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Thanks
Steve!
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size=2>
I
guess I should have said explicitly " Preparing the StoRsi for QQQ Formula For
Trading as a System on QQQ only.
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size=2>
I
understand that this is NOT for any other vehicle.
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<FONT face=Arial color=#0000ff
size=2>Additionally, I'm saying that I'm NOT jumping off the deep end andgoing
to start trading this afternoon (or any day soon). I'm trying to take the
discussion to the next level: Given a formula that looks good. What do you do
after that? What can you do to further analyze it? What information does
Amibroker provide that should jump out at you other than the smooth equity
curve?
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For
instance, I notice that there are some pretty hefty losses on a couple of the
trades. I see on the back test report that the short dated 10/1/2001 lost
19.4%. I then look on the report in the Performance section and
see the stats for Max. Trade % drawdown of -32.79.
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How
about things like Exposure, profit factor, Ratio avg win/avg loss. Is
there a conventional wisdom as to what brackets these should be within? Are
there other stats that should be within some parameters that idicate
"soundness". (Now, I know that word "soundness" has different meanings for
different people and their styles.)
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I'm
trying to have a discussion along academic lines but use a real example in the
discussion. I know it will help me and I can't help but think it will help
others.
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<FONT face=Arial color=#0000ff
size=2>dingo
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-----Original Message-----From: Steve
Karnish [mailto:kernish@xxxx] Sent: Tuesday, July 23, 2002
1:30 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Preparing the StoRsi for QQQ Formula For Trading as a
System
Whoa Dingo,
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 monthsit
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.).
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, CTACedar Creek Trading<A
href="">www.cedarcreektrading.com1-877-668-1125
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxx
href="">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..
<SPAN
class=254340716-23072002>
So, let me ask
the people who've actually used formula in systems and traded with
them:
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class=254340716-23072002>
Is the formula
below a good basis for a system? Please explain why and how you came toyour
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(<FONT
color=#0000ff>MA(C,tmpMA),-1) <
MA<FONT
face="Courier New">(C,tmpMA);
Sell<FONT
face="Courier New">=<FONT
color=#0000ff>Cross(StochRsi,<FONT
color=#ff00ff>83);
Short<FONT
face="Courier New">=<FONT
color=#0000ff>Cross(StochRsi,83)
AND Ref(<FONT
color=#0000ff>MA(C,tmpMA),-1) >
MA<FONT
face="Courier New">(C,tmpMA);
Cover<FONT
face="Courier New">=<FONT
color=#0000ff>Cross(<FONT
color=#ff00ff>17,StochRsi);
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