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Ok,
fess up!
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What
did you do with the REAL Stever Karnish? The one that was extolling the
virtues of robustness, symmetry, rolling backtests over extensive data, etc.
back in June? That grain dust gettin' to you, duude?
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<FONT face=Arial color=#0000ff
size=2>Disclaimer: This is supposed to be humorous. In case it isn't thensorry
'bout that..
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You
can sure start some great discussions around here and cause me to spend endless
hours working on ideas you introduce!
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<FONT face=Arial color=#0000ff
size=2>THANKS!
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<FONT face=Arial color=#0000ff
size=2>dingo
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-----Original Message-----From: Steve
Karnish [mailto:kernish@xxxx] Sent: Monday, July 22, 2002
11:10 AMTo: metastock@xxxx;
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
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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