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Dimitris:
Many thanks for this substantive reply. I will spend time studying and
testing it on various stocks.
I have some system work progressing in which the optimizations take a
lot of time because of many variable (I know about the theory that the
more complex the system the less it will work...but I will ignore that
for now). Nonetheless before I invest lots of effort in managing a
complex optimization, I would like to know that the stocks on which I am
optimizing are "good candidates". I will attempt to use your approach
as some screening. I realize also that you say that the screening
approach should use or approximate the indicators to be used in the
optimization. This is a challenge for me and I will have to experiment
to see how far I can stray from this principle before it is does not
produce useable results.
I also wish to explore outside the realm of high volatility stocks like
those in the high flying Nasdaq.
Thanks again. I will report some learnings.
Ken
-----Original Message-----
From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Thursday, February 06, 2003 5:50 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?
Ken,
I will try to describe an objective method I often use to select
stocks.
First of all it depends on the indicator/system you use [since I have
not yet any ...holy grail available]
Let us suppose you want to use the smoothed MeanRSI as a general
indicator and you want to find "good" applications.
The DEMA(MeanRSI,45) is a quite smooth and descriptive oscillator for
^NDX market.
If you could buy at troughs and sell at peaks [with some zig period
around 20] you would have one of the best
performances for this Market indicator. Does it suites to ANY stock?
Certainly not.
Run the
f=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");F=DEMA(F,45);z=20;
Buy=TroughBars(f,z)==0;Sell=PeakBars(f,z)==0;Short=Sell;Cover=Buy;
from, say, May1, 2000 till now and see the top gainers [NTAP, JNPR,
CIEN etc] and the top loosers [FHCC, PDCO, ESRX etc]
Since Peak/Trough system is, as you know, unrealistic, try to replace
it with a closest approximation.
For smoothed oscillators a 2-level system is really interesting.
Try something like
f=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
X=45;//Optimize("X",45,35,50,5);
F=DEMA(F,X);
x1=Optimize("X1",42,38,44,1);//buy level
x2=Optimize("X2",56,55,60,1);//sell level
b1=Cross(f,x1);b2=Cross(x1,f);//no need to be fanatic with the type
of cross, the system knows better
s1=Cross(f,x2);s2=Cross(x2,f);
nb=Optimize("nb",1,1,2,1);
ns=Optimize("ns",1,1,2,1);
nSH=Optimize("nSH",1,1,2,1);
nCO=Optimize("nCO",2,1,2,1);
Buy=IIf(nb==1,b1,b2);Sell=IIf(ns==1,s1,s2);
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=IIf(nSH==1,s1,s2);Cover=IIf(nCO==1,b1,b2);
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short
The good performance of JNPR in the theoretical Peak/Trough project
[around +1000% with 4/4/0 success]
leaves room for good optimization results
[sometimes better than the "ideal" model: there are MANY combinations
better than +1000% for JNPR]
The bad performance of ESRX means that this stock need some other
treatment.
The same optimization confirms the ESRX conclusion : It is better not
to trade this stock, since the most profitable combination
is the 0 trades !
Of course, this method is not always accurate, but it gives good
advices for the first selection.
Besides that, I have met many times JNPR and RFMD in the 4-digit
profitable stocks, my experience is not great, I come back to basics
[CSCO 70% and BEAS 30%] quickly, I feel more safe there, but, it is a
matter of taste [crude oil and copper futures are also interesting,
but let us talk for stocks in this group]
Does it help ?
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> DT: can you name some additional symbols, besides CSCO and BEAS,
with
> which you have seen similar success. Thanks for sharing your
> experience.
>
> Ken
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxx> [mailto:TSOKAKIS@x...]
>
> Sent: Tuesday, February 04, 2003 3:38 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?
>
> Herman,
> An annual system % return 100%-120% is reasonable for many QQQ
> systems from Jan2000 till now.
> [Suppose always buy, sell, short, cover at +1Open, 0.5% commission
> and disabled stops]
> I would be surprised indeed to see a double return.
> Above 200%-250% we may find some other popular stocks, but not
QQQ,
> AFAIK.
> I come to believe there are some "functional" limitations for QQQ
> curve to exceed the annual 150%.
> This conclusion is after MANY tests for various trading systems,
> optimised or not.
> This is a reason I prefer CSCO or BEAS for example, their curves
are
> more "profitable" and more flexible.
> Of course I [almost] always speak for medium speed systems [not
more
> than 6 trades per year]
> It is more than 8 months I did not trade a single QQQ share, I
would
> be glad to come back to my old favorite, but for a better than 180%
> annual return.
> This is my experience, I hope it hepls somehow...
> Dimitris
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> <psytek@xxxx> wrote:
> > Well Fred, the real values to use when estimating whether a
trading
> system
> > is practical have never been answered on this list. You are a
> trader, I am
> > still mostly a tinkerer, so I respect your opinion. As a rule I
> discard
> > systems that do not survive my "acid test" of 0.5%. This allows
my
> to fumble
> > placing the trade, allows for some over-optimization, slippage,
> slow data,
> > and even for some commission.
> >
> > There ought to be a formula based on parameters like volume,
> volatility and
> > price, to gives us a working estimate. Places that have lots of
> trading
> > histories could crunch that out in seconds. Would be interesting
to
> have a
> > poll on this.
> >
> > Herman.
> >
> > -----Original Message-----
> > From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> > Sent: Monday, February 03, 2003 4:03 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?
> >
> >
> > Herman,
> >
> > Let's use today as an example and assume you are going to trade
> QQQ
> > after you make a decision on where NDX closes ...
> >
> > At 4:00 PM QQQ was as at 24.50
> >
> > Between there and 4:15 QQQ got as high as 24.54 and as low as
> 24.48
> > or 0.16% over and 0.08% under as EXTREMES.
> >
> > Thomas,
> >
> > I'm not quite ready to toss it on the scrap heap yet. I just
> started
> > playing with it.
> >
> >
> >
> >
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