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> There are a few surprises.
> Japanese Yen futures don't appear in the top ten.
> Crude Oil is in the middle of the pack.
I've also seen that in some of the work I've done. I was
surprised that JY doesn't perform as well in trend-followers as I
expected.
> Naturally, ADX is just a part of the story.
> Since it's an indicator, not a trading system,
> it doesn't include several important variables.
Yes, testing ADX is an interesting exercise, but I generally
prefer to use a more direct measure: the proposed system itself.
If a market performs well with my trend-following system, then I
define it to be a "good trender" for my needs. Wouldn't do me
much good if it had a high ADX but I couldn't make any money with
it.
Mark, how much persistence do you see in these markets? I've
done some experiments running a trend-following system on a
basket of stocks, ranking the markets by their Sharpe ratio, and
using that information to select the best-trading markets for
forward trading. It seems to work well but I worry that I might
be curve-fitting ("market-fitting" ?) by choosing the basket like
this. Of course, it's probably no worse than any other means of
choosing good-trending markets, whether it's ADX or "I think
these markets trend well."
Gary
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