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OK, just a note, as promised. The T3 model actually fared quite
well and was chosen as the best model a couple of times. We sort
model results according to many criteria, such as overall performance,
risk adjusted performance, performance in hold-out period and more.
The T3 model appears to do well when applied to currencies and
commodities and was tops or close to the top in a couple of instances
and in a couple of categories.
Note that this is the optimised T3 model. Also, the T3 model chosen
most was a derivative of the T3 that we concocted as mentioned before.
>From the results, I suggest you seriously consider using this
derivative, which is simply the difference in the T3 indicator. The
lag used in calculating this difference we also optimise for, so play
around a bit. Again, if this difference crosses zero from below, buy,
and vice versa.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://tsatsaeod.ferra4models.com
http://www.ferra4models.com
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