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Rudolf
I'm not sure what you're looking for. What are you trying to adapt to? If
you are trying to adapt your system to the current cycle length look at some
of Dr. John Elhers indicators that measure cycle length. If you're trading
options why not make the system adaptive to current or historical
volatility. Personally I don't believe a "best" time period exists. That is
too restrictive for me. A strongly trending stock will probably have a long
cycle length while that same stock may have a very short cycle length if it
is in a trading range. The problem with cycle lengths is that they are based
on the past and not the future but they may provide a best guess as to the
future cycle length.
John Manasco
> List,
>
> using an adaptive system for day-to-day trading of DAX options, I
> wonder, which criteria might be helpful to define "the best" time
> window to deal with ... Presently, I use a 5 years window, where the
> rating criteria to select an appropriate system are weighted something
> like exponentially over time.
>
> But at these rapidly changing markets, I get some unsatisfactory
> results: While my system shows nice results e.g. for long puts over
> the last year or so, this potential couldn't be used: my money
> management (based on 5 years) nearly stops me out from trading these
> system results, because the strategy working well for the last year
> doesn't show good results for at least some of the years before.
>
> So my questions are:
>
> What time period may be appropriate to construct a(n adaptive) trading
> system for a given equity?
> What criterions (to read from the equity's historical data) could help
> to define "the best" time period?
> What other aspects may be important to define an appropriate time
> window?
>
> Any hint is welcome ...
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
>
>
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