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Please remember, as pointed out to DT, that this StoRSI is a tool to trade the QQQ's. So many people are attracted to this vehicle (QQQ) that I thought it would be appropriate to share my research. I am not suggesting that anyone use the StoRSI on equity issues. I am suggesting that people look at the CMO5 (with the SMA filter). As an example, I've attached ABDE.
This stock swung from 27 to 85 during 2000...with volatile swings during that period. From November to mid March ('01) it gave it all back in a stunning downdraft. During the last 16 months it has chopped sideways. I thinkthis represents the possiblities fairly well. What I end up with is a stock that has traded the CMO5 with a "53/-53" trigger (and a 21 day SMA qualifier/filter). This scenario returns a win/loss of 21-5 and 114 points of profit (no commiss, slippage, etc.).
The important things are: I do endorse the CMO5 optimized at symmetrical triggers. I believe one should "filter" trades to "go with the flow" (13 period sma...21 period, you pick 'em).
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
----- Original Message -----
From: dingo
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 23, 2002 10:18 AM
Subject: [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..
So, let me ask the people who've actually used formula in systems and traded with them:
Is the formula below a good basis for a system? Please explain why and how you came to your conclusions!
What would YOU do to improve it or is it just not ready for prime time?
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 fromjust jumping off the deep end and potentially loosing a lot of money.
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 goabout doing this. Sort of an extended tutorial. Any comments on that?
Thanks in advance for all of your help!
dingo
Here's the formula:
/*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=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100;
tmpMA = 21;
Buy=Cross(17,StochRsi)AND Ref(MA(C,tmpMA),-1) < MA(C,tmpMA);
Sell=Cross(StochRsi,83);
Short=Cross(StochRsi,83) AND Ref(MA(C,tmpMA),-1) > MA(C,tmpMA);
Cover=Cross(17,StochRsi);
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<DIV><FONT face=Arial size=2>Whoa Dingo,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Please remember, as pointed out to DT, that this
StoRSI is a tool to trade the QQQ's. So many people are attracted to this
vehicle (QQQ) that I thought it would be appropriate to share my research.
I am not suggesting that anyone use the StoRSI on equity issues. I am
suggesting that people look at the CMO5 (with the SMA filter). As an
example, I've attached ABDE. </FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>This stock swung from 27 to 85 during 2000...with
volatile swings during that period. From November to mid March ('01) it
gave it all back in a stunning downdraft. During the last 16 months it has
chopped sideways. I think this represents the possiblities fairly
well. What I end up with is a stock that has traded the CMO5 with a
"53/-53" trigger (and a 21 day SMA qualifier/filter). This scenario
returns a win/loss of 21-5 and 114 points of profit (no commiss, slippage,
etc.).</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>The important things are: I do endorse the
CMO5 optimized at symmetrical triggers. I believe one should "filter"
trades to "go with the flow" (13 period sma...21 period, you pick 'em).
