Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA  User Profile | First, I owe Steve a (belated) response to the strategy he posted a while back, that separated the processing into one System block that created only Long signals, and another SysB that did only Short signals. These are connected to a Vote block that takes simple votes of the results, with the same 5-day lookback that we've been using. Both of Steve's SysB's are otherwise identical ... they have the "2in1" approach (both slow and fast MV2 active in one block), and both use the Number of Bars = 20 cutoff, and NO reversal checkbox. There was one small discrepancy between that strat and our others ... it used a Market On Open exit. I've modified it to be MOC, and attached it here. The DJ-30/12-mo eval showed only ONE discrepancy between this strat and the Rev2in1, in GE at the end of Feb09. This period of time is CLEARLY a tight consolidation, where no one would be likely to enter a "real" trade based on these systems. A filter could be built to reject trades like this ... but that's a jackrabbit that we'll not chase. As Steve pointed out, using the "Double" approach (two sep sys blocks) offers more versatility for optimization (either automated or via Strat Wiz) ... and it's common "wisdom" that short and long trades act differently, so this is a great technique to remember ... WHEN one gets around to tweaking parameters (and we ain't quite there, yet :~) So, save this one for later. Thanks, Steve! [Edited by Jim Dean on 7/12/2010 7:51 AM]  Attached file : aJDgyDblDualEMA-SvsL.ots (780KB - 516 downloads) |
