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In a message dated 98-08-09 12:45:40 EDT, chmeyer@xxxxxxxx writes:
<< I want to publically thank Earl for his excellent post where he shared
his "detailed backtesting of DiNapoli's displaced MA's using daily S&P
cash data from 1970-1997 using MA's from 3 to 25 in increments of 2
and displacements from 1-7 in increments of 2. To quote further, he
concluded that: "I could find no displaced MA which provided consis-
tently profitable entry and exit on both long and short side or on either
side individually. >>
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Charles and Earl:
The key here is entry & exit which is not the primary way that DiNapoli uses
it. If you try to use MA as both exit signals and as entry signals (always in
the market), then you will be disappointed in the percentage of wins and the
number of losses. Hopefully you can stay around long enough to recover some
of the losses but most don't last that long.
Lynn
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