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Linear Regression System by Jeff Ledermann
Here's a system that works. Its no Holy Grail but with a little common sense you'd be
hard pressed losing money with it. Steve posted it a while back (his "lumber.gif") so I can hardly take credit for the idea, but I think the system is so profitable that I felt I really ought to champion it a bit. I would characterise it as being a fairly aggressive short term system, so it's not everyone's cup of tea.

I have added a stochastic crossover to its exit which gets it out just that little bit earlier sometimes. I find that to get the best signals there is no point in optimising over too long a time frame (yea, I know I'm going to get flamed -- heretic, unbeliever) so I pick a period back where the security doesn't change character too much and re-optimise if something dramatic happens.

Another trick is to initially optimise coarsely over a very wide range and then select intermediate results that appear to be heading for the sort of trades that you'd like to see (not always the most profitable). Often there are many profit peaks and if you initially optimise over too small a range you won't see the best version for that particular security.

I also attach the optimised formula as a MetaStock Expert to securities that I follow. The Buy signal is uncanny and the first few times you really wonder about your sanity.


Linear Regression Trading System

Enter Long:

Cross(opt2,ForecastOsc(O,opt1))

Close Long;

Cross(ForecastOsc(O,opt1),opt3) OR Cross(Mov(Stoch(opt4,3),opt5,S),Stoch(opt4,3))

 

Jeff Ledermann
j.ledermann@uq.net.au
Source / From: TOP
http://www.guppytraders.com

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