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DT,
I keep asking the same question with regards to your posts like this,
but I don't think they're reaching your mailbox.
Why have you picked 1/2000 as the date to optimize forward from ?
Don't you think this is somewhat dangerous to optimize since slightly
before the beginning of the current bear market as many traders would
have after the fact found it dangerous in the very late 90's to
optimize over the last several years of the bull at that time ? To
me this is an accident waiting to happen. I don't understand how it
could be otherwise.
Please explain your thinking in this regard.
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> A.
> I trade BEAS.
> Its performance with the smoothed D-ratio5 is poor. 3/21 winning
combinations when D1=Optimize("D1",42,30,50,1); and the best gives
> some +115% in 3 years. Nothing important for 57 dangerous trades.
> But, BEAS may give great results, much better than +1000% with a
lot of systems.
> B.
> I do not trade TMPW and I know almost nothing about it.
> For me, TMPW is a 5-D vector [O, H, L, C, V] in the wild
StockMarket vector space.
> TMPW is in the top10 list for D-ratio5 trading over the whole N100
market, according to my earlier post.
> Its D-ratio5 curve gives "good" signals for the majority of the
stocks.
> For D1=42, for example, it sends BEAS profits to >+1000% and it is
not coincidental, since the whole market profits are +450% with
> >75% profitable stocks.[It is not a holy grail, it is a real
fighter, you should take all the risk to trade it, but 75% is a
respectable percentage]
> C.
> I "borrowed" TMPW clear Buy signal on Valentines day, Feb14 to Buy
BEAS [and CSCO] on the next bar Open.
> The Open was cool, the day was great, some cables traffic 15 min
before the end [life is not as easy as backtesting] plus my broker
> advise to sell tomorrow, but the sell order was an order, it was a
clear take-the-money-and-run session, the system will make its own
profits,
> statistics is an additive science [linear or not].
> CSCO will pay the expenses, BEAS will pay the research, I should
learn something for TMPW, perhaps it is a great company.
> D.
> I will refill my hot coffee and try to understand what I was doing
yesterday.
> Dimitris Tsokakis
> PS. In the case you are interested, optimize your favorite stocks
or the whole market with
> /*The transcendental use of Data for D-ratio5 indicator
> by D. Tsokakis, Feb 2003
> Optimize the "current" stock or the whole group/sector/market from
Jan2000 till now*/
> NUM=Optimize("NUM",93,0,100,1);
> D1=Optimize("D1",42,30,50,1);
> N=
>
> WriteIf(NUM==0,"^NDX",
>
> WriteIf(NUM==1,"AAPL",
>
> WriteIf(NUM==2,"ADBE",
>
> WriteIf(NUM==3,"ADCT",
>
> WriteIf(NUM==4,"ALTR",
>
> WriteIf(NUM==5,"AMAT",
>
> WriteIf(NUM==6,"AMGN",
>
> WriteIf(NUM==7,"AMZN",
>
> WriteIf(NUM==8,"APCC",
>
> WriteIf(NUM==9,"APOL",
>
> WriteIf(NUM==10,"BBBY",
>
> WriteIf(NUM==11,"BEAS",
