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Steve,
Can you comment on trigger level selection? Obviously on Jan 1st,
you didn't know that 17/83 was going to be the best trigger levels.
Looking back now, we can see it is optimum, but as you know, this
doesn't mean it's necessarily going to be the best going forward.
As you trade this system, how do you select an intial trigger level
(optimize prior n-days?) and do you change them as time goes by and
if so what do you base the changes on (re-optimize every n-days?)?
Thanks much,
Jim
--- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> 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, CTA
> Cedar Creek Trading
> www.cedarcreektrading.com
> 1-877-668-1125
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