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Jim,
> doesn't mean it's necessarily going to be the best going forward.
I've been using these triggers for the past two years...and all "real
trades" (and posts) reflect out-of-sample. So, sure, looking back it looks
great...but, when it was implented two years ago, I didn't have any
assurance that it would continue to be the optimal levels.
> As you trade this system, how do you select an intial trigger level
> (optimize prior n-days?)
I think that's why most of use have purchased AB, MS, or TS. I run
simulations daily. That doesn't not mean that I change triggers (hardly
ever).
>and do you change them as time goes by and
> if so what do you base the changes on (re-optimize every n-days?)?
I think a really good sign that you should consider "tweaking" trigger
levels comes when your equity curve breaks it's trend line. If you have
results for a year or two and it is plotted in an equity curve and that
curve violates the channel that it has been trading in...then, it might be
time to rethink the triggers (or better yet...stop trading that vehicle). I
prefer to abandon the issue under these conditions. Since I prefer issues
that perform at most of the trigger levels, if an issue stops performing
wonders at one level, the chances are that it stinks at other levels. If
your spouse misbehaves, don't beat her/him...leave 'em.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
----- Original Message -----
From: jhellisjr <jhellisjr@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, July 23, 2002 10:02 AM
Subject: [amibroker] Re: QQQ/StoRSI - Trigger Level Selection
> 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
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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