This is just phenomenal, thanks for sharing. I doubt the aforementioned results were curve-fitted to a basket of exotic futures, yet I'm curious as to how the system performed during recent times.sluggo wrote:Tim, Tim, Tim. I keep trying to gently suggest that you include non-US futures in your testing portfolio, but it appears I still haven't succeeded.
I find that when I run the 3MA system for CY2005 using the same number of markets ( 28 ) as you ran, but employing an international portfolio of futures markets, the results are noticeably better. This portfolio includes quite a few overseas instruments, such as CSI Commodity Numbers 58, 131, and 565. They are traded in frightening, exotic locations like the steamy jungles of Winnipeg, Frankfort, and London. Oooohh, scary.
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