tag:blogger.com,1999:blog-7630810606654250077.post2203297751900971997..comments2023-05-12T04:18:09.354-07:00Comments on Timely Portfolio: Slightly Different Use of Ralph Vince’s Leverage Space Trading Modelklrhttp://www.blogger.com/profile/08783806801212705259noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-7630810606654250077.post-16109490570069309732011-05-05T08:29:09.891-07:002011-05-05T08:29:09.891-07:00thanks so much for the great comments and question...thanks so much for the great comments and questions. 12m and 36m are some of my standard settings, but you're right after testing with additional international markets, 9m and 30m seemed to generally outperform. The 1987 experience probably could be minimized with daily or weekly data. Maybe I will try weekly in a post to confirm or deny that thought and extend the example. thanks again klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-29025336872613771112011-05-05T07:46:35.125-07:002011-05-05T07:46:35.125-07:00i do have a question the settings for 'optim&#...i do have a question the settings for 'optim' in the WF parameters. were those arbitrary settings?<br />i noticed above that you mentioned using 12m and 36m return series as signal generator but it looks like you are using the 9m and 30m for the signals. from 1990 on it looks like a better performance using 12m/36m.cidielhttps://www.blogger.com/profile/16087543940772252902noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-50620284150737358942011-05-05T07:24:16.496-07:002011-05-05T07:24:16.496-07:00great example thanks very much, although still try...great example thanks very much, although still trying to figure out exactly what i'm looking at in the code and decipher everything. I did notice that the model was able to accurately exit the market in the 2000 crash and the last crash as well, and if you run from 1990 on it outperformed the market.. the big problem was the crash of '87 which had no warning signal for it. going to mess cidielhttps://www.blogger.com/profile/16087543940772252902noreply@blogger.com