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Steve,
I think my thick head is finally starting to get the picture (the
chart you attached was a big help). When one combines a Moving
Average (13 or 21 or whatever) with the CMO(5), then one gets a trend
following system that uses an oscillator (the CMO) to time entries.
Also, I am not familar with MetaStock charts, so can someone explain
what the red rectangles at the top of a thin red line mean on Steve's
chart. They appear to signify some type of action (or cancalled
action?).
b
--- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> MessageWhoa 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 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.).
>
> 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@xxxx
> 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 from just 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 go about 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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