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Jayson,
Shouldn't a mechanical system contain the same
elements for long and short initiating positions? The more "robust"
systems tend to have some type of identification/qualification of "trend".
Although, defining "trend" is not an easy task, if you can accomplish the task
of identifying trend it will prevent you from becoming involved in contra-trend
trading . In theory, a robust system will handle both pre-2000 (bull) and
post-2000 (bear) data and show reasonable profits throughout the data
base. Systems that don't exhibit this trait are certainly suspect.
With that said, nothing is more important than recent history.
Take care,
Steve
Cedar Creek Trading, CTA
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 19, 2003 7:59
AM
Subject: RE: [amibroker] Re: The
transcendental use of Data: An application
<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
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