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It is a detrend study. I think I got it from the Omega site but here is
the ELA.
I don't know that the oscillator that you use is particularly important as
long as it shows divergences and such. I have almost always used a slow
stochastic to trade the setup and suspect that RSI or any number of
momentum indicators would work.
>Now that you asked, I have a question. I was trying to duplicate your chart
>but do not know what indicator you are using. You call it "Momentum". Is
>this the common Momentum indicator:
>
> Price - Price[Length]
>
>If so, what length do you use?
>
>I am a system trader so typically use set-ups that I can program in
>EasyLanguage. Unfortunately, divergences and trendlines are pretty hard to
>program reliably but I thought I might try.
>
>Looks like an interesting setup.
>
>Thanks.
>
>
>
>
Attachment Converted: "c:\eudora\attach\Detrend1.ela"
Stewart Taylor
Taylor Fixed Income Outlook
Voice: 501-219-9774
Fax: 501-228-0963
E-Mail: staylor@xxxxxxx
Web Site: http://www.cei.net/~staylor/From ???@??? Thu Sep 10 09:34:28 1998
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Subject: RE: optimal f and futures lots traded
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As usual, I wholeheartedly support Bob's observation. Using the Sharpe ratio or some other home grown variant is the best way I know of to measure system performace. The great thing is it allows you to measure apples to oranges.
Scott Hoffman
-----Original Message-----
From: Bob Fulks [SMTP:bfulks@xxxxxxxxxxxx]
Sent: Thursday, September 10, 1998 6:03 AM
To: cvinton@xxxxxxxxxxxxxx
Cc: L_Omega
Subject: RE: optimal f and futures lots traded
At 10:40 PM -0400 9/9/98, Cab Vinton wrote:
>Any hints on how to develop this type of stable systems?
>Presumably, treating a diversified system as one system is one approach
>(e.g., apply your m.m. to the results of a system traded over a portfolio).
>Any other ideas? Types of systems which are fairly stable?
>Ways of measuring the stability of a system? Any number of minimum trades
>to consider? On the order of thousands is probably preferable: so you
>should either have a lot of data to test over, or else trade over short
>time frames ...
Systems with a smoothly increasing equity curve (linearly up and to the
right) tend to be the most stable vs. time. These obviously have consistent
profits over time.
This characteristic can be measured by the Sharpe Ratio. A very stable
system will tend to have a Sharpe Ratio above 2.0.
Bob Fulks
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