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Thanks
Ken!
<FONT face=Arial color=#0000ff
size=2>
I was
hoping that you would chime in. I understand what you're saying aboutover
analyzing (as much as I can at this juncture). I've read enough about there
not being a "perfect" system to believe that plus my age helps me
understand it even more. I'm personally not on a quest for perfection
- just something that will give me a shot at making a decent return on
my money. But to get there I need to develop some skills that would give
me an ability to evaluate different formulae.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>So, I'd like to get inside your head a little more: You say you look
at the equity curve. Could you elaborate on that? Given the formula posted
could you tell me what info provided by AmiBroker do you look at in your
evaluation? I'm trying to come up with a methodology and need some
guidance.
<FONT face=Arial color=#0000ff
size=2>
[Note:
I just noticed that Steve posted a reponse and in it he said 'I
think a really good sign that you should consider "tweaking" trigger levels
comes when your equity curve breaks it's trend
line.']
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face=Arial color=#0000ff size=2>
I'd
also like to persue the money management aspects of a system as well. I've read
most of the messages for the last year or so and there are several discussions
regarding mm. If you have the time over the next several days is there a chance
you could discuss this? Or point me to some past discussions if you have any
links handy?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>dingo
<FONT
face=Tahoma size=2>-----Original Message-----From: Ken Close
[mailto:closeks@xxxx] Sent: Tuesday, July 23, 2002 12:48
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Preparing the StoRsi for QQQ Formula For Trading as a
System
<SPAN
class=540283416-23072002>Dingo:
<SPAN
class=540283416-23072002>
I find it
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 took one of
Steve Karnish's previous messages about CMO and worked and worked with itback
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 fromthe
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 atsome
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 advice
provided 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: Of course,
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 to Steve
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, letme 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 in advance
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 <FONT
color=#0000ff>Ref(MA(C,tmpMA),-<FONT
color=#ff00ff>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);
<FONT
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