Tech/a Techtrader - my questions

[tech/a]

OK,

I'm going to pursue what you mentioned about TT entry signals not being much above random entry in improving performance.

Not just t/T entry --any entry into any trade.

Have you actually quantified how much of a difference there is between

a) Random entry and TT exit/stop loss.........and
b) TT Entry and TT exit/stop loss

Yes.

Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before?

Yes my software can do this but the point is?

I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).

TJ
Your current belief is that entry MUST be the key.The ORDS is just a record of those stocks trading within it over a period of time.Some out perform and others underperform--but on a whole over the period you mention then growth was 7%. However growth in the systems portfolio of 10 stocks was 18%.Simply those in the portfolio were skewed as growth winners.At the time of entering there was no way that this could have been known---just as Im sure other stocks didnt even come into consideration and could have outperformed the stocks held by the portfolio---purely because we didnt even get a chance to purchase because they never filled our purchase criteria.

If most of the difference can be attributed to the stop loss and 180 EMA - wow, for me thats pretty significant...

Some of it yes---all of it no. Most of it arguable.

Why is it significant for me? Because;

My original thoughts were that I could possibly apply some of my portfolio to using the TT method, while my normal mostly fundamental part technical analysis would be used for my other half..... and see what happens. But I think there are significant ways I think the two could be intermixed.....

Sure they could---others have adopted hybrids of the method---However you MUST understand what makes a method profitable.

1) Normally a decision on entry for me would be a combination of economic/cyclical/industry conditions as well as some fundamentals on the particular company, maybe a little TA - but rarely. With TT entry signals there is no reason why i couldn't overly my analysis on top to chose/rate which if any to enter. This is because economic/cyclical/industry conditions change very slowly and would not be hard to apply, and there are certain fundamental analysis techniques that can be applied across the board to rate companies very quickly on their financial position. One of these methods has been used very successfully discussed and applied on another forum - will discuss further down the track......

I'd go fundamental for portfolio selection if you wish and technical---T/T's technicals for timing and trade management.

2) Depending on how much difference tech's results come back between random entry and TT entry - there seems to be no reason why I couldn't apply my normal fundamental analysis on entry (ie no TT entry), but then apply TT exit/stop loss criteria once I have entered. The reason is becuase I have always struggled when to exit stocks to maximise my returns.

Ah--not so simple.While random entry into a trade may not have a longterm difference the entry is designed to alert those stocks "in the Position" to out perform--- where as random just selects any stock downtrend or not.

The question of whether any value can be added through my own methods 1 & 2 is obviously a big fat ???? and there is really little way of back testing easily any fundamental entry...........

I'd go fundamental for portfolio selection if you wish and technical---T/T's technicals for timing and trade management.This would be in my view the best way to go.It would however be a different universe than the one we have tested.This in itself isnt a big issue---from the myrid of tests on many many stock universes.

so it continues

Fun though


-----

 

[TjamesX]

Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before?

Yes my software can do this but the point is?

Quote:
I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).

TJ
Your current belief is that entry MUST be the key.The ORDS is just a record of those stocks trading within it over a period of time.Some out perform and others underperform--but on a whole over the period you mention then growth was 7%. However growth in the systems portfolio of 10 stocks was 18%.Simply those in the portfolio were skewed as growth winners.At the time of entering there was no way that this could have been known---just as Im sure other stocks didnt even come into consideration and could have outperformed the stocks held by the portfolio---purely because we didnt even get a chance to purchase because they never filled our purchase criteria.

No, you've got that wrong - I definitly don't believe entry is the key. From what i've seen so far, the decision between holding or selling once you have entered appears to be more critical.

Putting my engineering hat on I get a bit excited when I see a bit of maths - hence the probing. A random walk down wall street suggests (so I've heard ) thats any deviation overtime from the overall index is a fluke and given enough time all strategies should revert to the mean (index) ie you can't do better than the index.

