The ideas are great, but not sure if they have practical application. I tried the Smoothed Adaptive Momentum Strategy and it really gives poor results, huge drawdowns for SPY, negative results with DIA, MDY, and SMH, even without transaction costs. If I optimize it for the training dataset, it performs badly on the test dataset. The Fisher Transform of normalized prices has definitely very sharp turning points, but backtesting shows the tendency to overtrade and has negative results for major indexes, without transaction costs.
Author(s): John F. Ehlers
Series: Wiley Trading
Edition: 1
Publisher: Wiley
Year: 2004
Language: English
Pages: 276
Contents......Page 12
Introduction......Page 14
CHAPTER 1 The Fisher Transform......Page 20
CHAPTER 2 Trends and Cycles......Page 30
CHAPTER 3 Trading the Trend......Page 40
CHAPTER 4 Trading the Cycle......Page 52
CHAPTER 5 The CG Oscillator......Page 66
CHAPTER 6 Relative Vigor Index......Page 74
CHAPTER 7 Oscillator Comparison......Page 82
CHAPTER 8 Stochasticization and Fisherization of Indicators......Page 86
CHAPTER 9 Measuring Cycles......Page 126
CHAPTER 10 Adaptive Cycle Indicators......Page 142
CHAPTER 11 The Sinewave Indicator......Page 170
CHAPTER 12 Adapting to the Trend......Page 184
CHAPTER 13 Super Smoothers......Page 207
CHAPTER 14 Without SpaceTime Warp—Travel......Page 233
CHAPTER 15 EvaluatingTrading Systems......Page 247
CHAPTER 16 Leading Indicators......Page 251
CHAPTER 17 Simplifying Simple Moving Average Computations......Page 261
CONCLUSION But Wait—There’s More!......Page 265
