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Jayson,
A question NOT a criticism regarding this ...
Were you trading in the 90's ? and if so how long past 3/x/2000
and/or what level of DD's did it take for you to realize that the
long oriented systems based on relatively recent bullish trends were
coming apart at the seams ?
Maybe a more generic way to ask this question for any who cares to
respond is ... From your own perspectives, how do you know when your
system has died ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Steve,
>
> All true. But as you said "Defining trend is not an easy task". I
have spent
> a great deal of time over the years examining and applying many
types of
> trend identification devices with mixed, at best, results. I am not
a true
> system trader, to me recent history holds the most importance.
Perhaps this
> is because I have yet to define a credible system that performs
equally well
> over a large data base and long time frame. :)) On the other hand
I have
> found several systems that perform well "Now" and now is when I am
actually
> trading.
>
> Regards,
> Jayson
> -----Original Message-----
> From: CedarCreekTrading [mailto:kernish@x...]
> Sent: Wednesday, February 19, 2003 10:16 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: The transcendental use of Data: An
application
>
>
> 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
> ----- Original Message -----
> From: Jayson
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, February 19, 2003 7:59 AM
> Subject: RE: [amibroker] Re: The transcendental use of Data: An
> application
>
>
> 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
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Wednesday, February 19, 2003 9:11 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The transcendental use of Data: An
application
>
>
> I 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...
>
>
>
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