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Steve,
Do not worry, I read carefully your mails.
I made some comments, if it is permitted.
You do not like comments, creative or not.
The [8, 17, 83] StoRSI system is a medium performance system for QQQ.
I do not see any reason you selected this combination two years ago
[except inspiration perhaps] for QQQ.
A +250% is not bad for this period, but it is far from a model system.
QQQ interesting systems are in the area of +500% to +600%, without
any peculiar overoptimization.
With some smart additives, even to StoRSI, we may reach +800% to
+900%.
But, let us be serious for a while:
It is not the right place to discuss about NON-OPTIMIZED QQQ systems
with 15 to 20 trades and clear profits of +2500% for the last 30
months. After +3000% QQQ is interesting up to +4015%. [this is my
limit for now, the research never ends...]
This could be the serious part of the discussion, if, someday, we
learn to discuss.
Until then, we may use English or non-english jokes to replace non
existing arguments.[I will not use Greek jokes, I have no intension
to insult you and this is totally out of the scopes of this list]
What is really impressing is that you do not accept ANY improvement,
as if you have the perfect solution for everything.
It is useless to make more comments, dialogue seem to be absent.
Disappointed [again]
Dimitris Tsokakis
--- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> DT,
> > to point out a different perspective, the StochRSI [8, 17, 83]
system
> > is profitable for the 40% of the N100 stocks.
>
> I never, ever suggested that the indicator or system had any value
when
> applying it to N100 stocks. As I have stated: If you want an
approach that
> trades the N100 with 100% profitability, I can design the system in
a few
> hours (a best fit, over optimized, piece of crap).
>
> In the past, I've asked that you read my posts carefully and not
assume
> anything. Saying that the StoRSI system doesn't work well on the
N100 is
> like me saying that the TTM system sucks when appliedto pork
bellies and the
> Mexican Peso. It's totally unfair to take things out of context.
By the
> way, do you still beat your wife? A simple yes or no answer will
suffice.
>
> Take care,
>
> Steve Karnish, CTA
> Cedar Creek Trading
> www.cedarcreektrading.com
> 1-877-668-1125
>
> ----- Original Message -----
> From: dtsokakis <TSOKAKIS@xxxx>
> To: <amibroker@xxxx>
> Sent: Tuesday, July 23, 2002 6:11 AM
> Subject: [amibroker] Re: QQQ/StoRSI
>
>
> > Steve,
> > to point out a different perspective, the StochRSI [8, 17, 83]
system
> > is profitable for the 40% of the N100 stocks.
> > A simple [for sure not ideal] TTM system like the
> > http://groups.yahoo.com/group/amibroker/message/21404
> > is profitable for the 80% of the stocks, with one universal
> > parameters pair [11,64] for any stock you trade.
> > After that, it is a matter of taste.
> > Day by day I am closer to TTM mentality and, frankly speaking, not
> > because I designed it.
> > As for the Costello period, Elvis was fine but I preferred Ian.
> > It was, again, a matter of taste...
> > Dimitris
> > --- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> > > Yuki,
> > >
> > > As usual, you are very perceptive and wise. I was waiting for
> > someone to
> > > comment on the last six months of buy signals. Unfortunately,
the
> > first
> > > comment I received was someone noticing that the trading system
> > did "a
> > > really good job picking the tops (sell signals), but not so good
> > with the
> > > buy signals...can you tell me why that might be"? Sometimes you
> > just have
> > > to smile. As Elvis sings (Costello, not the King): "I used to
be
> > > disgusted, now I just amused..."
> > >
> > > Since you have hit the mark with your comments, here's a little
> > filter for
> > > improving the QQQ approach. Only take trades in the direction
of
> > today's 21
> > > day SMA. If you trigger a "buy signal" (indicator closes below
the
> > StoRSI
> > > level of 17), then today's SMA must be larger than yesterdays.
> > Exit rules
> > > are the same (sell the following day the StoRSI closes above
83),
> > except
> > > when the SMA has turned negative and then you simply reverse the
> > position.
