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there is an article ob Joe Luisi on TASC (look back a lot)
plus
in "A new look at technical analysis" Bob McCullough has done some work on
the concept.
I coded a moving average concept on TS: the results are that it is possible
to cut the drawdown a lot and improve the system IF you have a long term
trend following sys. Else you are more chopped than a japanese fish... Plus
this bring the question of the LENGHT of the mov on the equity line: another
parameter... In all the total profit ALWAYS decreases... and you are out of
the market a lot (see aberration eg): so you need to follow several markets.
Plus when you enter a filtered trade? next open or you calculate which is
the price that make the moving average turn or be crossed???
Hope this helps
Riccardo Ronco
London
> -----Original Message-----
> From: Bob4367123@xxxxxxx [mailto:Bob4367123@xxxxxxx]
> Sent: 10 December 1999 22:21
> To: code-list@xxxxxxxxxxxxx
> Subject: CL_Money management & system trading
>
>
> Hello to all;
> It seems to me, in my limited experience backtesting systems, that all
> systems work, some of the time. So the question is, when do you
> trade the
> system?
> Well I was thinking...., why can't you trade the system only
> when the equity
> curve is going up, and not trade when the system is in drawdown?
> My limited
> research into this looks promising.
> I guess I am asking is there a way to trade a moving average of
> the equity
> curve of a system, or how do you code this? RINA SYSYEMS money
> management
> software seems to work along the same lines. Has anyone explored
> this? It
> seems to be the
> one thing I'm missing, when to trade, and how much.
> Thanks in advance,
> RF
>
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