>
> WriteIf(NUM==12,"BGEN",
>
> WriteIf(NUM==13,"BMET",
>
> WriteIf(NUM==14,"BRCD",
>
> WriteIf(NUM==15,"BRCM",
>
> WriteIf(NUM==16,"CDWC",
>
> WriteIf(NUM==17,"CEPH",
>
> WriteIf(NUM==18,"CHIR",
>
> WriteIf(NUM==19,"CHKP",
>
> WriteIf(NUM==20,"CHRW",
>
> WriteIf(NUM==21,"CIEN",
>
> WriteIf(NUM==22,"CMCSA",
>
> WriteIf(NUM==23,"CMVT",
>
> WriteIf(NUM==24,"COST",
>
> WriteIf(NUM==25,"CPWR",
>
> WriteIf(NUM==26,"CSCO",
>
> WriteIf(NUM==27,"CTAS",
>
> WriteIf(NUM==28,"CTXS",
>
> WriteIf(NUM==29,"DELL",
>
> WriteIf(NUM==30,"DISH",
>
> WriteIf(NUM==31,"DLTR",
>
> WriteIf(NUM==32,"EBAY",
>
> WriteIf(NUM==33,"ERICY",
>
> WriteIf(NUM==34,"ERTS",
>
> WriteIf(NUM==35,"ESRX",
>
> WriteIf(NUM==36,"EXPD",
>
> WriteIf(NUM==37,"FAST",
>
> WriteIf(NUM==38,"FHCC",
>
> WriteIf(NUM==39,"FISV",
>
> WriteIf(NUM==40,"FLEX",
>
> WriteIf(NUM==41,"GENZ",
>
> WriteIf(NUM==42,"GILD",
>
> WriteIf(NUM==43,"GNTX",
>
> WriteIf(NUM==44,"HGSI",
>
> WriteIf(NUM==45,"HSIC",
>
> WriteIf(NUM==46,"ICOS",
>
> WriteIf(NUM==47,"IDPH",
>
> WriteIf(NUM==48,"INTC",
>
> WriteIf(NUM==49,"INTU",
>
> WriteIf(NUM==50,"IVGN",
>
> WriteIf(NUM==51,"JDSU",
>
> WriteIf(NUM==52,"JNPR",
>
> WriteIf(NUM==53,"KLAC",
>
> WriteIf(NUM==54,"LAMR",
>
> WriteIf(NUM==55,"LLTC",
>
> WriteIf(NUM==56,"LNCR",
>
> WriteIf(NUM==57,"MCHP",
>
> WriteIf(NUM==58,"MEDI",
>
> WriteIf(NUM==59,"MERQ",
>
> WriteIf(NUM==60,"MLNM",
>
> WriteIf(NUM==61,"MOLX",
>
> WriteIf(NUM==62,"MSFT",
>
> WriteIf(NUM==63,"MXIM",
>
> WriteIf(NUM==64,"NTAP",
>
> WriteIf(NUM==65,"NVDA",
>
> WriteIf(NUM==66,"NVLS",
>
> WriteIf(NUM==67,"NXTL",
>
> WriteIf(NUM==68,"ORCL",
>
> WriteIf(NUM==69,"PAYX",
>
> WriteIf(NUM==70,"PCAR",
>
> WriteIf(NUM==71,"PDCO",
>
> WriteIf(NUM==72,"PETM",
>
> WriteIf(NUM==73,"PIXR",
>
> WriteIf(NUM==74,"PSFT",
>
> WriteIf(NUM==75,"PTEN",
>
> WriteIf(NUM==76,"QCOM",
>
> WriteIf(NUM==77,"QLGC",
>
> WriteIf(NUM==78,"RFMD",
>
> WriteIf(NUM==79,"ROST",
>
> WriteIf(NUM==80,"RYAAY",
>
> WriteIf(NUM==81,"SANM",
>
> WriteIf(NUM==82,"SBUX",
>
> WriteIf(NUM==83,"SEBL",
>
> WriteIf(NUM==84,"SIAL",
>
> WriteIf(NUM==85,"SNPS",
>
> WriteIf(NUM==86,"SPLS",
>
> WriteIf(NUM==87,"SPOT",
>
> WriteIf(NUM==88,"SSCC",
>
> WriteIf(NUM==89,"SUNW",
>
> WriteIf(NUM==90,"SYMC",
>
> WriteIf(NUM==91,"TEVA",
>
> WriteIf(NUM==92,"TLAB",
>
> WriteIf(NUM==93,"TMPW",
>
> WriteIf(NUM==94,"USAI",
>
> WriteIf(NUM==95,"VRSN",
>
> WriteIf(NUM==96,"VRTS",
>
> WriteIf(NUM==97,"WFMI",
>
> WriteIf(NUM==98,"XLNX",
>
> WriteIf
(NUM==99,"XRAY","YHOO"))))))))))))))))))))))))))))))))))))))))))))))))
))))))))))))))))))))))))))))))))))))))))))))))))))));
>
> H=Foreign(N,"H");L=Foreign(N,"L");
> Dratio=1000*(H-L)/(H+L);RRR=DEMA(Dratio,5);RRRR=DEMA(RRR,10);
> D2=D1;
> F1=RRRR>=D2;F2=RRRR<=D1;
> Sell=F2;Buy=F1;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;Short=ExRem(Short,Cover);Cover=ExRem
(Cover,Short);
>
> I think I will repeat the experiment...
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