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For interests sake I have attached a couple of images of the ARM03 run using the detrend S&P 500 data. It's only up to 1987 so far.
I have a price transformation routine setup accumulates the daily natural log return times 100 minus 0.0184. I will give it a spin, it will takes...
I was thinking that the term you used 'bar-after-bar' might have had some meaning that I wasn't familiar with. We are on the same page here.
I'm not 100% confident that I understand what you mean by bar-after-bar. It is similar to the overlapping block approach (bad description I know)...
The following is a description of how adaptation is enabled in BioComp Dakota. The concepts can potentially be implemented using other software...
No distinction was made between correlation and co-integration in the portion of the article that was available for me to read. This could be...
David Varadi is writing a superb series of articles on adaptation via combining different edges (what I call systems or signals). The first in the...
Hey Ron, Still waiting for the results of your quick test... Regards, James
I have attached a chart of the simulated net profit from 1980 to date. The following settings were used. Initial Trading Capital: $1,000,000...
Some background info: The systems posted so far would at best contribute towards a system of systems. The motivation for posting the details of...
The MarketSci blog contains some valuable information regarding the development of adaptive trading strategies. The following are links to some of...
There was no point in rearranging the formula. Somebody looking at the above would need a description of b1, b2 and b3 and not just that they are...
<strong>Introduction</strong> This post features an adaptive autoregressive momentum 'trading system'. The system trades the very short-term...
The entry and exit signals never change. Expanding on the curve-fitting subject: When people talk about curve-fitting as if it is an evil...
Interesting coincidence, I was just talking about the confusion that the misuse of the term curve-fitting creates on the other thread... The...
Introduction This post provides an overview of what I call 'static' versus 'walk-forward' curve-fitting. Trading software applications generally...
Yes you are right, the period varies and can potentially vary from one bar to the next for a given trade bot. I'm thinking that I haven't...
The change in price is normalized by dividing it by the square root of the period that the change occurred over. I don't understand how you...
Hi Ninna, The model has no non-linear components. On face value it is linear. However, because the weights are being adjusted bar by bar, over...
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