|
PureBytes Links
Trading Reference Links
|
Hi,
Have coded the Tillson's T3 model and one derivative of it (DT3),
will test it on Tuesday after the month end figures are in, during
the usual end-of-month optimisation run.
Just a few impressions. The other Tillson indicator, IE/2, looks a
lot like the theta model, which was the winner in the International
Journal of Forecasting's M3 competition of 2000. It competed with
many other models, as a new entrant, and did very well. As used in
the competition, it decomposes the time series into two components,
a long term and short term one. The IE/2 ILRS will be the short and
the EPMA will be the long term components in the IE/2. We use the
Theta extensively, so I did not bother with IE/2.
In terms of the T3, depending on how you construct it, it appears to
have some zero lag ewma stuff in, but also looks a lot like some
Hilbert work I've seen from John Ehlers in some recent articles. Just
impressions, I did not bother to verify these statements!
Philip
~~~~~~
Can you give us the ticker where you see a typical V turn or two?
Also, I suggest you try the T3 as well as a first difference in it,
ie create a new indicator simply as
DT3 = T3 - T3(-n)
where you play around with n, the lag, from say 1 to 5 (really small).
Whenever
DT3
crosses zero, you enter a trade. Please let us know your impressions
on these, I'll also let you know what I see from the optimisation
stuff. Mine will be a more 'general' one as I will look at the
performance as applied, in competition with other systems, to a large
database of tickers. So I will see if it is often the best model or
never and so on.
Michael
~~~~~~~
We will test the stuff using a hold-out period and will also look at
risk stuff such as the stability of profits around the chosen
parameters and so on. Will let you know. Monte Carlo is cool but
for a huge database it will take forever.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://tsatsaeod.ferra4models.com
http://www.ferra4models.com
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|