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Most currencies, Heating Oil, Coffee, Lumber, and lo-Year Notes were profitable out-of-sample. The S&PSOO, Kansas Wheat, and Comex Gold were profitable out-of-sample, but lost money it-sample. The pattern is typical of what has been observed with breakout systems, i.e., the currencies, oils, and Coffee tend to be consistently profitable.

Figure 3-66 Time-division multiplexing (TDM)

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Table 5-3 summarizes breakout results broken down by model, sample, and order type. ARRR = the annualized risk-to-reward ratio, ROA = the annualized return on account, and AVTR = the average trade s profit or loss.

discern the shape of the original wave from their collective amplitudes. Imagine also that we have graphed these samples in such a way that the wave of sample points meanders above and below an established zero point on the x-axis, so that some of the samples have positive values and others are negative, as shown. The amplitude levels allow us to assign values to each of the PAM samples, although a glaring problem with this technique should be obvious to the careful reader. Very few of the samples actually line up

namespace SilverlightApplication1 { public partial class MainPage : UserControl { public MainPage() { InitializeComponent(); } } }





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In the optimization sample (1985 to 1995). volatility breakouts worked best, the highest-high/lowest-low breakout fell in-between, and the close-only breakout did worst: this pattern was consistent across all three order types. In the verification period (1995 through 1998), the highest-higMowest-low continued to do slightly better than the close-only, but the volatility model performed much worse. For reasons discussed earlier, optimization cannot account for the relatively dramatic deterioration of the volatility breakout in recent years. Perhaps the volatility break out deteriorated more because of its early popularity. Even the best breakout models, however, do poorly in recent years. When broken down by model, three distinct periods were observed in the averaged equity curves. From August 1985 through June 1988, all models were about equally profitable. From June 1988 to July 1994, the HHLL and close-only models were flat and choppy. The volatility model showed a substantial gain from August 1992 through July 1994. From July 1994 until December 1998, the HHLL and close-only breakouts were choppy and slightly down, with the HHLL model somewhat less down than the close-only model; equity for the volatility model declined significantly.

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Both in- and out-of-sample, and across all models, the limit order provided the greatest edge; the stop and market-at-open orders did poorly. The benefit of the limit order for entering the market undoubtedly stemmed from its ability to obtain entries at more favorable prices, The dramatic impact of transaction costs and unfavorable entry prices is evident in Tests 1 and 2. Surprisingly, the limit order even worked with a trend-following methodology like breakouts. It might be expected that too many good trends would be missed while waiting to enter on a limit; however, the market pulls back (even after valid breakouts) with

exactly with the amplitudes delineated by the graphing process In fact, most of them fall between the values, as shown in the illustration It doesn t take much of an intuitive leap to see that several of the samples will be assigned the same digital value by the coder-decoder that performs this function, yet they are clearly not the same amplitude This inaccuracy in the measurement method results in a problem known as quantizing noise, and is inevitable when linear measurement systems, such as the one suggested by the drawing, are employed in coder-decoders (CODECs) Needless to say, design engineers recognized this problem rather quickly, and equally quickly came up with an adequate solution.

When a user clicks a button, chooses an item in a list box, or uses the cursor keys, the application must be able to respond to these events. These events are input events and are actually forwarded to Silverlight by the browser hosting the Silverlight plug-in. Other events, such as the application events just shown, are defined within Silverlight itself. Keyboard and mouse events are routed events. These events bubble up the tree of objects (until it is handled) starting at the first control to receive the input event. Let s create a simple example by adding a new UserControl named RoutedEventExample to the existing XAMLTour project and hook up MouseLeftButton down events.

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