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Using thecode i
posted earlier I:
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<FONT face=Arial
size=2>1) Set the range
1/1/1997-1/1/2002
2) Ran the
exploration for one of my systems on the N100
3) Sortedby highest
Expectancy
4) Moved the top ten
stocks to a watchlist
5) Set the period
1/1/2002 to today and ran my system
6) Surprise
surprise: all over nnn% twice the N100 average for same period, no
losers.
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This warrants more
investigation. I think this formula can be combined with Equity volatility and
ROC factors...we could probably make the last date of the Exploration more
current... I didn't want to tempt the system so I simulated out-of-sample
testing, however since we are long term averaging one might as well includes the
last trade. Lots of work ahead...
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If some of you could
do a similar test, I am curious to know if this works for
others.
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Best
regards,
<SPAN
class=880411221-19102002>Herman.
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Ps. Thanks William,
any more formulae up your sleeve?
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