Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long run
Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. No...
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