The Monte Carlo sims suggest that with TT there is some deviation from the mean, and although the results for individual portfolios have a large standard deviation - on average, they do better, 18.20% to 7.14%. There are only two ways that can happen;

1) universe of stocks is different (BT trading list - cheers ROD!)
2) the methodology used to enter/exit/hold stocks

So I'm sort of attempting to quantify how each part in the TT system effects the overall result. But It's probably time I did that myself...... So

What is the cheapest way (software) to test TT. And could I 'borrow' your historical data to test it with?

I'm not interested in paying for monthly data as i wouldn't be implementing the strategy at this time, but I would like to have a play and do some stuff for myself.

Cheers
TJ

 

[tech/a]

TJ

The best and most affordable software for you to "Play" with is Amibroker.
The combination of M/S and tradesim which I use is beyond curiosity at a few K.

Widest variations in results will come from.Or best areas to find improvement.

(1) Selected universe of stocks.
(2) Stop Placement.
(3) Pyramiding of winning capital into more trades.
(4) Pyramiding into successful trades
(5) Finding a balance of entry and stop to increase winning trades(number of)
(6) Finding the balance of exit to price to allow profits to run---longer/est.
(7) Capital available--under 50K is difficult to portfolio trade.
(8) Leverage.
(9) Defining when a portfolio should be traded or standing aside.(Closing all).

Hope this helps.

 

[TjamesX]

Tech,

Thank you for sharing your knowledge. Once I have it up and running, I am sure there will be further questions coming your way.

After having a think about it, I believe that I should be able to do (with relative ease) the analysis in excel. I can source EOD data from float.com.au, from there I should be able to automatically update to spreadsheets and the TT equations should be easy to apply once the data has been loaded (via VB). I believe I should be able to use this for backtesting analysis as well as actual trading with the system. If anyone is interested - I will post it when its finished.

The main reason for doing this is I won't have to pay for any monthly data and I will be able to incorporate fundamental analysis techniques as well in the same program. And because in excel - I can do anything I want to!!!!! :

One last Q before I go -

I am relatively convinced that TT is workable during a long term uptrending market. Do you think it can hold up in a down trending market? Do you have visions of applying the theory/logic in reverse for a downtrending market using options etc???

Cheers
TJ

 

[tech/a]

TJ

T/T is designed for Bull Markets and while it has only been around a while I can say that it will suffer drawdown in a bear run.

Initial testing of selling the whole portfolio when the index turns bearish or the Equity curve Vs an Index of the Universe of stocks you trade---show marked improvements.

I'm more than interested in your testing and only wish I had your excell knowledge--mine is ZIP.


Please keep us posted. You maybe able to test things both Amibroker and Tradesim cant.

 

[tech/a]

A couple of snippets for those who maybe interested.

What can be achieved----this is the best system I have.And its Mine Mine Mine!!!!----hahahaha.

Detailed Report
(Weekly 01)

Simulation Summary
Simulation Date: 6/24/2005
Simulation Time: 8:13:22 PM
Simulation Duration: 0.50 seconds

Trade Summary
Earliest Entry Date in the Trade Database: 1/3/1997
Latest Entry Date in the Trade Database: 10/29/2004
Earliest Exit Date in the Trade Database: 2/7/1997
Latest Exit Date in the Trade Database: 11/5/2004

Start Trade Entry Date: 1/3/1997
Stop Trade Entry Date: 10/29/2004
First Entry Date: 1/3/1997
Last Entry Date: 10/8/2004
First Exit Date: 2/7/1997
Last Exit Date: 11/5/2004

Total Trading duration: 2863 days

Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $1,891,184.37
Maximum Equity/(Date): $1,791,184.37 (11/5/2004)
Minimum Equity/(Date): ($6,356.39) (3/27/1997)
Gross Trade Profit: $2,171,988.28 (2171.99%)
Gross Trade Loss: ($380,803.91) (-380.80%)
Total Net Profit: $1,791,184.37 (1791.18%)
Average Profit per Trade: $9,630.02
Profit Factor: 5.7037
Profit Index: 82.47%
Total Transaction Cost: $11,160.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.1027%
Annualized Compound Interest Rate: 45.4685%

