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Hello Frank
JJ> Hey, why not use what works now, and stop worrying about whether
JJ> or not it backtests successfully for several years !
Because markets evolve. If I remember rightly Oddball required a 3-1
ratio of adv:dec to make an entry 'worth while'. The same ratio of
3-1 is used by the military to just about 'ensure' victory over the
oppo. If however you work off 1-1 and volatility drops which it
certainly will (as sure as night follows day) you will be trading a
smaller range in less selective periods. Double whammy. Of course you
could add a filter - DH's (brilliant) noise filter for instance or a
simple minimum movement or range filter or atr as a condition such as
Bob Fulks suggested. Which is generally why it makes sense to ensure
your system performs in most market scenarios for 10 years or so,
admittedly since 9/11 we've seen both up and down but largely BIG
daily trading ranges.
Much as I think indicators like the Coppock are pure horse manure
there are interesting reasons behind it. Coppock was commissioned by
the Church to fine tune their investment methods and he worked out
that the period of bereavement after (loss of life) to be about 18
months. If you relate the same concept to S&P then it's well on the
road to recovery - it could also be when the market begins to move
sideways - but who knows in advance?
--
Best regards, Michael
mailto:michaelstewart@xxxxxxxxxxxxx
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