>>c1:=-a*a*a;
>>>>c2:=3*a*a+3*a*a*a;
>>>>c3:=-6*a*a-3*a-3*a*a*a;
>>>>c4:=1+3*a+a*a*a+3*a*a;
>>>>res:=c1*e6+c2*e5+c3*e4+c4*e3;
>>>>C<res
>>>>
>>>>Exit Long:
>>>>Periods:=5;
>>>>a:=RSquared(C,opt2);
>>>>e1:=Mov(P,Periods,E);
>>>>e2:=Mov(e1,Periods,E);
>>>>e3:=Mov(e2,Periods,E);
>>>>e4:=Mov(e3,Periods,E);
>>>>e5:=Mov(e4,Periods,E);
>>>>e6:=Mov(e5,Periods,E);
>>>>c1:=-a*a*a;
>>>>c2:=3*a*a+3*a*a*a;
>>>>c3:=-6*a*a-3*a-3*a*a*a;
>>>>c4:=1+3*a+a*a*a+3*a*a;
>>>>res:=c1*e6+c2*e5+c3*e4+c4*e3;
>>>>C>=res
>>>>
>>>>Enter Short:
>>>>Periods:=5;
>>>>a:=RSquared(C,opt2);
>>>>e1:=Mov(P,Periods,E);
>>>>e2:=Mov(e1,Periods,E);
>>>>e3:=Mov(e2,Periods,E);
>>>>e4:=Mov(e3,Periods,E);
>>>>e5:=Mov(e4,Periods,E);
>>>>e6:=Mov(e5,Periods,E);
>>>>c1:=-a*a*a;
>>>>c2:=3*a*a+3*a*a*a;
>>>>c3:=-6*a*a-3*a-3*a*a*a;
>>>>c4:=1+3*a+a*a*a+3*a*a;
>>>>res:=c1*e6+c2*e5+c3*e4+c4*e3;
>>>>C>=res
>>>>
>>>>Exit Short:
>>>>Periods:=5;
>>>>a:=RSquared(C,opt2);
>>>>e1:=Mov(P,Periods,E);
>>>>e2:=Mov(e1,Periods,E);
>>>>e3:=Mov(e2,Periods,E);
>>>>e4:=Mov(e3,Periods,E);
>>>>e5:=Mov(e4,Periods,E);
>>>>e6:=Mov(e5,Periods,E);
>>>>c1:=-a*a*a;
>>>>c2:=3*a*a+3*a*a*a;
>>>>c3:=-6*a*a-3*a-3*a*a*a;
>>>>c4:=1+3*a+a*a*a+3*a*a;
>>>>res:=c1*e6+c2*e5+c3*e4+c4*e3;
>>>>C<res
>>>>
>>>>opt2 = 0.1 - 15 in steps of 0.1
>>>>
>>>>Best,
>>>>Herman.
>>>>
>>>
>>>
>>
>
>
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