Trade Statistics
Trades Processed: 3171
Trades Taken: 186
Partial Trades Taken: 0
Trades Rejected: 715
Winning Trades: 91 (48.92%)
Losing Trades: 95 (51.08%)
Breakeven Trades: 0 (0.00%)

Normal Exit Trades: 173 (93.01%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 13 (6.99%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)

Largest Winning Trade/(Date): $213,546.46 (8/20/2004)
Largest Losing Trade/(Date): ($21,208.82) (3/26/2004)
Average Winning Trade: $23,868.00
Average Losing Trade: ($4,008.46)
Average Win/Average Loss: 5.9544

Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 153 (days)
(Winning Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 14 (days)
Average Trade Duration: 225 (days)
(Losing Trades)
Maximum Trade Duration: 348 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 83 (days)

Consecutive Trade Statistics
Maximum consecutive winning trades: 12
Maximum consecutive losing trades: 8
Average consecutive winning trades: 2.33
Average consecutive losing trades: 2.44

Trade Expectation Statistics
Normalized Expectation per dollar risked: $3.1000
Maximum Reward/Risk ratio: 79.71
Minimum Reward/Risk ratio: -3.08
Average Positive Reward/Risk ratio: 7.34
Average Negative Reward/Risk ratio: -0.94

Relative Drawdown
Maximum Dollar Drawdown/(Date): $51,559.87 (4/16/2004)
Maximum Percentage Drawdown/(Date): 10.8600% (10/29/1998)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $68,560.01 (5.7950%)
Capital Peak/(Date): $1,183,179.43 (12/19/2003)
Capital Valley/(Date): $1,114,619.42 (7/9/2004)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 10.8600% ($13,828.92)
Capital Peak/(Date): $127,293.26 (6/26/1998)
Capital Valley/(Date): $113,464.34 (10/29/1998)


And those who ask what would the profit be IF I took EVERY TRADE that Techtrader signalled given $10K a trade-----If you could afford that you wouldnt need to trade!!!

See below

 

[RodC]

Tech,

Wow!

I notice that the Protective Stop Exit trades are 0.

Does this mean that no trades hit the stop?

If this is so then:

1. This must be tested during 1 hell of a Bull Market, or
2. This system is outstanding at picking winners, or
3. The protective stop is too wide.

I also note the losing trades outnumber the winning trades (just), very interesting.

I know you don't want to say too much but is this weekly system a derivative of techtrader or completely different. I remember seeing some references to a weekly techtrader system on reefcap?

thanks,

Rod.

 

[tech/a]

No its nothing to do with T/T.

The exit is the stop---which is rare.

 

[Dan_]

Tech,

Thank you for sharing your knowledge. Once I have it up and running, I am sure there will be further questions coming your way.

After having a think about it, I believe that I should be able to do (with relative ease) the analysis in excel. I can source EOD data from float.com.au, from there I should be able to automatically update to spreadsheets and the TT equations should be easy to apply once the data has been loaded (via VB). I believe I should be able to use this for backtesting analysis as well as actual trading with the system. If anyone is interested - I will post it when its finished.

TJ Any update or news on your analysis?

 

[tech/a]

Dan Emailed me for the Amibroker code for Techtrader.

For those interested.

// techtrader amibroker version tested on AB ver 4.5

PositionSize = -10; // always invest only 10% of the current Equity

// set up to delay buy & sell
SetTradeDelays(1,1,0,0);

// here we define our buy conditions
cond1=Cross(H,Ref(HHV(H,10),-1)); //todays high crosses last highest high over the last 10 periods
cond2=H > EMA(C,40); // todays high is greater than the 40 day Exp MA of closes
cond3=HHVBars(H,70) == 0; // todays high is the highest for 70 periods
cond4=EMA(V*C,21) > 500000; // ensure at least $500k of money flow
cond5=C < 10.00; // only trading in stocks less than $10
cond6=C > O; // todays close higher than open

