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Paul & Traders,
I spent a few hours looking at the Saidenburg system today. I don't do
computer backtesting; I use the eyeball_evaluation_indicator: write down
the first signal, day and price; write down the next signal, etc. I use
actual contract prices on current and historical contracts. In
spite of the distance between the bands, signals often came close
together, whipping the position, and a substantial number of signals were
inverted. That is, the sell signal, (a close below the bottom band)
sometimes preceded a substantial price increase, and the reverse. For
example HGH8 on 9/29/97 there was a clear signal to buy the open next day
at 98250. As it happens this was the high pivot directly preceding the
trend reversal and price plunge. I looked at US, SP, HG, & CT with similar
results. Maybe I didn't implement it correctly. I tried varying the StdDev
multiplier, 1.618 for example, and the lookback period without
improvments. Any ideas?
Michael
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