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Ken,
my reply was a bit quick.
For ANY further explanations, do not hesitate to ask.
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> 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@xxxx> [mailto:TSOKAKIS@x...]
>
> 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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> > >
> > >
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