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I was unaware of this new Security function capability.
Question: Has anyone used this (or some other function) to backtest
and/or optimize the McClellan Summation Index to generate buy/sell
signals on a stock index? It's easy to set up a composite security in
the Downloader from the Advances & Declines. The Metastock pulldown
menu tells you how to do this. But backtesting and/or optimizing did
not seem possible.
I met Sherman McClellan about 8 years ago in Los Angeles. He and his
wife created the index (and oscillator) in the 1960s. They made a
somewhat arbitrary choice of 5% and 10% EMAs simply because they were
easy to calculate by hand (no pc in those days!) and they seemed to
match the market's movement.
So there is nothing sacred about these values (5% and 10%), and a
case could be made that the market will always defeat these values
since the index and oscillator are widely published with these values.
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