MarketTrak Question/Comment Message


Posted By: Jim   Date: Thu Sep 27, 2007

Title: Filters?

Message:
  Re. your answer to WS & the model going Long tomorrow at the close, "This is a little troublesome to me as the market has already made a significant runup." Have you done testing, and have good results, on any additional filters that may be useful in applying to the model so as to prevent losses or large drawdowns?

Response:
  I have no filters external to the model. The evolutionary procedure in the model would automatically build in additional filters (logic branches) if it determined that they would improve results. My comment is based on personal experience. It seems to me that some profit taking is likely and the model might not be seeing this. Of course, I thought the same last year at this time when the market continued upward. It turned out that the model was correct and my intuition was wrong.

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