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Owen,
"I can see only three ways to figure out how changing market
conditions will affect your system: extensive testing that covers long
periods
of data; decades of actual trading, using a variety of methods in many
different market conditions, or taking an ugly bath in red ink."
I plead quilty to all of the above. Market conditions are very, very
overrated. If you system can't slug through every conceivable market...pack
it up and buy a variable annuity. The QQQ post, with the StoRSI triggers,
is a "platform" to build on. For someone to suggest that the NDX or the XYZ
is a substitute for this unique entity (QQQ) is totally riduculous. Nothing
substitutes anything. Keying off one issue to improve performance in other
issues is trading folly.
Don't get me wrong. I can make back tested numbers bark as loud as anyone
on this forum. If you want me to create systems that have perfect track
records....give me a few hours and I will dazzle you silly. But silly, is
the key word. It has nothing to do with reality and seriousness.
I would urge anyone to test the StoRSI on the QQQ and pick a SMA to filter
trades (as discussed in the earlier email to Yuki). Who gives a rip if the
market is going to zero? I just want to enter trades on the side of the
market movement. Go long in uptrends, go short in downtrends...triggered by
a robust, symmetrically triggered, momentum oscillator.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
----- Original Message -----
From: Owen Davies <owen5819@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, July 22, 2002 5:57 PM
Subject: Re: [amibroker] QQQ/StoRSI
> Among other comments, intersting as always, Steve Karnish wrote:
>
> > 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.
>
> I am not going to ask you to defend this, because I'm not going to attack
> it,
> even though it is counter to my own dogma. My practices reflect my own
> limitations: I can see only three ways to figure out how changing market
> conditions will affect your system: extensive testing that covers long
> periods
> of data; decades of actual trading, using a variety of methods in many
> different market conditions, or taking an ugly bath in red ink. Given a
> choice between method one and method three, I'll test over the
> longest period I can.
>
> I do know one trader who periodically changes his markets and techniques,
> going wherever the profits look best to him. When we met, he was fading
> the premium on the S&P, on 3-minute bars. A few months later, he had
> gone to volatility breakouts on one of the overseas markets, having
> optimized
> his breakout threshold over a period that seemed to me very short. He
once
> said that years ago he had spent 18 months in Paris just fading the RSI
and
> almost could do no wrong. This flexible approach works for him, and
> has for something like 20 years. Not sure it would work for me.
>
> I'm also not sure it would work for most people here, and this is where
> I have a problem with one of our more interesting and productive
> participants.
> He may have the skill to change his methods when the market changes,
> before his account goes under. And if not, that's his problem. Nobody
> in this business wastes many tears when somebody gets carried out.
> But I do worry that his obvious intelligence and creativity will inspire
> others to follow his lead, even though they lack the skill and experience
> to get out when things go wrong. That's their problem, too, of course,
> but somehow it leaves me a little queasy.
>
> Anyway, all this leaves me wondering, how do less experienced traders
> understand their systems well enough to recognize trouble if not by
> seeing how it would have performed in different historical markets?
> Any thoughts, Steve?
>
> Owen Davies
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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