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Robert:
I optimize over data collected back to March 17, 1980 if it is available.
However, you've probably observed that many of the stocks that I follow
closely haven't been in existence that long. If the issue is less than 20
years old than I take whatever data is available, but I will insist on a
reasonable number of trades (no 3 trade IPO's). Most of the equities have
been tested over at least 30 trades although I must admit that MSPG has only
had 12 trades so far, but the annual return at 690% was too good to ignore
and actually beats buy and hold ( I am not a great believer that a system
has to beat buy and hold to be a good system).
Good Trading
Jeff
-----Original Message-----
From: Robert Lambert <lambertb1@xxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Sunday, November 28, 1999 4:17 PM
Subject: Re: bull/bear fear- tested
>Jeff:
>
>Are you optimizing over all available securiy data, or
>are you using a limited historical time period?
>
>Please keep posting your work. I would like to see
>how your optimized variables do as a forward test,on
>the securities you've selected.
>
>Thanks.
>
>--- Jeff <jcob3@xxxxxxxxxxx> wrote:
>> Michael:
>>
>> You do not say in your post what you tested the
>> system on or what the return
>> generated was. My purpose in making my posts has
>> been to generate
>> discussion of a system that I have been successful
>> in using. It may be that
>> some individuals are not psychologically suited to
>> trade this system.
>>
>> The system is a trend follower that appears to get
>> you in at the early in a
>> trend. If the trend breaks down for any reason, the
>> system seems to take
>> you out with relatively little pain, and there is a
>> relatively high
>> percentage of losing trades (usually around 50%).
>> Therefore, the system
>> seems to perform best on issues that are prone to
>> make prolonged moves. The
>> trick is to find those issues. I do admit that the
>> system is not perfect;
>> for instance, it is my belief that the exit could be
>> improved on winners to
>> preserve more profit. However, I've been unable to
>> develop an alternative
>> exit that improves the system return.
>>
>> I've posted the results of this system that have
>> been generated over the
>> past two months and believe they speak for
>> themselves. The results
>> should've, at least, been interesting enough to
>> generate a little more
>> discussion than they have up until now. I've been
>> trading this system
>> myself for about a year and have had good results.
>> Even in the
>> April-September period when everything seemed to
>> stall and move sideways, I
>> was, at least able to hold my own and maintain my
>> capital until the October
>> break-aways started to occur. For awhile, until I
>> got bored with it, I
>> phantom traded this system in the Yahoo Investment
>> Challenge. I typically
>> made about 20% a month using the system in that
>> venue.
>>
>> At any rate, I take it from your comments that you
>> are not thrilled with the
>> system. That's OK. If the general feeling of the
>> group is such that they
>> would rather not see my posts, that's OK too. Just
>> let me know and I'll
>> quietly crawl back into my hole. But in case you,
>> or anyone else is
>> interested, the following is the system as I use it.
>>
>> Buy
>>
>> n :=opt2{Time periods};
>>
>> BullFear := (HHV(HIGH,n) - LLV(HIGH,n))/2 +
>> LLV(HIGH,n);
>>
>> Cross(CLOSE,bullfear) AND
>> DX(10) > opt1
>>
>> Sell
>>
>> n :=opt2{Time periods};
>>
>> BearFear := (HHV(LOW,n) - LLV(LOW,n))/2 +
>> LLV(LOW,n);
>>
>> CLOSE < bearfear
>>
>> Optimize the time periods from 10 to 50 in
>> increments of 1 while testing the
>> DX from 5 to 30 in increments of 5 (you can do it in
>> increments of 1 but it
>> takes longer). Once the Optimal time period is
>> determined in this manner,
>> then retest with the determined optimal time period
>> and the DX in increments
>> of 1. Note that this system is intended to be a
>> stop and reverse system and
>> you can use it to go short as well if you'd like to.
>>
>> Well, that's about all I have to say on the subject.
>>
>> Good trading
>> Jeff
>>
>> -----Original Message-----
>> From: michael arnoldi <marnoldi@xxxxxxxxxxxxx>
>> To: A METASTOCK GROUP <metastock@xxxxxxxxxxxxx>
>> Date: Saturday, November 27, 1999 12:50 PM
>> Subject: bull/bear fear- tested
>>
>>
>> >i hope that the formula is wrong, this is what i
>> used, and did a test
>> >using opt1 instead of n:
>> >BUY
>> >BullFear := (HHV(HIGH,opt1) - LLV(HIGH,opt1))/2 +
>> LLV(HIGH,opt1);
>> >Cross(CLOSE,BullFear)
>> >
>> >SELL
>> >BearFear := (HHV(LOW,opt1) - LLV(LOW,opt1))/2 +
>> LLV(LOW,opt1);
>> >Cross(BearFear,CLOSE)
>> >
>> >opt1=10 to 30 with 1 point increments
>> >
>> >result 7 trades with 11 losses.
>> >
>> >not a system i would use.
>> >comments are welcome.
>> >
>> >mike arnoldi
>>
>>
>
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