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Maybe not quite what you wanted but here is what I did:
1. Created a combined strategy using the Tradestation BB long and short
entry strategies.
2. Added JMA and T3 averages.
3. Ran "optimizations" on each average where length of average went from 4
to 145
and BB lines went from 0.5 to 2.5 stddev.
4. Looked to see how many solutions existed where ROI was over 100% of
drawdown.
RESULTS:
Average: 4 of 145 tests 100 or above
JMA: 12 of 145 tests 100 or above
T3: 4 of 145 tests 100 or above
In any case I don't think I'd trade this simple BB strategy. None of these
were
very profitable.
Clyde
----- Original Message -----
From: "Adrian Pitt" <apitt@xxxxxxxxxxxxx>
To: "'DH'" <catapult@xxxxxxxxxxxxxxxxxx>; "'Omega List'"
<omega-list@xxxxxxxxxx>
Sent: Saturday, January 13, 2007 05:45 PM
Subject: RE: What's so great about low-lag moving averages? Seriously
Would it be possible for Alex or Bob to publish a before and after
scenario.
They don't have to reveal the system, but simply show, using the exact
same
rules, what effect switching from say regular Bollinger Bands to JMA/T3
based bands can do to various profitability numbers. Would this be
possible?
Adrian
-----Original Message-----
From: DH [mailto:catapult@xxxxxxxxxxxxxxxxxx]
Sent: Sunday, 14 January 2007 10:39 AM
To: Omega List
Subject: Re: What's so great about low-lag moving averages? Seriously
Anybody else think IVT sounds a lot like Sergey? ;-)
--
Dennis
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