Cybernetic Analysis for Stocks and Futures: Cutting-Edge...

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Cybernetic Analysis for Stocks and...

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

Name: Cybernetic Analysis for Stocks and Futures: Cutting-Edge DSP Technology to Improve Your Trading
ISBN: 9780471463078

John F. Ehlers

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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.

Categorías:

Business & Economics - Investing

Año:

2004

Edición:

Editorial:

Wiley

Idioma:

english

Páginas:

276

ISBN 10: