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----- Original Message -----
From: M. Simms <prosys@xxxxxxxxxxxxxxxx>
To: Mark Johnson <janitor@xxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Friday, November 12, 1999 8:37 AM
Subject: RE: Trying to optimise beacktesting but TS doesnt have feature
> I understand the problem.......there's got to be a way around this !!!
>
> Would it be appropriate to generate your own data series using the
combined
> price-relatives of the symbols you want to optimize together.......
>
> if OEX is up 1.2% and SOX up 1.0%, then the combined move would be
1.1%....
>
> Think about it......any theoreticians out there ???
>
this might be a good idea for stocks. You'd wind up filtering out the noise
in individual stocks. Should wind up being equivalent to running the system
on a broad stock index - ?
I've had "some" good results combining the various stock indexes, and/or
using one against the other as a confirmation. But - what if the markets you
were combining were exactly opposite of each other? Your system would be
running on a flat-line chart. hmmmm..
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