Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA  User Profile | The purpose was to keep DDE untouched ... please return it to the non-reversing condition for future use. My intent was for both FiltF/S System blocks to use N=20 with NO reversing. Reason, as described earlier, is to keep the charts as simple as possible for careful comparison. Even with the simplification, and even if we ignore the many "extra" trades, there are a LOT of differences that the FB introduces, vs the "control" DDE strategy. Please fix the system blocks (remove Reversing), and go thru the DJ30/12mo to carefully compare these 2 Filt strats to the DDE. I found TWELVE differences, across TEN symbols (ie 12x when DDE fired, but one or both of the Filt strat's did not, or fired differently) ... a HUGE variance, compared to what we've seen before. Neither of these Strat's is equivalent to DDE. Check for yourself ... how many cases did you count - s/b 12 unless I made a mistake ... of them ... how many: 1. FiltSlow matched DDE but FiltFast didn't 2. FiltFast matched DDE but FiltSlow didn't 3. Neither FiltSlow nor FiltFast matched DDE Although you will see one of those as a max, and another as a min ... none are zero. Personally, I don't think that's a clear enough sampling to draw conclusions from. Be very careful about using poor statistical samples as a basis for making major decisions. Strictly speaking, you cannot even calculate a reasonably accurate standard deviation with less than about 100 samples ... and even if the "distrib" of the samples is "perfect", less than about 30 is nearly meaningless. So ... what should we do from here, to decide which approach is better? a. One path would be to THINK about the two alternatives ... which one fits our "theoretical" idea best of what we want to trade b. Another path is to check more samples ... comparing the reversing version of DDE to versions of FiltF/S with reversing in the SB's c. A third path is to examine the EXTRA trades more carefully I'm attaching the three reversing-version strats if you'd like to pursue option b ... goal would be to answer questions #1-3 above for that set. I've already done a pretty decent job of talking through option a ... but I'm not sure it was clear enough (see prior posts). Option c could be evaluated simply by checking how many of the extra FiltFast trades were profitable, vs how many of the extra FiltSlow trades were profitable ... for the non-rev set separately from the rev-set. Getting tired yet? Hey - this is the nature of the beast, if you want to really gain useful understanding. Quick conclusions can be more dangerous than no conclusions at all. I'll keep trying to help, for as long as y'all want to keep digging in :~) Partial Results from reversing-set: I found that 26 (of 30) symbols had some mismatches with DDErev2in1, and there were a whopping 56 trades that did not match up. See if you can provide the breakout: 1. revFiltSlow matched DDErev but revFiltFast didn't 2. revFiltFast matched DDErev but revFiltSlow didn't 3. Neither revFiltSlow nor revFiltFast matched DDErev [Edited by Jim Dean on 7/13/2010 11:03 PM]  Attached file : aJDgyDualEMArev-2in1.ots (744KB - 578 downloads) Attached file : aJDgyDualEMArev-FiltFast.ots (744KB - 590 downloads) Attached file : aJDgyDualEMArev-FiltSlow.ots (744KB - 570 downloads) |
