AMI NDXrsil.afl                3/3/05   Ken Close-found the attached afl code on my hard drive. Read down the code and you will find a section that does the same thing as SignalPairTrade in Trade.

Trade-Singalpairtrade.afl  3/3/05 Ken Close-Another SignalPairTrade piece of code from Bruce Robinson---I neglected to mention the previous was also from Bruce

RUTTRft3.afl                      3/15/05    Tom Ttaso-I'm attaching an afl I just ran. this is not my code. I found something posted and just used it, with a minor change in the ROC calculations.
Anyway, I just ran it using the following:
1. apply to: current symbol which is dfscx
2. range: 10/1/99 to 3/11/2005
3. 0 day delays on both buy/sell
4. no stops used, nor anything else changed.

I ended up w/ an empty result.

I wonder if the reason is that I was trying to optimize for Mdd, and the best value for Mdd would be 0 (i.e. no trading)?

I think you should be able to use the stoploss on the actual fund you are trading. For example,
1. trade rspfx (or whatever) using ruttrft.
2. save the output fnu, XXX.fnu
3. then use the code above, w/ XXX as the fund.

So you're basically applying a trailing stoploss to your equity curve, although you can also certainly apply it to the fund/index you're using for the timing signal.


PSO Optimized.afl   3/15/05    Fred Tonnetti-Take note of the default values in this version (after optimization) ... because there is nothing in the fitness statement to keep the number of trades down the result of course is that the number of trades are quite high ...