// the following line is our buy trigger for next day open if all conditions satisfied
buysig = cond1 AND cond2 AND cond3 AND cond4 AND cond5 AND cond6;

// initial stop aim to never lose more than 10%
ApplyStop( stopTypeLoss, stopModePercent, amount=10 );

//our exit conditions if not stopped out
Sellsig= Cross(Ref(EMA(L,180),-1),C); // close crosses below yesterdays EMA of the low

// for BACKTESTING purposes only this code stops extraneous Buy when already in trade
// and Sell when NOT in trade
// the backtester uses this code as buy & sell & where necessary, the stop
Buy = ExRem(Buysig,Sellsig);
Sell = ExRem(Sellsig,Buysig);

// colour of buy trigger arrow & sell date arrows displayed on highlighted stocks from Explorations and Backtests
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy , colorYellow, colorRed ), 0, IIf( Buy , Low, High));

// this controls EXPLORATION list output only
Filter = Buysig; // lists exploration results conforming to our buy criteria
AddColumn(Buysig, "buy", 1.0); //

 

[TjamesX]

TJ Any update or news on your analysis?

Been a bit busy for the last month with a change of job..... so there isn't any update. I've put it on a bit of a backburner at the moment, 1) because I don't think the system will be suited to a possible correction the market may see over the next 12 months, 2) because my time is limited.

I will update if this changes

 

[tech/a]

tJ

As for corrections taking its toll.
All long methods cop a correction in a downturn.
Like most methods we have a filter to take out the whole portfolio if the correction/downturn hits it.
That being if the ALL ORDS crosss its 180 day EMA of the low.

The system is closed down until it crosses back above regardless of where each stock in the portfolio was trading.

Its a genuine concern but not one that should keep you out of the market,with any long methodology.

 

[Kauri]

Re the market having a downturn.. it would seem that the recent activity hasn't been as broad based as it the index would indicate. Not sure if it as practical,maybe using the 180 ema on individual index's? T/T seems to be doing well regardless...most impressive...

Article in the West Australian today.....

40pc of stocks miss the boom time bus
MICHAEL WEIR

Forty per cent of Australia's top-500 listed companies have lost ground on the sharemarket in the past nine months, smashing the perception that the booming bourse is a guaranteed recipe for riches.

Stockbrokers and analysts said the data sounded a warning for retail investors, who have been urged to do their homework on companies before buying shares.

Stockmarket news had been dominated by those companies recording massive share price gains - mainly on oil and gas, uranium and iron ore - but plenty of others had fallen victim to profit downgrades and tougher economic conditions, they said.

The warning coincided with another barnstorming day on the market yesterday, as record highs by perennial favourites BHP Billiton and Macquarie Bank propelled the S&P-ASX 200 to a fresh peak.

However, DJ Carmichael & Co director Ian Dorrington said it was wrong to think of the overall market as being at a record high.

"It's not, the index is," he said. "And as we all know the index is driven primarily by a handful of 30-50 stocks.

"So you have the top end resources gone crazy but outside that the market has been very selective."

Of 493 companies listed in the all-ordinaries index, 195 have recorded share price losses since the start of the year with technology stocks and retailers prominent in the list.

Of those companies in the red, 85 have seen their share prices slashed by more than 20 per cent, including 17 stocks which have lost more than half of their market value.

The biggest loser since January has been Brisbane-based seniors accommodation specialist Village Life, whose share price has slumped 83 per cent to 44 ¢ on the back of multiple profit downgrades.

WA winemaker Evans & Tate has had a year to forget, with its shares plummeting 73 per cent to 28 ¢ as a global wine glut triggered heavy stock write-downs which dragged the company $50 million into the red and forced its bankers to call in corporate doctors.

Bluestone Tin was one of the best performing floats last year with its 25 ¢ shares peaking at $1 in the months after listing. But a falling tin price and performance problems at its flagship Renison mine in Tasmania later sent the stock price tumbling. Although still above its issue price, Bluestone has slumped almost 62 per cent since January to 34 ¢.

