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Jeff,
This is what I posted to SM list. If you want more, just join
the list and review the postings.
The "simple" system got a bit more complicated in trying to make it run
better over longer periods of "out of sample" times.
Went to a dynamic length which is computed over a fairly wide range
of lengths and applied on a bar by bar basis with some smoothing.
Taking a 6 month out of sample period this year after optimizing the
prior year (not including any of the OOS data) we achieved a profit
factor of 1.9, a %win of 71, and a Sharpe of 1.9.
A bit of improvement and this will be a killer.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
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----- Original Message -----
From: "jeff97_98_1998" <jprroth@xxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Sunday, July 07, 2002 10:01 PM
Subject: [RT] Re: nasdaq outlook
> Clyde,
>
> You are an excellent programmer.
> Your Hurst Indicator just might be the
> Wholly Grail.
>
> Why not take the next step, turn your indicator
> into a signal producing system, and test the dang
> thing back for a few years?
>
> then run it on another index, stock, future, what ever,
> without changing any imputs... and see how fast it falls apart.
>
> test it out of sample, and see if it is really as good as
> you make it out to be.
>
> If it is, shut me up, i'll be the first to buy the system.
>
> Take the hindsight, subjectivity out of the entire matter.
>
> Write the dang system, show some quantifiable results,
> not curve fitted, not optimized, not within the formulation
> sample of data.
>
> Show me tradeable results, out of sample, or just plain
> can it.
>
> love ya,
>
> jeff
>
>
>
> --- In realtraders@xxxx, Clyde Lee <clydelee@xxxx> wrote:
> > To hell with lag.
> >
> > Try some real projections -- may be right and may be wrong
> > but there damn sure ain't no lag in this baby !!!!
> >
> > And it damn sure is an INDICATOR ! ! !
> >
> >
> >
> > Clyde
> >
> >
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > SYTECH Corporation email: clydelee@xxxx
> > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > Houston, TX 77063 Fax: (713) 783-1092
> > Details at: www.theswingmachine.com
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> >
> > ----- Original Message -----
> > From: "jeff97_98_1998" <jprroth@xxxx>
> > To: <realtraders@xxxx>
> > Sent: Sunday, July 07, 2002 7:35 PM
> > Subject: [RT] Re: nasdaq outlook
> >
> >
> > >
> > > and in 1999, your chart was probably the exact inverse.
> > > so how slow is the lag, from negative to positive.?
> > >
> > > have you written language to produce a testable system?
> > >
>
>
>
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>
>
>
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>
>
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