ENGLISH

Cybernetic Analysis for Stocks and Futures: Cutting-Edge DSP Technology to Improve Your Trading

By John F. Ehlers

Book information

Publisher
Wiley
Year
2004
ISBN
9780471463078, 0471463078
Open Library ID
OL7617608M
Language
english
Format
PDF
Filesize
5 MB (5290419 bytes)
Series
Wiley Trading
Edition
1
Pages
276\276
Time added
2010-05-31 00:48:14

Description

The ideas are great, but not sure if they have practical application. I tried the Smoothed Adaptive Momentum Strategy and it really gives poor results, huge drawdowns for SPY, negative results with DIA, MDY, and SMH, even without transaction costs. If I optimize it for the training dataset, it performs badly on the test dataset. The Fisher Transform of normalized prices has definitely very sharp turning points, but backtesting shows the tendency to overtrade and has negative results for major indexes, without transaction costs.

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