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Quite frankly I was not even considering such time frames as monthly bars
which are far beyond the keen of most traders.
I dumped my C&M some years ago so I may stand corrected, however I spent
considerable time reading it and have a strong recollection from C&M that
most popular indicators did not fair well in the time frames in which they
are generally used e.g. daily bars. Certainly there will be some exceptions.
Single MA crossover systems are notorious for getting whipsawed with large
drawdowns in all but strongly trending markets. Dual MA systems with rules
which go beyond simple crossover can fair a bit better but still share many
of the same disadvantages.
Earl
----- Original Message -----
From: Mike Higgs <moongate@xxxxxxxxxxxxxxxxx>
To: Earl Adamy <eadamy@xxxxxxxxxx>; Real traders <realtraders@xxxxxxxxxxxx>
Sent: Friday, October 01, 1999 7:24 AM
Subject: Re: OEX Swing m/c, Trading sytems and markets
> From: Earl Adamy
> To: Real traders
> Sent: Friday, October 01, 1999 7:48 AM
> Subject: Re: OEX Swing m/c, Trading sytems and markets
>
>
>
> >#4 more chop/chop in a nominally trending market and some large
> drawdowns - I've run rigorous tests on MA systems and >they plain
> outfail in most markets. Colby and Meyers, who tested dozens of
> popular indicators across a variety of markets >found the same thing.
>
> Colby & Meyers "The Encyclopedia of Technical Market Indicators"
> published in 1988 doesn't say that at all. Testing on only S&P data,
> they conclude "the historical record of trading using the 12-month
> simple moving average crossover rule would have been quite
> profitable." What Colby & Meyers are you referring to? It seems
> that C&M have reversed themselves pretty dramatically. Do they give
> any indication of why?
>
>
> Regards,
> Mike
> --
> Aboard 35' Edel Cat "Moongate" in New Bern, NC
>
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