|
PureBytes Links
Trading Reference Links
|
I was merely giving the Original Poster, Dave
Pyle, what he asked for. His message said,
"There must be a better way to switch between systems
than summing the last x bars. Suggestions to try?"
and I offered three suggestions to try: %K, LRslope, %B.
Will these perform well on Dave Pyle's systems?
I hope so; but there's a chance they won't.
Here's a fourth suggestion: replace the word "switch"
by the word "knob". Instead of restricting yourself
to only two possibilities:
(100% of system A, 0% of system B)
(0% of system A, 100% of system B)
allow yourself to imagine trading X% of system A and
(100-X)% of system B. Imagine a "knob" that you can
smoothly rotate, from (A=100, B=0) to (A=0, B=100).
Now imagine using technical analysis indicators to
choose an appropriate value of X%.
The natural way to implement the knob is in the
choice of position sizing, at trade initiation
and also throughout the lifetime of the trade
(if your software allows it).
Mark Johnson
At 01:24 PM 8/19/2009, Gary Fritz wrote:
Apply technical analysis "indicators" to the equity curves
of the two systems and switch to whichever one is "strongest"
based on technical analysis.
Mark, does this actually work for you? When I tested it, it failed
miserably. When a system went into a losing streak, you'd take all
the losses it took for it to get kicked out of contention. Then
when it pulled out of the losing streak, you'd miss all the wins it
took for the equity curve to get strong enough again. It only
worked if the system was prone to extremely long winning or losing
streaks -- long enough so that "missing most of the losing streak"
made up for the other weaknesses. (E.g. a simple long-only stock
system might benefit from it, if you kept it out of multi-year down
markets, but I believe you can do a better job of that within the
system logic itself.)
Now I wasn't switching *between* multiple systems, just between
"system" and "no system." But I would think the dynamic would be the same.
Gary
|