Hello all, I have been working on the MCP technique described in Aronson's book for some time now. I have just completed conversion of the C++ code on the web site to C# plus some associated utlities to massage AB data into the required format yet. No test yet; I will update under this thread.
A few words on the theoretical underpinnings. There has been new information since the book was published and the code written. I believe an update is in the works. Also you need to be cautious when running MCP on IS data. This is only valid under certain conditions. Otherwise you must run OOS. I had an email from Aronson explaining all this but can't find it. You might want to contact David directly - a good guy and willing to talk with readers. Finally, I would not reject walk forward. A very useful technique despite Aronson's reservations. Well integrated with AB too via Fred Tonetti's IO add-in. Best regards, Drew Yallop p.s. just remebered that there is discussion on MCP as a possible future addition to AB. Look in the AB suggestions section of the web site.
