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Jim Dean

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Joined: 9/21/2006
Location: L'ville, GA

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:13 AM
Post #21051 - In reply to #21047

OK ... next task/variant ... using what we've just codified.

Since the "Number of Bars" is apparently having an effect on our strategy's operation, we need to ask ourselves, "is 20 the RIGHT value"? Our thots immediately turn to optimization runs, etc. BUT ... FIRST ... rather than beating it to death, let's use our BRAINS and think about WHY.

In order to answer that Q, we need to ask "how long SHOULD a given signal's DIRECTION persist"?

This latter Q might confuse you at first ... what does N=20 have to do with long vs short direction. Answer ... our experiments make it clear that DURING the N=20 window after a Long system-signal fires, although OT permits "reinforcing" (hollow-triangle) signals to fire in the SAME direction, it does NOT permit that 20-bar window to be "interrupted" by a change in direction ... that is, if the EMA's cross back in the opposite direction during those 20 days, the resulting SHORT signal is not allowed to appear.

So ... do we WANT to allow a short signal to appear within that 20 days or not? And if we do, what's the best way to go about it?

Second question first ... there are TWO WAYS to permit a short signal to appear after a long one, within 20 days after the long one has fired.
Please figure out the two methods and report them back. This only affects the System block, btw.

OK, to decide IF we want this to be the case ... maybe the best way is to set up two Strategies that differ only in that way, and look at some charts and see how things work.

Please modify the "2in1sys" Strategy to implement one of your solutions. Leave the original DoubleDualEMA strat as is. Now work through the DJ30, using 6-mo window, expanding the votelines when you need to so that you understand the differences.

LOOK AT WHAT'S GOING ON WITH THE CHART ... for the first time in our journey, we're going to evaluate which setting gives us "better trades" ... but let's not get excited about what these measely 6-mo's and 30 syms tell us specifically ... let's USE them to THINK about how this strategy will work IN GENERAL.

This will occasion a number of discussions ... but at junctures like this, we should try to pick one of the two paths early on, so that our ongoing work will not develop too many persistent branches.

Have fun!
Deleting message 21051 : RE: Two "Exponential" Moving Average Crossover


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