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They used monthly data in earlier studies but weekly data wherever
possible in their studies published in 1988. They did not test daily
data and devote only 2 pages out of over 500 to "Short-Term Daily
Trading With Daily Data" and most of that is devoted to describing and
showing the results of a Louis Mendelsohn system. Other than that,
they do not address daily data at all.
Regards,
Mike
--
Aboard 35' Edel Cat "Moongate" in New Bern, NC
----- Original Message -----
From: Earl Adamy <eadamy@xxxxxxxxxx>
To: Real traders <realtraders@xxxxxxxxxxxx>
Sent: Friday, October 01, 1999 9:56 AM
Subject: Re: OEX Swing m/c, Trading sytems and markets
> 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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