> > >
> > > Attached is the same StoRSI QQQ chart but with the 21 day
> > SMA "filter. It's
> > > profited on 9 of the last 10 trades and has 17 winners in the
last
> > 20
> > > trades.
> > >
> > > Take care,
> > >
> > > Steve Karnish, CTA
> > > Cedar Creek Trading
> > > www.cedarcreektrading.com
> > > 1-877-668-1125
> > > ----- Original Message -----
> > > From: Yuki Taga <yukitaga@xxxx>
> > > To: Steve Karnish <amibroker@xxxx>
> > > Sent: Monday, July 22, 2002 4:29 PM
> > > Subject: Re: [amibroker] QQQ/StoRSI
> > >
> > >
> > > > Hi Steve,
> > > >
> > > > Just to add a couple of things to your fine comments:
> > > >
> > > > Tuesday, July 23, 2002, 12:09:31 AM, you wrote:
> > > >
> > > > SK> A couple general comments on the StoRSI/QQQ approach:
> > > >
> > > > SK> Filter suggestions: Try only taking an "opening"
position in
> > the
> > > > SK> QQQ when the 13 (21, or your number of choice) SMA is
> > pointing in
> > > > SK> the direction of your trade. Sounds too simple, right?
You
> > can
> > > > SK> apply the same approach by using any number of linear
> > regression
> > > > SK> tools. Pick a "trend identifier" (and believe me, trend
is
> > the
> > > > SK> hardest thing to wrap your arms around), and only trade
in the
> > > > SK> direction of the trend. Yes, it's that easy. Eliminate
the
> > > > SK> "stinkin" trades that were initiated against the trend.
A 13
> > day
> > > > SK> SMA is a starting point and with the ability to "optimize"
> > using
> > > > SK> AB, you can identify many averages that should improve the
> > > > SK> overall performance and keep you (most times) on the right
> > side
> > > > SK> of the market.
> > > >
> > > > Another simple idea for improving percentage winners here is
to
> > NOT
> > > > take signals where price doesn't react to the signal itself.
You
> > got
> > > > a buy signal, but prices opened sharply lower the next
morning,
> > and
> > > > you took the signal anyway? Okay. It will work sometimes,
but
> > when
> > > > one does that one is saying that one's market genie is now
smarter
> > > > than the market as a whole. And when one is trading a very
short
> > > > term system (as I like to do), one needs to be very sensitive
to
> > > > short term price, IMO. Maybe one of you coders out there
could
> > run
> > > > some tests and figure out the results for the following:
> > > >
> > > > 1) what percentage of trades went south (or had
uncomfortably --
> > > > yeah, hard to agree on what that means for everyone -- large
draw
> > > > downs before coming back) when price failed to exceed the
high of
> > the
> > > > signal day on the day you were supposed to pull the trigger
> > > >
> > > > 2) what is the optimal waiting period for price to exceed the
> > high of
> > > > the signal day (next bar only? two bars? four bars?) IOW,
when
> > > > does the signal become null and void when price fails to
follow
> > > > through, based on a back test
> > > >
> > > > Finally, Steve and I both yearn for complete hands-off
automation.
> > > > But there's clearly a trade off. On the plus side, if you
really
> > > > have a good system, keeping hands off keeps you from mucking
it
> > up.
> > > > On the down side, you have to live with situations from time
to
> > time
> > > > that are probably pretty easy to second guess. Specifically,
> > taking
> > > > counter trend signals on a short term oscillator when there
is no
> > > > nearby reasonable price support (the place where you cut and
run
> > if
> > > > it fails) can lead to some pain. And the obvious exit is, to
me,
> > > > rather obvious. :)
> > > >
> > > > A couple of comments on my attached cut of Steve's gif.
> > > >
> > > > Best,
> > > >
> > > > Yuki
> > > >
> > > > mailto:yukitaga@x...
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > > >
> > > >
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
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