Illumination

[FetteredChinos]

yes, again any degree of holding period seems to work adequately, and there are not significantly different increments of increase as we increase the hold period by one each time.

i stopped at 15 for the same reasons as you mentioned above. any more than 10-15 positions is not at all easy to monitor. and frankly, for a similar performance, you may as well use the weekly data.

it works for 7 days etc, but the equity curve is wonkier than ever. probably because of the daily noise that occurs with news days..

more testing is occuring to filter out the crap trades. must remember to keep things simple, else any backtesting becomes increasingly unreliable!

FC

 

[Goober]

Chinos

At the risk of sounding like a complete pillick, what is the "balance point"?

Thanks

Goober

If weekly close is greater than the balance point, score week as +1
If weekly close is less than the balance point, score week as -1

 

[Roberto]

In this context, it's just (H+L)/2.

 

[FetteredChinos]

correctamundo...

 

[Goober]

Aaah ... the mid-point! :cheesy:

Thanks chaps.

 

[FetteredChinos]

no worries goobs


out of interest, does anyone know how to construct the 2 Period ROC as used by Raschke in her Street Smarts book?

from what i have read, it seems quite useful.

ta

FC

 

[Goober]

I used the 2 day ROC on SAFEX Index futures with approximately 70% success. Unfortunately, I don't have Streetsmarts anymore.

On your Da Bomb spreadsheet, how did you optimise the SAR value of 300?

no worries goobs


out of interest, does anyone know how to construct the 2 Period ROC as used by Raschke in her Street Smarts book?

from what i have read, it seems quite useful.

ta

FC

 

[FetteredChinos]

i with regard to the optimisation, it was done by eyeballing the equity curve to see what was smoothest.

incidentally, i wouldnt trust that speadsheet, as it is a bit wonky in places.

trading from close to close is fine, its just when i started incorporating buying dips and selling rallies that the sheet falls apart. i corrected the code at home over the weekend, and frankly, you are better off just trading close to close.

FC

 

[FetteredChinos]

ps, when did the Euro currency really kick-off in its use?

was it Jan '02, or Jan '03 ? almost all the strats i have come up with the past week have been pants over 2001/early 2002 , but have whooped some serious ass since then

if it is the latter, then there could be another Chinos Strat on its way....

FC

 

[FetteredChinos]

hmm found the answer. jan 02 was the start of the use of notes..


hmm....

:s