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Hi All,
I have seen people write several times about "detrending". I assume, as the
name implies, that it has something to do with factoring out trend related
data or characteristics. Can anyone please explain what exectly is
detrending, why we would want to do it, and how we would go about doing it?
Thanks very much?
Steve
----- Original Message -----
From: "dtsokakis" <TSOKAKIS@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, July 21, 2002 7:37 AM
Subject: [amibroker] Re: Fw: The Magic OUT3 [and the STOCHRSI]
> Mike,
> I did not optimize StochRSI parameters. I never traded quick StochRSI
> systems.
> For QQQ I prefer RSIt slow systems
> [11 trades/11 winners/0 losers since March 2000]
> with a cool performance nearly +500%
> I followed two of them since Jan 2002 with a cool result 5/5/0.
> [+12%, +13%, +14%, +13% and the last short since June 4 running today
> at +15%, not covered yet]
> QQQ is not the security for great profits, so I prefer low risk.
> The same cool behavior for CSCO.
> RSIt steady level slow systems were VERY protective for WCOME
> traders, [as for ENRON in the past...]
> [nearly +1500% since March 2000, with the following performance this
> year
> March 4, Long -1%
> March 5, Short +83%
> May 14, Long +25%
> May 22, open Short +93%]
> It is difficult for a 11/11/0 system to make wrong entries.
> It is somehow autoprotected. For WCOME, the duration of Long exposure
> was always just a few days, as if the system "knew" how to protect
> your investment.
> I can not explain more, I feel quite safe with RSIt oscillations.
> Of course, as my friend b pointed out, the performance was not the
> best for 90s.
> [RSIt was not even existing in 90s, since I designed it ...last year]
> But, we trade in 2002 and MANY "profitable" systems of 90s caused
> severe losses the last 30 months.
> In last analysis, trade with the trend, not with memories.
> The 90s traders and analysts make a crucial mistake : They do not
> detrend the B&H profits.
> We will make the same mistake, if we do not detrend Short profits for
> 2000-2002 and we are just impressed by huge percentages.
> With RSIt you could make interesting Long profits, even with WCOME
> [+35%]
> You may consider this +35% funny, but remember that it is better than
> buying at $40 or $30 and sell at $0.06 on July 1st !!!
> Dimitris Tsokakis
>
> --- In amibroker@xxxx, "mik954" <mik-u@xxxx> wrote:
> > Dimitris,
> >
> > Thanks for posting the system. QQQ results are very impressive for
> > this specific period.
> >
> > It returns even more than 750% for period 2000-current with EMA
> > period = 2, Period = 8, BLevel = 12, and Y <= 2.
> >
> > Good luck,
> > Mike
> >
> > --- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> > > Try also the
> > >
> > > Period =15;
> > > Blevel =30;
> > > Slevel = 100 - Blevel;
> > > Y=Foreign("~OUT3","V");
> > > XX=Foreign("~COUNT","V");
> > > D=DateNum()>1000301;
> > > Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/ (HHV
> > (RSI
> > > (period),period)- (LLV(RSI(period),period))),3)*100) AND Y<=2;
> > > Buy=D*Buy;
> > > Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
> > > (period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
> > > Sell=D*Sell;
> > > Short = Sell;
> > > Cover = Buy;
> > >
> > > which takes the final profits to +630% for the same period and
> > > settings.
> > > Since the period is increased we have only 24 trades, 19 winners,
> 5
> > > losers.
> > > Without the magic OUT3, this system would remain nearly +120%.
> > > This level of +600% to +650% for total Net profit, is
> satisfactory
> > > for QQQ. Various conditional oscillators converge to this
> > interesting
> > > limit.
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx> wrote:
> > > >
> > > > ----- Original Message -----
> > > > From: Dimitris Tsokakis
> > > > To: amibroker@xxxx
> > > > Sent: Saturday, July 20, 2002 2:51 PM
> > > > Subject: Fw: The Magic OUT3 [and the STOCHRSI]
> > > >
> > > >
> > > > Since it was to be continued, here is the application on QQQ
> > > StochRSI.
> > > > Apply the magic Y<=2 to improve profitability from +242% to
> > > +474% !!!
> > > > Just with the magic OUT3.
> > > > Settings
> > > > buy, sell, short, cover at open, delay +1
> > > > commission 0.5%, all stops disabled
> > > > Application QQQ
> > > > period March 01, 2000 till now.