Two profit warnings in less than three months earlier this year sent the share price of WA blind maker and retailer Kresta tumbling. In the past nine months the stock has lost 60 per cent to 23 ¢.

Other big losers so far this year have included technology companies Benitec (-65 per cent), Prana Biotechnologies (-65 per cent), LookSmart (-60 per cent), Compumedics (-59 per cent), QPSX (-56 per cent), Epitan (-55 per cent) and bottled water company Palm Springs (-64 per cent).

Some well-known WA companies suffered for delivering poor results, including automotive leather and pavers group Schaffer, whose shares have fallen 52 per cent on a plunge in earnings and warnings of tough times ahead.

ERG shares have lost 41 per cent of their value as the ticketing company asked long-suffering shareholders to again dip into their pockets to help replenish its coffers after delays and blowouts on big contracts.

Shares in property and construction group Multiplex hit record highs in January before shocking the market with cost blowouts at its flagship Wembley Stadium project in the UK. The stock has lost 41 per cent of its value this year.

Euroz Securities senior dealer Richard Caldow advised investors to do their homework and buy shares based on traditional valuation methods like price-earnings ratios and dividend yields.

Hartleys broker John Featherby said that although many companies were overvalued, the resources market was in a massive catch-up phase after being neglected for many years.

 

[Dan_]

Tech,

Hoping you can help me out here if possible. I've finally got Amibroker and some shiny clean data. I'd thought I would use TT to educate myself on the back testing aspect of Amibroker. However I think I may have some incorrect elements, or not set Amibroker up correctly as I don't get the same results that I've seen you publish before.

Can you please do me a favour (if possible) and publish here a TT scan for a previous date that I can use for reference (e.g. a daily scan for the 31/3/2006)

I can then compare your results with mine and figure out where the issue is. (Most like user error in not setting up Amibroker correctly)

Thanks

 

[tech/a]

Dan.

Im a metastock/tradesim User.
But a few reasons youll get different results.

(1) You need the same universe of stocks I trade.Register at Reefcap in the T/T thread for the mailing list and you'll get a copy updated 3 mthly.
(2) Make sure all trades are closed on the final exit date other wise all the profit will be locked into trades still open.
(3) different start and finish dates.
(4) coding issues.

There is an Amibroker section at Reef just post there they seem a pretty helpful bunch.

 

[nizar]

A couple of snippets for those who maybe interested.

What can be achieved----this is the best system I have.And its Mine Mine Mine!!!!----hahahaha.

Detailed Report
(Weekly 01)

Simulation Summary
Simulation Date: 6/24/2005
Simulation Time: 8:13:22 PM
Simulation Duration: 0.50 seconds

Trade Summary
Earliest Entry Date in the Trade Database: 1/3/1997
Latest Entry Date in the Trade Database: 10/29/2004
Earliest Exit Date in the Trade Database: 2/7/1997
Latest Exit Date in the Trade Database: 11/5/2004

Start Trade Entry Date: 1/3/1997
Stop Trade Entry Date: 10/29/2004
First Entry Date: 1/3/1997
Last Entry Date: 10/8/2004
First Exit Date: 2/7/1997
Last Exit Date: 11/5/2004

Total Trading duration: 2863 days

Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $1,891,184.37
Maximum Equity/(Date): $1,791,184.37 (11/5/2004)
Minimum Equity/(Date): ($6,356.39) (3/27/1997)
Gross Trade Profit: $2,171,988.28 (2171.99%)
Gross Trade Loss: ($380,803.91) (-380.80%)
Total Net Profit: $1,791,184.37 (1791.18%)
Average Profit per Trade: $9,630.02
Profit Factor: 5.7037
Profit Index: 82.47%
Total Transaction Cost: $11,160.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.1027%
Annualized Compound Interest Rate: 45.4685%

