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<SPAN
class=540283416-23072002>Dingo:
<SPAN
class=540283416-23072002>
I findit
somewhat interesting that several people have posted systems that they say are
profitable and which backtest profitable, yet we (this is not pointed at you
personally dingo, but all of us that have many many questions) typcially want to
dissect and slice and dice something until we believe it is "perfect". I
am in this category too, although I am trying to change.
<SPAN
class=540283416-23072002>
I tookone of
Steve Karnish's previous messages about CMO and worked and worked with it back
in March and April. I sliced and diced and it continued to come up (very)
positive. I began trading it real bucks in May and continued until the
middle of June. The stats of my real trades were far different from the
backtesting it had done. One, I tended to "override" the system signals at
times (less than 25% of the signals). My analysis of my overrides were
that they canceled out---some went on to make profits while others went on to
lose money; it was a net wash. Two, I began analyzing the equity curve of the
system and sure enough, after 24+ months of almost steady incline up, it curved
over to horizontal and then to a decline, from which it is now running
horizontal again. The curve over was when I started trading. I will
trade it again, when the equity cuvre for the system begins a steady rise
again. Oh, yes, I wound up with less than 50% accuracy and avg win/avg
loss < 1, yet my total gain was a modest 2-4%. I did enrich Fidelity to
the tune of a bunch of commissions, however.
<SPAN
class=540283416-23072002>
So what is the
point of this little story: it is to suggest that the length of one's
studying a system (slicing and dicing) is proportional to that person's risk
adversion tendencies. I am not saying not to study a system, but at some
point you have to take the risk and begin trading it. The search for the
system that backtests well over 12-25 years with hundreds if not thousands of
stocks probably does not exist (or provides modest, average results), and
perhaps reflects risk adversion tendencies (not that these are bad, but carried
to extreme keeps one safely on the sidelines analyzing, rather than on-the-line
trading). Again, I am in this camp a lot and am not pointing at any
specific persons.
<SPAN
class=540283416-23072002>
For me, I will take the kinds of adviceprovided
by Karnish and Dimitris, study their systems enough to be comfortable, then
begin to trade them, adjusting as necessary when new learnings come to
light.
My two
centavos,
<SPAN
class=540283416-23072002>
<SPAN
class=540283416-23072002>Ken
<SPAN
class=540283416-23072002>
PS: Ofcourse,
money management principles are assumed to be understand and applied all along
the way in any of this.
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxx]Sent: Tuesday, July 23, 2002 12:19
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Preparing the StoRsi for QQQ Formula For Trading as a
System
Thanks toSteve
Karnish we've had a lot of discussion about developing a formula (see below)
that might be appropriate for actual use. I say "might" because (no slight to
Steve here) I'm not certain that I know how to determine that this formula would
make a good basis for a system. That's where I think we should aim our
next discussion..
<SPAN
class=254340716-23072002>
So, let me ask the
people who've actually used formula in systems and traded with
them:
<SPAN
class=254340716-23072002>
Is the formula below
a good basis for a system? Please explain why and how you came to your
conclusions!
<SPAN
class=254340716-23072002>
What would YOU do to
improve it or is it just not ready for prime time?
<SPAN
class=254340716-23072002>
I really think that
this would help a lot of us that are new to the "game" understand more about the
development process and prevent some of us from just jumping off the deep end
and potentially loosing a lot of money.
<SPAN
class=254340716-23072002>
BTW - I've been
thinking about taking some of the discussion about Steve's formula and putting
it into a document as and example of how one might go about doing this. Sort of
an extended tutorial. Any comments on that?
<SPAN
class=254340716-23072002>
Thanks inadvance
for all of your help!
<SPAN
class=254340716-23072002>
<SPAN
class=254340716-23072002>dingo
<SPAN
class=254340716-23072002>
Here's the
formula:
<SPAN
class=254340716-23072002>
<FONT color=#008000
size=1>
/*StochRSI on the QQQ's with MA
Courtesy: Steve Karnish
Optimized for 3/24/2000 - 7/22/2002
Settings: Buy/Sell/Short/Cover = Next Day
Open
Long and Short
Commissions = 0
Stops and Targets = disabled
*/
StochRsi=<FONT
color=#0000ff>EMA((RSI(<FONT
color=#ff00ff>8)-LLV(<FONT
color=#0000ff>RSI(8),<FONT
color=#ff00ff>8))/(HHV(<FONT
color=#0000ff>RSI(8),<FONT
color=#ff00ff>8)-LLV(<FONT
color=#0000ff>RSI(8),<FONT
color=#ff00ff>8)),3)*<FONT
color=#ff00ff>100;
tmpMA = <FONT
color=#ff00ff>21;
<FONT
face="Courier New">Buy=<FONT
face="Courier New">Cross(<FONT
color=#ff00ff>17,StochRsi)AND Ref(<FONT
color=#0000ff>MA(C,tmpMA),-1) <
MA<FONT
face="Courier New">(C,tmpMA);
Sell<FONT
face="Courier New">=<FONT
color=#0000ff>Cross(StochRsi,83<FONT
face="Courier New">);
Short<FONT
face="Courier New">=<FONT
color=#0000ff>Cross(StochRsi,83) AND
Ref(<FONT
color=#0000ff>MA(C,tmpMA),-1) >
MA(C,tmpMA);
Cover<FONT
face="Courier New">=<FONT
color=#0000ff>Cross(17,StochRsi);
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