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Clyde,
not to pick on you,
But Please.
You optimize for 1 year, then
test for 6 months...
only 21 trades?
this is not a sufficinet test, to
test anything.
how bout 100+ trades as a starter.
you are right. I won't be purchasing this system
for a long time, if ever.
thanks for access to your group.
jeff
--- In realtraders@xxxx, Clyde Lee <clydelee@xxxx> wrote:
> 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@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 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?
> > > >
> >
> >
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
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