Trade Statistics
Trades Processed: 3171
Trades Taken: 186
Partial Trades Taken: 0
Trades Rejected: 715
Winning Trades: 91 (48.92%)
Losing Trades: 95 (51.08%)
Breakeven Trades: 0 (0.00%)

Normal Exit Trades: 173 (93.01%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 13 (6.99%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)

Largest Winning Trade/(Date): $213,546.46 (8/20/2004)
Largest Losing Trade/(Date): ($21,208.82) (3/26/2004)
Average Winning Trade: $23,868.00
Average Losing Trade: ($4,008.46)
Average Win/Average Loss: 5.9544

Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 153 (days)
(Winning Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 14 (days)
Average Trade Duration: 225 (days)
(Losing Trades)
Maximum Trade Duration: 348 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 83 (days)

Consecutive Trade Statistics
Maximum consecutive winning trades: 12
Maximum consecutive losing trades: 8
Average consecutive winning trades: 2.33
Average consecutive losing trades: 2.44

Trade Expectation Statistics
Normalized Expectation per dollar risked: $3.1000
Maximum Reward/Risk ratio: 79.71
Minimum Reward/Risk ratio: -3.08
Average Positive Reward/Risk ratio: 7.34
Average Negative Reward/Risk ratio: -0.94

Relative Drawdown
Maximum Dollar Drawdown/(Date): $51,559.87 (4/16/2004)
Maximum Percentage Drawdown/(Date): 10.8600% (10/29/1998)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $68,560.01 (5.7950%)
Capital Peak/(Date): $1,183,179.43 (12/19/2003)
Capital Valley/(Date): $1,114,619.42 (7/9/2004)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 10.8600% ($13,828.92)
Capital Peak/(Date): $127,293.26 (6/26/1998)
Capital Valley/(Date): $113,464.34 (10/29/1998)


And those who ask what would the profit be IF I took EVERY TRADE that Techtrader signalled given $10K a trade-----If you could afford that you wouldnt need to trade!!!

See below

Amazing stuff here on this thread.
Some great wisdom.

 

[tech/a]

Much much more here and coming up in the future for those interested.

http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=get_topic;f=74;t=000040

You'll have to register if not a member.

 

[Skate]

Yes the testing programme tells me that.



No the list used is the BT list.
Yes Ive tested many lists including the ASX full list.The performance on the whole list is less than impressive.(Profitable though).
I have also tested many Bourses due to Overseas interest,the best performing bourse of stocks was Hong Kong.
The NYSE list not far behind
DAX and FTSE lists also did well.



I have tested 100s of entry tweekings---entry is NOT the most important aspect---which most people cant get a head around---its purely a start point and not far above a random entry---
The proprietry methods are WEEKLY and not remotely the same as T/T.



I'm not convinced that T/T has been tweeked to its maximum potential.Infact my own view is that its about a 7.5/10 rating--purely because I have some tweeking and other methods to compare it with.A few I know who use it think its the Ducks Guts.I encourage all to have a play with it--I'd appreciate the feed back--particularly if there is improvement.Some trade it as it is and others tweek it to their style.Fine thats what its for---a foundation---a learning curve. Or simply a method that works---most people doubt that one actually exists--well here is one and FREE!

I know this is a very old thread, I've played with Techtrader and found it to be beyond solid. As Tech/a has asked for feedback about any improvements with tweaking I wanted to add my two cents worth. I've spent many days on this system and every tweak made the system worse EXCEPT ONE - this indicated to me how robust the system is and how useful it still is.

ONLY one TWEAK improved the system -

The ONE tweak that I've found that made an improvement was to change the sell criteria - By changing the sell criteria to:

Sell= C < MA(C,50);

This tweak I believe improved the system but the trade off was to make the system more active thus increasing the Total transaction costs

skate

 

[John Swift]

Thanks Skate for bringing this back into the light. I haven't seen it before. Where can I get more details?

 

[tech/a]

Thanks Skate.

When I designed the system I wasn't able to replicate your results---IE improvement.
But that was back 15 yrs ago.