Recent Content by jalsck

  1. Adaptive Trading Strategies

    I haven't tended to build systems based on published strategies. I have one system that uses David Varadi's DVAM indicator and I have built a...
    Post by: jalsck, Nov 22, 2010 in forum: Strategy Building

  2. Adaptive Trading Strategies

    The SMA Crossover 5/30 system requires rapid adaptation of parameter values. Possibly a total inversion of the model is required aperiodically....
    Post by: jalsck, Nov 22, 2010 in forum: Strategy Building

  3. Adaptive Trading Strategies

    I've been thinking about it, but I can't really add anything other than my approach didn't 'work' in this case. The exercise prompted the...
    Post by: jalsck, Nov 21, 2010 in forum: Strategy Building

  4. Adaptive Trading Strategies

    The following are the results for my implementation of the fixed 5/30 system. These figures differ slightly from Bills due to data or slight...
    Post by: jalsck, Nov 14, 2010 in forum: Strategy Building

  5. Adaptive Trading Strategies

    Thanks for the info Nitro. I have the book and have read a couple of other books on digital filters. There is a filter I have coded up that I can...
    Post by: jalsck, Nov 13, 2010 in forum: Strategy Building

  6. Adaptive Trading Strategies

    Thanks for letting us know rickty. Nitro, the penny dropped today - I didn't really do what you suggested by feeding the S&P 500 ARM03 system...
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  7. Adaptive Trading Strategies

    This spreadsheet calculates and graphs the equity curve based on my understanding of the system.
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  8. Adaptive Trading Strategies

    There was no intention to mislead anyone or to offend. I was talking about my fixed 5/30 system not yours. I have attached a spreadsheet that...
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  9. Adaptive Trading Strategies

    I checked a Dakota 5/30 system against a spreadsheet and they were in perfect agreement. I am using simple moving averages of the closing price...
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  10. Adaptive Trading Strategies

    According to the Dakota documentation my initial understanding of how the trading delay works was correct. I am going to check all values on a...
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  11. Adaptive Trading Strategies

    It is related to the trading delay. I just set the trading delay to zero and the equity curve looks good. However, my understand is that a trading...
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  12. Adaptive Trading Strategies

    Thanks for the trade report. I don't think it is the bots. I am using SMAs of the close and trading on the next open. Are you doing the same?
    Post by: jalsck, Nov 11, 2010 in forum: Strategy Building

  13. Adaptive Trading Strategies

    The trade report for the QQQQ SMA Crossover system is attached.
    Post by: jalsck, Nov 10, 2010 in forum: Strategy Building

  14. Adaptive Trading Strategies

    I used the following parameter ranges for the QQQQ SMA Crossover system: Plus SMA length 2 to 8 Minus SMA length 20 to 40 The lookback...
    Post by: jalsck, Nov 10, 2010 in forum: Strategy Building

  15. Adaptive Trading Strategies

    The attachment is the trade report for the S&P 500 ARM03 system using detrended data. As I mentioned earlier, the trade report needs some work.
    Post by: jalsck, Nov 10, 2010 in forum: Strategy Building