Replies to post #2425 on Strategy Central

[mr_cassandra]

Of interest system vs system year-year

..............................v21.042(100% margin)
1997: 103.09%.........72%
1998: 70.59%.........158%
1999: 53.52%.........78%
2000: 200.30%........87%
2001: 186.27%........112%
2002: 75.81%.........88%
2003: 55.64%.........98%
2004: 16.10%.........78%
2005: 10.12%.........75%

If I was working on your program I'd focus on 2000-2001 and see if I agree with why results were so high and then I'd go after 2004-05 which seem very low. There may be something which can be ferreted out of what caused those extremes that may stabilize performance.

I'd start with making sure my code was uniformly copied across all those years and I's spot check indicator numbers in those two weak years.

In the high years did some signals get held open too long for some reason? I'd look for abnormal holding periods and/or trades getting triggered off for reasons I didn't agree with.

[capt_jmj]

Jim, my first post to you, so "Hello"...

Your ideas are very intriguing. I think I actually did something along these lines when in looking at the *shape* of the 20 year returns, I noticed that they appeared to take a marked upturn about 6 years ago and have been relatively linear since, and hence the current linear regression trendline on the total returns chart only goes back to July 00. However, as the market changes its character over time, it does not necessarily hold that the current trendline would continue forever, and might require adjustment. In fact, since we have been below the trendline for much of the current year, one might begin to worry if that sea change has already taken place. If I am interpreting your concept correctly, basically you are suggesting that the trendline be dynamically adapted for moving 5 year periods based on what the market has actually done, and reoptimize the settings to give the greatest returns over each of those periods. Might be a little tricky to get set up properly, but probably doable. I haven't found much that can't be done with Excel when you set your mind to it.

[positiontrader]

Jim,

BTW thanks again for your PPO idea that is part of CSGCOS

Regards

Marc