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I have been trying to fiddle around with this as well.
Just for a quick look, I ran an optimisation on 6 months of 10-minute bars
of the Nikkei future. I set 'exit at end of day'. The results were
terrible - only 3 out of 140 tests were profitable. The best was length=5
and F=4. I tested length from 5 to 70 in steps of 5, and F from 2 to 20
in steps of 2.
Got the same sort of thing from 30-min bars. And 60 minute bars gave zero
profitable combinations.
Then I tried 10 years of daily NK data (without end of day exit). Again
miserable results - huge drawdowns.
The little marks do look pretty on the chart though, so I would like to
persevere with this a bit longer, and would appreciate any thoughts.
Peter
-----Original Message-----
From: John S. Bond [SMTP:jsbond@xxxxxxxxxxxx]
Sent: Thursday, September 03, 1998 5:55 PM
To: Omega-list@xxxxxxxxxx
Subject: Support/Resistance
Hi,
In the September, 1998 issue of Stocks & Commodities there is an article
by Dennis L. Tilley dealing with a method to plot Support and Resistance
points along with a simple moving average (page 62). Mr. Tilley has a
great idea in attempting to plot Support and Resistance points from
current data and the code Mr. Tilley offers certainly deserves more
consideration. Some days it really nails key Support and Resistance
points, other days it acts as if it is too sensitive and produces more
plots than might be considered desirable. And again, there are days
when it is not sensitive enough and only produces a few plots. As it is
stands, it does not appear to be consistent. Even so it is quite
useful. This forum has some exceptional people involved in it. I am
hoping one of them will take an interest in this indicator and improve
the code. I would have no objections to paying someone for their time
an efforts, however I am only interested in the Support and Resistance
plots. Anyone wishing to contact me directly can reach me at :
John Bond
811 Wolf Trail
Casselberry, Fl 32707
407-696-2828
407-696-4640 (fax)
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