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List(s),
I will try to answer as many of the publicly posted
messages later in the day. We are in the middle of the most exciting grain
markets in ten years and my time is being "chewed up" by my grain producing
traders.
A couple general comments on the StoRSI/QQQ
approach:
1. This will not trade 1997, 1897, or any
other distant history very well. The things that you read in most books
are utter bullshit (pertaining to testing out of sample for 'x' number of
years...going back to 1957). I'm not picking a fight and I refuse to
discuss or defend my statement (we've been down that road before). Itis
what it is. Always concentrate on what has happened during the last two
years and be flexible and inventive enough to monitor and understand how market
dynamics are changing.
2. One way to improve on the resultsof this
"skeleton system" is to apply a "filter". DT has provided excellent
contributions on how one might accomplish this. I'm a very "simple-minded"
guy who applies very basic approaches. I believe that makes my trading
more robust than a lot approaches with a lot of "whistles and bells" added
(over-optimizations).
Filter suggestions: Try only taking an
"opening" position in the QQQ when the 13 (21, or your number of choice)
SMA is pointing in the direction of your trade. Sounds too simple,
right? You can apply the same approach by using any number of linear
regression tools. Pick a "trend identifier" (and believe me, trend isthe
hardest thing to wrap your arms around), and only trade in the direction ofthe
trend. Yes, it's that easy. Eliminate the "stinkin" trades thatwere
initiated against the trend. A 13 day SMA is a starting point and with the
ability to "optimize" using AB, you can identify many averages that should
improve the overall performance and keep you (most times) on the right sideof
the market.
Sorry, must get back to the grains... theyare
cookin' in the fields and cookin' on the CBOT.
Take care,
Steve Karnish, CTACedar Creek Trading<A
href="">www.cedarcreektrading.com1-877-668-1125
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