Hello Jibes, I'll have to check that out. I became interested in W%R because it seemed to do a good job of predicting ups and downs just before the up or down.
Even though AI is reactive, rather than predicitve, I think there might be some value in using a predictive indicator as follows:
Let AI continue to react to price (and optionally volume) changes in order to issue recommendations. But, once AI issues a recommendation, modify it according to some predictive indicator. This might allow you to allocate your trades more efficiently -- of course I haven't tested this particular theory yet (one of the drawbacks to running a software company is that you actually have to produce software -- which really cuts into your research and testing time ;-)
The big problem, I see, is that although W%R appears to predict prices nicely, many times it will predict a price move but the actual move won't take place for a while. This might cause a premature modification of an AI recommendation.
What do you think about that line of thought?
I've also briefly looked at your AIM-REBAL effort. I think this is a good idea (as a matter of fact I gave a presentation at the 2001 AIM User's meeting, in Las Vegas, about rebalancing and AIM -- although I suggested using Modern Portfolio Theory to handle the rebalancing, see http://www.automaticinvestor.com/articles/mpt.html for more details).
I'll be following along and reading your results. If, during the course of your research, you come across anything interesting, feel free to post it here.
I noticed you didn't get good results with the first 4 DOW stocks. That mirrors my findings when testing the DOW -- it usually underperforms other indexes when used with AIM-like strategies. I'd suggest trying the Nasdaq 100. There are a number of good, volatile issues in there.
I'd also be interested in how AIM-Rebal works over various time periods (e.g. 1969 to 1979) other than those periods ending with this year.
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