> > > > /*StochRSI system*/
> > > > Period = 8;Blevel = 17;Slevel = 100 - Blevel;
> > > > D=DateNum()>1000301;
> > > > Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/
> (HHV
> > > (RSI(period),period)- (LLV(RSI(period),period))),3)*100);
> > > > Buy=D*Buy;
> > > > Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
> > > (period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
> > > > Sell=D*Sell;
> > > > Short = Sell;
> > > > Cover = Buy;
> > > > 56 trades, +242%
> > > > /*Improved StochRSI system with the Magic OUT3 additive*/
> > > > Period = 8;
> > > > Blevel = 17;
> > > > Slevel = 100 - Blevel;
> > > > Y=Foreign("~OUT3","V");
> > > > D=DateNum()>1000301;
> > > > Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/
> (HHV
> > > (RSI(period),period)- (LLV(RSI(period),period))),3)*100) AND
> Y<=2;
> > > > Buy=D*Buy;
> > > > Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
> > > (period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
> > > > Sell=D*Sell;
> > > > Short = Sell;
> > > > Cover = Buy;
> > > >
> > > > 34 trades, +474%
> > > > Not bad at all...
> > > > Dimitris Tsokakis
> > > > PS. Applying the simple STOCHRSI system on the bloody WCOME you
> > end
> > > with a -87% for the same period.
> > > > With the magic OUT3 additive, you are at a nice +23% and, if
> you
> > > are a WCOME fun, you may keep on trading this stock
> > > >
> > > > ----- Original Message -----
> > > > From: Dimitris Tsokakis
> > > > To: amibroker@xxxx
> > > > Sent: Wednesday, June 26, 2002 4:06 PM
> > > > Subject: The Magic OUT3
> > > >
> > > >
> > > > Are you disappointed from your trading system ?
> > > > Apply the magic condition and you will be surprised !!
> > > > Create first the "~OUT3" artificial ticker.
> > > > Scan the whole N100 with
> > > >
> > > > /*OUT 1, 2, 3*/
> > > > KUP=EMA((H+L+C)/3,10)+EMA(H-L,10);
> > > > KDOWN=EMA((H+L+C)/3,10)-EMA(H-L,10);
> > > > OUT1=C<KDOWN AND Ref(C,-1)>Ref(KDOWN,-1);
> > > > OUT2=C<KDOWN AND Ref(OUT1,-1);
> > > > OUT3=C<KDOWN AND Ref(OUT2,-1);
> > > > AddToComposite(OUT3,"~OUT3","V");
> > > > Buy=0;
> > > >
> > > > The "magic" ticker is Y, defined from the relation
> > > > Y=Foreign("~OUT3","V");
> > > > Let us see some applications.
> > > > a. The MACD() crossover.
> > > > We all know that MACD crossover fails in bearish markets.
> > > > Except if we add the magic OUT3 Y==0 or Y==1.
> > > >
> > > > The MACD crossover, after March1, 2000 is
> > > >
> > > > D=DateNum()>1000301;
> > > > Buy=D*(Cross(MACD(),Signal()));
> > > > Sell=D*(Cross(Signal(),MACD()));
> > > > Short=Sell;Cover=Buy;
> > > >
> > > > On QQQ gives a -67%.
> > > > Magic OUT3 may change it to +9.36% with
> > > > /*Magic 1*/
> > > > Y=Foreign("~OUT3","V");
> > > > D=DateNum()>1000301;
> > > > Buy=D*(Cross(MACD(),Signal()) AND Y==1);
> > > > Sell=D*(Cross(Signal(),MACD()));
> > > > Short=Sell;Cover=Buy;
> > > >
> > > > or to +60% with
> > > >
> > > > /*Magic 2*/
> > > > Y=Foreign("~OUT3","V");
> > > > D=DateNum()>1000301;
> > > > Buy=D*(Cross(MACD(),Signal()) AND Y==0);
> > > > Sell=D*(Cross(Signal(),MACD()));
> > > > Short=Sell;Cover=Buy;
> > > >
> > > > For the whole N100, the simple MACD() crossover is "extreme
> > > game" : -61%
> > > > with 5 profitable and 96 not profitable stocks !!!
> > > > With the magic OUT3 may rise to +3% or +9% for the respective
> > > additions.
> > > >
> > > > B. The Stochastics 30/70 system
> > > > Another nice but suffering system
> > > > For the whole N100, the "traditional" 30/70
> > > >
> > > > D=DateNum()>1000301;
> > > > Buy=D*(Cross(StochD(),30));
> > > > Sell=D*(Cross(70,StochD()));
> > > > Short=Sell;Cover=Buy;
> > > >
> > > > gives a -30%.
> > > > Touch it with the magic OUT3 and you change from -30% to +30% !!
> > > >
> > > > Y=Foreign("~OUT3","V");
> > > > D=DateNum()>1000301;
> > > > Buy=D*(Cross(StochD(),30) AND Y==1);
> > > > Sell=D*(Cross(70,StochD()));
> > > > Short=Sell;Cover=Buy;
> > > > For example, YHOO changes from +32% to +250%.
> > > >
> > > > So, if you still use loosing systems, you may improve their
> > > performance, adding Y==0 or
> > > > Y==1 or Y<2 etc to the previous Buy condition.
> > > >
> > > > Dimitris Tsokakis
> > > > PS Are you curious for the respective magic Sell additive ?
> > > > [to be continued]
>
>
>
>
>
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>
>
>
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