Forum Archive Index - June 2001

["nick" <helmett@xtra.co.nz>]

          For a number of years i was heavily involved in
analysing and formulating horse racing systems whilst in the
uk. I was also part of a MENSA special interst group whose
specific purpose was backtesting past horseracing results
with the intention of finding profitable systems.
           After many hundreds of hours study it became obvious
that it was relatively easy to find systems which would make paper
profits based on past results, often over many seasons.
    However when applied to present and future races virtually
all the systems produced a negative return or at best a small
profit.
           Apply this to your GPG analysis and we can see it hardly
suprising
that you are able to find a system that beats buy and hold.
The fact the shares have consistantly risen in value should make it
even easier.
    If the best that can be managed is a 4% increase over buy and hold
based on a best case analysys of previous results then it might be
better to put the shares
in the bottom draw and go and find a new hobby

     Nick

     P.S i realise you take into account many other factors
than moving average,  however the fact remains that past results
are not a guarantee of future winnings




>   I tested a double moving average crossover system on GPG on my database,
optimising for maximum gain. The results (using simple moving averages) were
as follows :- optimum ma values 7 and 67. Average gain 13% pa. (Buy/Hold
gain was 9% pa) 41% of trades were profitable, 59% of trades resulted in a
loss. The maximum number of consecutive losing trades was 4. Using
Exponential moving averages, the results were ma 10/62, 8% pa, other results
same as simple ma. Now, you tell me, - is this moving average system worth
using on this stock?
>                                       Phaedrus.
>
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