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As usual, you are very perceptive and wise. I was waiting for someone to
comment on the last six months of buy signals. Unfortunately, the first
comment I received was someone noticing that the trading system did "a
really good job picking the tops (sell signals), but not so good with the
buy signals...can you tell me why that might be"? Sometimes you just have
to smile. As Elvis sings (Costello, not the King): "I used to be
disgusted, now I just amused..."
Since you have hit the mark with your comments, here's a little filter for
improving the QQQ approach. Only take trades in the direction of today's 21
day SMA. If you trigger a "buy signal" (indicator closes below the StoRSI
level of 17), then today's SMA must be larger than yesterdays. Exit rules
are the same (sell the following day the StoRSI closes above 83), except
when the SMA has turned negative and then you simply reverse the position.
Attached is the same StoRSI QQQ chart but with the 21 day SMA "filter. It's
profited on 9 of the last 10 trades and has 17 winners in the last 20
trades.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
----- Original Message -----
From: Yuki Taga <yukitaga@xxxx>
To: Steve Karnish <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, July 22, 2002 4:29 PM
Subject: Re: [amibroker] QQQ/StoRSI
> Hi Steve,
>
> 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...
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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