Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() | Stan ... GOOD CATCH! Your question in the last post re VB Lookback=0 pointed out something that I should have thought of. For the FiltSlow strategy, the 10+40 stacking sometimes does not "turn on" until a few bars AFTER the 5x20 occurs. So, it makes sense to extend the System Block vote by the same 5 bars that the DDE used, so that the two EMA-pairs have a chance to "line up" in similar situations where DDE would have seen them that way. Please change the FiltSlow strategy to have the VB Lookback = 5, instead of zero, then do the DJ30/12mo comparisons once again OTOH, in "normal" situations where a TREND is getting started, after a sufficient run in the opposite direction to build up some "pressure" from traders to move in a different direction, one would expect that by the time the 10x40 System-signal occurs in a FiltFast strategy, the 5+20 stacking would already be in place ... so the VB bars=0 makes more sense, there. HOWEVER, there are other situations where even though 10x40 has just occured, the 5+20 is not stacked properly. This can happen during a tight consolidation, where basically all the lines are "mixed up" ... or during a pullback pullback after a sufficient short-trend had driven the 10x40 to hit. In the former of those cases, *I* would prefer NOT to enter the trade. In the latter, I *might* want to enter the trade, but I'd look closely at resistance levels (and some other things) before doing so. So ... presuming that my theorizing is valid, I'd choose NOT to "extend" the 10x40 system-signal for extra bars ... I'd want to see the 5+20 stacking already in place ... and I'd probably add another filter to see if the 5 & 20 are sloped up (but that's getting ahead of ourselves). So ... if you'd like, go ahead and test the FiltFast with VB bars=5 also ... but look CAREFULLY at what ADDITIONAL trades it creates, and see if those entry points are ones that you likely would have taken. Re your comment about the filterFast and filterSlow being mirror-images ... that's the whole idea of the test. Hopefully after some of my comments above, it's a little clearer now. Let me know what the modified FiltSlow looks like ... and which of the two (Fast or Slow) appears to you to be the best emulator of the DDE. Both of the Filt strat's will permit EXTRA trades. Our primary goal at this point is to figure out which one ECHOES as many of the DDE trades as possible ... we can consider the "extra" trades separately. |