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<SPAN
class=780480716-22072002>Thanks Steve, I know you are busy cooking
grain so this is more for general list consumption :-)
<SPAN
class=780480716-22072002>
Very
few trading topics are exhausted to the point where further discussion is
useless; I like nothing better than to discuss opposing ideas. It doesn't matter
who is right or wrong, most of the time there is no best-way
anyway. The objective is not to prove a point but to make ideas flow
and I thank many subscribers on this list for keeping me awake. Pleasekeep
posting opposing views, we have great discussions on this
list!
<SPAN
class=780480716-22072002>
Most
people accept your trading approach and no defense is expected, we all
choose different ways and we all try to find an trading method that weare
comfortable with and that we believe in.
<SPAN
class=780480716-22072002>
<SPAN
class=780480716-22072002><FONT color=#0000ff face=Arial
size=2>I am more comfortable with shorter trades
that are limited by various stops. Trading the QQQ more actively, without going
RT, gives me better results. I develop with pre 1/1/01 data and run
out of sample after that. To me the strongest "prove" that I am not
over-optimizing is that my system works on several years (or about 100
trades) of post development data.
<SPAN
class=780480716-22072002>
Good
luck with the grain-thing, Steve :-)
<SPAN
class=780480716-22072002>
<SPAN
class=780480716-22072002>Herman
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Karnish
[mailto:kernish@xxxx]Sent: Monday, July 22, 2002 11:10
AMTo: metastock@xxxx;
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
QQQ/StoRSI
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). It
is 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 results of
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 is
the hardest thing to wrap your arms around), and only trade in the direction
of the trend. Yes, it's that easy. Eliminate the "stinkin" trades
that were 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 side of the market.
Sorry, must get back to the grains... they are
cookin' in the fields and cookin' on the CBOT.
Take care,
Steve Karnish, CTACedar Creek Trading<A
href="">www.cedarcreektrading.com1-877-668-1125Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
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