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Just to add a couple of things to your fine comments:
Tuesday, July 23, 2002, 12:09:31 AM, you wrote:
SK> A couple general comments on the StoRSI/QQQ approach:
SK> Filter suggestions: Try only taking an "opening" position in the
SK> QQQ when the 13 (21, or your number of choice) SMA is pointing in
SK> the direction of your trade. Sounds too simple, right? You can
SK> apply the same approach by using any number of linear regression
SK> tools. Pick a "trend identifier" (and believe me, trend is the
SK> hardest thing to wrap your arms around), and only trade in the
SK> direction of the trend. Yes, it's that easy. Eliminate the
SK> "stinkin" trades that were initiated against the trend. A 13 day
SK> SMA is a starting point and with the ability to "optimize" using
SK> AB, you can identify many averages that should improve the
SK> overall performance and keep you (most times) on the right side
SK> of the market.
Another simple idea for improving percentage winners here is to NOT
take signals where price doesn't react to the signal itself. You got
a buy signal, but prices opened sharply lower the next morning, and
you took the signal anyway? Okay. It will work sometimes, but when
one does that one is saying that one's market genie is now smarter
than the market as a whole. And when one is trading a very short
term system (as I like to do), one needs to be very sensitive to
short term price, IMO. Maybe one of you coders out there could run
some tests and figure out the results for the following:
1) what percentage of trades went south (or had uncomfortably --
yeah, hard to agree on what that means for everyone -- large draw
downs before coming back) when price failed to exceed the high of the
signal day on the day you were supposed to pull the trigger
2) what is the optimal waiting period for price to exceed the high of
the signal day (next bar only? two bars? four bars?) IOW, when
does the signal become null and void when price fails to follow
through, based on a back test
Finally, Steve and I both yearn for complete hands-off automation.
But there's clearly a trade off. On the plus side, if you really
have a good system, keeping hands off keeps you from mucking it up.
On the down side, you have to live with situations from time to time
that are probably pretty easy to second guess. Specifically, taking
counter trend signals on a short term oscillator when there is no
nearby reasonable price support (the place where you cut and run if
it fails) can lead to some pain. And the obvious exit is, to me,
rather obvious. :)
A couple of comments on my attached cut of Steve's gif.
Best,
Yuki
mailto:yukitaga@x...
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