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Steve,
Thanks for responding.
Good enough...dial the clock back to July/00, what made you select
17/83 as your initial triggers. On July/00, optimizing the prior
6mos, 12mos, 24mos for the Q's shows 12-14 and 88-86 as optimum
triggers?
Regards,
Jim
--- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> 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@xxxx>
> 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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