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co94  
#1 Posted : Friday, April 1, 2005 6:10:04 PM(UTC)
co94

Rank: Newbie

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Joined: 4/1/2005(UTC)
Posts: 1
Location: New York

Hello users, In Constance Brown's book Technical Analysis for the Trading Professional (pp 35-36), she outlines a method of calculating the optimal %D in stochastics. Her computer runs simulations to determine what period for %D calculations yielded the best results. She was not interested in the profitability per se, just what period works best. Has anyone written a formula in MetaStock that replicates her caclulations? I.e., that will vary the period of %D to find what period yields the highest profitability. I tried doing it a few times, but I know I have the wrong answer. This book is part of the CMT Level 3 so I have a feeling I am not the only one asking this question.... Thanks in advance!
hayseed  
#2 Posted : Monday, April 4, 2005 3:07:45 AM(UTC)
hayseed

Rank: Advanced Member

Groups: Registered, Registered Users, Subscribers
Joined: 3/7/2005(UTC)
Posts: 1,345

hey co04.... i might not be the best person to answer your question, but a possible solution would be to just make multiple copies of the stochastic system test and then change the values incrementaly.... then run and compare all copies..... making the copies and corresponding stochastic changes will only take a couple minutes..... i included 1 that changed the moving average to 20......
buy order=Cross(Stoch(5,3),20) AND C>Mov(C,50,E) sell order=Cross(80,Stoch(5,3)) AND C<Mov(C,50,E) sell short=Cross(80,Stoch(5,3)) AND C<Mov(C,50,E) buy to cover=Cross(Stoch(5,3),20) AND C>Mov(C,50,E)
to optimize just change any of the values , that includes the 50 ema and the 80/20 trigger levels......... its likely you know this but some might not, there is a risk in over optimizing trading systems.... if you think about it backtesting a system only suggests its past prefomance.... it might do better or worse in the future..... check the equity line and plot the trades on a chart..... often times the reason a system worked so well in the past might be nothing more than funds buying or selling.... when the past is gone along with the funds activity that system might not work as well........ the markets are ever changing , metastock makes it easy to stay fluid with them.......h
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