Monday, November 22, 2010 12:39:47 AM
Too Fuzzy
But this will not work. If in the recent past if the market dropped 80% over the last year everything will point to it going down further even though there is likely to be quite a bounce like in 2003 and 2010
Of course it will work . . even if it does not work as you like it it will still work
.
First, you do not want to take a very long history for then a reversal has very little effect. Second, IF a stock is worth holding onto after it has dropped 80 of its value then the trading would have added lots of shares! This is the purpose of buying at low prices. . .and if I have used the Delay Filter then at a price reversal the Reserve is invested efficiently. At such a point you get sell orders when the rise continues and executing them with the Delay Filter does the job, even if the Sell is not optimally sized. After a sudden change the parameters will not be optimum but with a short historical set and more optimisation the parameter set will get better.
It will by no means be perfect. . .and if the changes are very drastic one needs to abandon the optimised parameters and set them on the basis of a short history or simply set them back for the current behaviour. Its a lot of work but as long as one is in touch it is always possible to intervene. . . with better personal judgement. The scheme works best of course if there is a some repetitive price behaviour and a as long as that continues it is ok. In any case
I would not let the system run as a Robot.
If you look at the USD/EUR rate over the last 9 months then it is quite well behaved. The greatest deviation form the Mid Point in this period is 8,45 % and the total drop from the top price was16,5 %, and that is well behaved.
The optimised ROTAI was 56% Annual Return on the 9 month historical Data set. The optimised parameters are not very different than I used for the Portfolio that I started on October 29.
The problem now is that I am running that portfolio on the Progressive ladder, so I will start a new Portfolio for doing the test also with the optimised parameters.
Lost of work!
But this will not work. If in the recent past if the market dropped 80% over the last year everything will point to it going down further even though there is likely to be quite a bounce like in 2003 and 2010
Of course it will work . . even if it does not work as you like it it will still work
. First, you do not want to take a very long history for then a reversal has very little effect. Second, IF a stock is worth holding onto after it has dropped 80 of its value then the trading would have added lots of shares! This is the purpose of buying at low prices. . .and if I have used the Delay Filter then at a price reversal the Reserve is invested efficiently. At such a point you get sell orders when the rise continues and executing them with the Delay Filter does the job, even if the Sell is not optimally sized. After a sudden change the parameters will not be optimum but with a short historical set and more optimisation the parameter set will get better.
It will by no means be perfect. . .and if the changes are very drastic one needs to abandon the optimised parameters and set them on the basis of a short history or simply set them back for the current behaviour. Its a lot of work but as long as one is in touch it is always possible to intervene. . . with better personal judgement. The scheme works best of course if there is a some repetitive price behaviour and a as long as that continues it is ok. In any case
I would not let the system run as a Robot.
If you look at the USD/EUR rate over the last 9 months then it is quite well behaved. The greatest deviation form the Mid Point in this period is 8,45 % and the total drop from the top price was16,5 %, and that is well behaved.
The optimised ROTAI was 56% Annual Return on the 9 month historical Data set. The optimised parameters are not very different than I used for the Portfolio that I started on October 29.
The problem now is that I am running that portfolio on the Progressive ladder, so I will start a new Portfolio for doing the test also with the optimised parameters.
Lost of work!
Conrad Winkelman
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http://investorshub.advfn.com/boards/board.asp?board_id=1341
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