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"Phil Lane" <patterntrader@xxxxxxxxxx> wrote:
> First I modified the code to calculate a realistic position size
> for each trade (see the part about "value99"), and then ran it on a
> daily SP chart back to 1982. Following is the code and the system
> report. Don't think I'll be trading this one.
Not on the SP, that's for sure. Aberration and similar simple trend-
followers don't do worth beans on the daily indexes. You need to
trade it on commodities that trend well. Even then you need to trade
a basket of commodities to even out the drawdowns. With a strategy
like that, you can do pretty well. Mark Johnson posted some real-
money trading results with Aberration -- if I remember right he was
averaging about 60% CAGR.
Gary
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