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...
The SMA Crossover 5/30 system requires rapid adaptation of parameter values. Possibly a total inversion of the model is required aperiodically....
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...
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...
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...
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...
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...
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...
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...
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...
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...
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.
The attachment is an image of the state of the swarm as at the last bar. The bots that are spread throughout the entire parameter space are...
I will post the results of the S&P 500 ARM03 run using the price transformation method of accumulating daily Ln returns * 100 - 0.0184. The graph...
Apologies I fell asleep. It was around 4 am here in Sydney. It is possible to code that up, although I have never done it. I build a system per...
Also, are we trading on the current close, next open or next close? Thanks, James
GoodGoing, I need 4 years of data before producing the first trading signal. I have QQQQ data provided by Pinnacle Data Corp. Will that do?...
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