|
PureBytes Links
Trading Reference Links
|
Steve,
to point out a different perspective, the StochRSI [8, 17, 83] system
is profitable for the 40% of the N100 stocks.
A simple [for sure not ideal] TTM system like the
http://groups.yahoo.com/group/amibroker/message/21404
is profitable for the 80% of the stocks, with one universal
parameters pair [11,64] for any stock you trade.
After that, it is a matter of taste.
Day by day I am closer to TTM mentality and, frankly speaking, not
because I designed it.
As for the Costello period, Elvis was fine but I preferred Ian.
It was, again, a matter of taste...
Dimitris
--- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> Yuki,
>
> 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@xxxx>
> 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/
> >
> >
|