</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Take care,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Steve Karnish, CTA<BR>Cedar Creek Trading<BR><A
href="http://www.cedarcreektrading.com";>www.cedarcreektrading.com</A><BR>1-877-668-1125</FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
dingo </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:amibroker@xxxxxxxxxxxxxxx";
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Tuesday, July 23, 2002 10:18
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [amibroker] Preparing theStoRsi
for QQQ Formula For Trading as a System</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2><SPAN class=254340716-23072002>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></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><SPAN class=254340716-23072002>So, letme ask the
people who've actually used formula in systems and traded with
them:</SPAN></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><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></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><SPAN class=254340716-23072002>What would YOU do
to improve it or is it just not ready for prime time?</SPAN></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><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></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><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></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><SPAN class=254340716-23072002>Thanks in advance
for all of your help!</SPAN></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002>dingo</SPAN></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><SPAN class=254340716-23072002>Here's the
formula:</SPAN></FONT></DIV>
<DIV><FONT face=Arial size=2><SPAN
class=254340716-23072002></SPAN></FONT> </DIV>
<DIV><FONT face=Arial size=2><SPAN class=254340716-23072002><FONT
color=#008000 size=1>
<P><FONT face="Courier New" size=2>/*StochRSI on the QQQ's with MA</FONT></P>
<P><FONT face="Courier New" size=2>Courtesy: Steve Karnish</FONT></P>
<P><FONT face="Courier New" size=2>Optimized for 3/24/2000 - 7/22/2002
</FONT></P>
<P><FONT face="Courier New" size=2>Settings: Buy/Sell/Short/Cover =Next Day
Open</FONT></P>
<P><FONT face="Courier New" size=2>Long and Short</FONT></P>
<P><FONT face="Courier New" size=2>Commissions = 0</FONT></P>
<P><FONT face="Courier New" size=2>Stops and Targets = disabled</FONT></P>
<P><FONT face="Courier New" size=2>*/</FONT></P></FONT>
<P><FONT face="Courier New">StochRsi=</FONT><FONT face="Courier New"><FONT
color=#0000ff>EMA</FONT>((<FONT color=#0000ff>RSI</FONT>(<FONT
color=#ff00ff>8</FONT>)-<FONT color=#0000ff>LLV</FONT>(<FONT
color=#0000ff>RSI</FONT>(<FONT color=#ff00ff>8</FONT>),<FONT
color=#ff00ff>8</FONT>))/(<FONT color=#0000ff>HHV</FONT>(<FONT
color=#0000ff>RSI</FONT>(<FONT color=#ff00ff>8</FONT>),<FONT
color=#ff00ff>8</FONT>)-<FONT color=#0000ff>LLV</FONT>(<FONT
color=#0000ff>RSI</FONT>(<FONT color=#ff00ff>8</FONT>),<FONT
color=#ff00ff>8</FONT>)),<FONT color=#ff00ff>3</FONT>)*<FONT
color=#ff00ff>100</FONT></FONT><FONT face="Courier New">; </FONT></P>
<P><FONT face="Courier New">tmpMA = </FONT><FONT face="Courier New"><FONT
color=#ff00ff>21</FONT>; </FONT>
<P><FONT face="Courier New"></FONT></P><B><FONT
face="Courier New">Buy</FONT></B><FONT face="Courier New">=</FONT><FONT
face="Courier New"><FONT color=#0000ff>Cross</FONT>(<FONT
color=#ff00ff>17</FONT>,StochRsi)<B>AND</B> <FONT
color=#0000ff>Ref</FONT>(<FONT color=#0000ff>MA</FONT>(<B>C</B>,tmpMA),-<FONT
color=#ff00ff>1</FONT>) < <FONT color=#0000ff>MA</FONT></FONT><FONT
face="Courier New">(<B>C</B>,tmpMA);</FONT>
<P></P><B>
<P><FONT face="Courier New">Sell</FONT></B><FONT
face="Courier New">=</FONT><FONT face="Courier New"><FONT
color=#0000ff>Cross</FONT>(StochRsi,<FONT color=#ff00ff>83</FONT></FONT><FONT
face="Courier New">);</FONT></P><B>
<P><FONT face="Courier New">Short</FONT></B><FONT
face="Courier New">=</FONT><FONT face="Courier New"><FONT
color=#0000ff>Cross</FONT>(StochRsi,<FONT color=#ff00ff>83</FONT>) <B>AND</B>
<FONT color=#0000ff>Ref</FONT>(<FONT
color=#0000ff>MA</FONT>(<B>C</B>,tmpMA),-<FONT color=#ff00ff>1</FONT>) >
<FONT color=#0000ff>MA</FONT></FONT><FONT face="Courier New">(<B>C</B>,tmpMA);
</FONT></P><B>
<P><FONT face="Courier New">Cover</FONT></B><FONT
face="Courier New">=</FONT><FONT face="Courier New"><FONT
color=#0000ff>Cross</FONT>(<FONT color=#ff00ff>17</FONT>,StochRsi);</FONT></P>
<P><FONT face="Courier New"></FONT> </P>
<P><FONT size=1><FONT size=2></FONT> </P></FONT></SPAN></FONT></DIV><BR><BR><TT>Your
use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</TT>
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