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Hi Eric,
I received it, via somebody else ... but got it. Sorry, I was under
the impression you could email stuff via the forum by simply clicking
on a name. Anyhow, it was a bit more than I expected, so I haven't
look at it in detail, but the bits that I saw looked fine. The
weights are fairly stable (you could smooth them more perhaps, but I
think they are fine as is) and the overall impression of the model is
good. It really looks as if the combination is working, what is the
performance/equity line like?
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx> wrote:
> Hi MG Ferreira:
> Thank you for your reply, I have emailed the results under this
> address ferra@xxxx, do you receive it?
>
> Thank you
> Eric
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
> wrote:
> > Hi Eric,
> >
> > I am just back from a week's absense and have so many things to do -
> > one of which is to work through 150+ messages! So just a quick
> reply.
> > The data you gave does not point out anything that will lead to
> > dissaster, it actually looks as if it is working. Maybe you can
> mail
> > me the actual screenshot of the plot as I can then make a better
> > judgement.
> >
> > Regards
> > MG Ferreira
> > TsaTsa EOD Programmer and trading model builder
> > http://www.ferra4models.com
> > http://fun.ferra4models.com
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx>
> wrote:
> > >
> > > Hi MG Ferreira:
> > >
> > > In this example, Kalman Filter contains 3 indicators:
> > > Stoch(5,3),
> > > RSI(14) and
> > > Mov(C,20,S)
> > >
> > > I only use the result of weighting factor for RSI(14) as an
> example,
> > > and don't optimize its parameter, and record annual high, low and
> the
> > > last day at the end of the year. RSI(14) seems not to get steady
> in
> > > term of its weighting factor, does it cause by the changing
> market
> > > condition?
> > > Under this example,
> > > do you have any suggestion on what year the weighting factor for
> RSI
> > > (14) is getting steady? and
> > > when does it get fluctuated? and
> > > how to handle the situation if it starts getting fluctuated?
> > >
> > > I look forward to your reply
> > > Thank you very much
> > > Eric :>
> > >
> > > DEFAULT VALUE FOR WEIGHTING FACTOR
> > > W1 = 1000
> > >
> > > RSI(14) [31/12/2004]
> > > HIGHEST [2004] 1451
> > > CURRENT [2004] 1073
> > > LOWEST [2004] 547
> > >
> > > RSI(14) [31/12/2003]
> > > HIGHEST [2003] 1399
> > > CURRENT [2003] 893
> > > LOWEST [2003] 471
> > >
> > > RSI(14) [31/12/2002]
> > > HIGHEST [2002] 1363
> > > CURRENT [2002] 945
> > > LOWEST [2002] 644
> > >
> > > RSI(14) [31/12/2001]
> > > HIGHEST [2001] 1926
> > > CURRENT [2001] 962
> > > LOWEST [2001] 436
> > >
> > > RSI(14) [31/12/2000]
> > > HIGHEST [2000] 2388
> > > CURRENT [2000] 912
> > > LOWEST [2000] 52
> > >
> > > RSI(14) [31/12/1999]
> > > HIGHEST [1999] 1752
> > > CURRENT [1999] 1052
> > > LOWEST [1999] 396
> > >
> > > RSI(14) [31/12/1998]
> > > HIGHEST [1998] 2667
> > > CURRENT [1998] 867
> > > LOWEST [1998] 326
> > >
> > > RSI(14) [31/12/1997]
> > > HIGHEST [1997] 2365
> > > CURRENT [1997] 820
> > > LOWEST [1997]-1229
> > >
> > > RSI(14) [31/12/1996]
> > > HIGHEST [1996] 1836
> > > CURRENT [1996] 937
> > > LOWEST [1996] 584
> > >
> > > RSI(14) [31/12/1995]
> > > HIGHEST [1995] 1486
> > > CURRENT [1995] 1058
> > > LOWEST [1995] 713
> > >
> > > RSI(14) [31/12/1994]
> > > HIGHEST [1994] 1560
> > > CURRENT [1994] 1047
> > > LOWEST [1994] 232
> > >
> > > RSI(14) [31/12/1993]
> > > HIGHEST [1993] 1611
> > > CURRENT [1993] 868
> > > LOWEST [1993] 669
> > >
> > > RSI(14) [31/12/1992]
> > > HIGHEST [1992] 1438
> > > CURRENT [1992] 1074
> > > LOWEST [1992] 662
> > >
> > > RSI(14) [31/12/1991]
> > > HIGHEST [1991] 1343
> > > CURRENT [1991] 1024
> > > LOWEST [1991] 856
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