Recent content by jalsck

I haven't tended to build systems based on published strategies. I have one system that uses David Varadi's DVAM indicator and I have built a system similar to the 11 period SMA Diff EMA indicator. For the adaptive version of the SMA Diff EMA I set the minimum periods to 3 and max to about 20...

The SMA Crossover 5/30 system requires rapid adaptation of parameter values. Possibly a total inversion of the model is required aperiodically. The systems that I typically build use a lookback period of 4 years and the parameter values tend to move smoothly around the parameter space. The...

I've been thinking about it, but I can't really add anything other than my approach didn't 'work' in this case. The exercise prompted the following thoughts though. Is it possible to adapt the SMA Crossover system rapidly enough to produce a good result? In an effort to discover if it is...

The following are the results for my implementation of the fixed 5/30 system. These figures differ slightly from Bills due to data or slight implementation differences. These are the numbers to compare against the adapted version. Trade Count: 97 Winning Trades: 32 (33%) Total Equity: 10.98...

Thanks for the info Nitro. I have the book and have read a couple of other books on digital filters. There is a filter I have coded up that I can use that has the same lag as an SMA but is much smoother. Bill thanks for explaining why we were getting different results. I will need to do a run...

Thanks for letting us know rickty. Nitro, the penny dropped today - I didn't really do what you suggested by feeding the S&P 500 ARM03 system the detrended data. I should have calculated the performance on the detrended data as well. I will need to detrend the data series in a spreadsheet to...

This spreadsheet calculates and graphs the equity curve based on my understanding of the system.

There was no intention to mislead anyone or to offend. I was talking about my fixed 5/30 system not yours. I have attached a spreadsheet that lists on what days the 5/30 system is short and long. I compared this to the trade dates in the Dakota report and they were in agreement. At this point I...

I checked a Dakota 5/30 system against a spreadsheet and they were in perfect agreement. I am using simple moving averages of the closing price and trading on the next open. The equity curve of the fixed 5/30 system is uglier than the adapted version.

According to the Dakota documentation my initial understanding of how the trading delay works was correct. I am going to check all values on a spreadsheet against a 'fixed' 5/30 parameter system in Dakota.

It is related to the trading delay. I just set the trading delay to zero and the equity curve looks good. However, my understand is that a trading delay of zero means the system will trade on the current period's open. I need to take a close look at the trades. I don't usually trade on the open...

Thanks for the trade report. I don't think it is the bots. I am using SMAs of the close and trading on the next open. Are you doing the same?

The trade report for the QQQQ SMA Crossover system is attached.

I used the following parameter ranges for the QQQQ SMA Crossover system: Plus SMA length 2 to 8 Minus SMA length 20 to 40 The lookback period is 1,000 trading days. The results are not anything special. The attached file is an image of the equity curve.

The attachment is the trade report for the S&P 500 ARM03 system using detrended data. As I mentioned earlier, the trade report needs some work.