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I have back tested many different systems over the whole universe of stocks
in Sweden. Many systems published in America are to "curve fitted" to work
on our stock universe. Some systems work, but when they becomes well known,
they seize to work.
One of the very rare exceptions to this is the MA-systems. Widely known,
widely published, widely used. They still work anyway.
My guess is that since there are soo many different ideas on what MA-length
to use, they do not get worn out like other systems will (in difference to
MACD which is also a MA-system but where people tend to use similar lengths,
that system does not generate any backtest profit unless you either tweak
the logic a bit, or defines what stocks it will be used for which can get
any system to work until future hits you).
> -----Original Message-----
> From: Gene Pope [mailto:gene@xxxxxxxxxxxxx]
> Sent: den 1 maj 2001 04:58
> To: Prosper; omega-list@xxxxxxxxxx
> Subject: Re: Trading Systems
>
>
> Prosper,
>
> >What about these guys logic
> > makes it work?
>
> One answer is in the book I posted a few days ago... The
> Ultimate Trading
> Guide by John R. Hill, George Pruitt, and Lundy Hill.
>
> Basically, an MA system can become profitable as soon as you
> add a way of
> checking the overall trend in a more macro sense. This
> eliminates a lot of
> the whipsaw trades, since it takes a period of time for the
> macro price to
> "catch up" with the faster current trend, thus eliminating
> suspect counter
> trend entries (not all, just enough to push the system to
> profitability).
>
> When I applied the really simple concepts in the book to my
> MA systems, my
> jaw nearly hit the floor.
>
> And of course, there are plenty of counter-trend systems out
> there that are
> combined with the trending systems to attempt to catch it "both ways".
>
> Just passing along what I've learned so far.... I'm far from
> an expert...
> ;-)
>
> Gene
>
>
>
> ----- Original Message -----
> From: "Prosper" <brente@xxxxxxxxxxxx>
> To: "Clyde Lee" <clydelee@xxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> Sent: Monday, April 30, 2001 9:52 PM
> Subject: Re: Trading Systems
>
>
> > Clyde,
> >
> > This is the most interesting thing that I have read about
> systems for
> > awhile. If you don't mind I'd like to ask you a few questions.
> >
> > You asked if he bothered to checkout the methods used. How
> would someone
> > find out what the method these traders used?
> >
> > Every new trader has tried MA, it comes with the software, but they
> > almost always show loses in back testing. >
> > You didn't follow the MA route did you? If not why not? Is
> SM better?
> >
> > Thanks, if you have the time.
> >
> > Prosper
> >
> >
> > >Did you bother to checkout the method these guys use and
> > have used for almost 30 years.
> >
> > I have some of Dunn's first works and they (MA believe it or
> > not) still work when you follow their logic.
> >
> > I can remember hours spent on a SDS Sigma 5 printing out
> > charts which were "plotted" with a printer with closing prices
> > and a couple of moving averages working.
> >
> > Very informative then (1970) and still is -- don't forget the value
> > of moving averages.
> >
> >
>
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