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<SPAN
class=083074714-19022003>Fred,
I tend
to agree with Dimitris. I am not a big system guy and others may well disagree
but it is clear now that we are in a bear. In the late 90's it was equally
clear we were in a bull. Instead of trying to build a system that excels across
decades of data why not simply listen to what the market is telling you? It is a
simple thing to switch systems when a clear signal is offered by the market. I
have been doing some testing using a stocks Sector index as the signal vehicle
to trade the underlying stocks. I have applied 6-8 simple systems test the
theory. I posted one such system over the week end. I have found (no surprise)
that when applied to the last 3 years the results will vary greatly when testing
using Shorts, Longs, or both. If the market is clearly trying to head down why
even attempt to apply Long Signals? If the market is clearly advancing why even
attempt to apply Short signals? Will I get "Caught" at the turn?? Very
likely, for a few trades, but in the long run trading short over the last few
years should have made me enough money to weather the storm. When it is clear I
am on the wrong side I will switch to a long based system.
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
<fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]Sent:
Wednesday, February 19, 2003 9:11 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: The transcendental
use of Data: An applicationI am curious as to what
others think about this ?Yuki ? Dingo ? Herman ? Jayson ? Grahm ? Others
?--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS
<TSOKAKIS@xxxx>" <TSOKAKIS@xxxx> wrote:> Fred,>
thank you for the interesting question.> As I have already replied, the
market will not change by an overnight > switch.> And, there
is a more important question : Is there ANY reason for the > market
to change ?> 99 period was there, it is a dream [or a nightmare...] and
almost > impossible to be repeated.> I try with various methods to
immitate the market behavior and apply > it for the near
future.> If the market profile would change, MANY Breath Indicators will
give > CLEAR warnings and I will check very carefully to confirm
them.> The most recent example was last October, when my RSIt reacted at
> relatively high levels [this is the way the market will leave
behind > its bearish mood]> The last month, instead of a
confirmation, I have to dissappoint you, > nothing hapened, may be
the next time !!> So, instead of being affraid of an [unrealistic, for
me] bullish > expansion, I prefer to FOLLOW the market without
prejudice.> The market is bearish and will remain bearish for a long
time. We > will have some good bullish trends two or three per year [and
it it > good to be there !!!] and then back to basics [or lower].>
Frankly speaking, the pre-2000 period does not exist for me and any >
research of mine.> Of course, this is nothing but a personal
opinion.> Dimitris> --- In amibroker@xxxxxxxxxxxxxxx, "Fred
<fctonetti@xxxx>" > <fctonetti@xxxx> wrote:> >
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...Post
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