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<SPAN
class=418250316-19022003>Fred,
I have
been trading since the mid 90's only and have been primarily a discretionary
trader. By may-june it had become apparent that buying pull backs was no longer
a viable strategy...and yes it cost me some money to come to that conclusion.
Since I had never lived/traded a Bear it took me a few months to
regroup which I spent on the sidelines honing my TA skills. I am the first to
acknowledge that making money in the late 90's was not rocket science, but it
allowed me the flexibility to suffer some losses in 2000 when the market turned.
I began short trading in October of that year and have found that to be
the least path of resistance. The various systems I have developed over the
years provide me with signals. I do not trade them blindly on faith but examine
them and decide their viability based on current market conditions. Perhaps my
use of the word System is misplaced........
<SPAN
class=418250316-19022003>
Today
we may well be near a new cross roads. Perhaps now we need to learn how to trade
a flat market. If that is the case then the long strategies that worked in the
90's will not work, nor will the short strategies that I have employed for the
last several years. Perhaps by this time next year the buzz on the boards will
be Oscillators and Cycles. I cannot read the future but with practice I have
learned to listen to what the market is telling me.
<SPAN
class=418250316-19022003>
This
is the challenge I have with Systems. In order for a system to test well across
long time frames and large data bases you must implement so many safe guards to
account for the variety of conditions the markets pass through that you may be
severely limiting the available profits to be made. It is these profits that may
allow you to "Miss" the major turns and still be profitable in the long run. I
could be totally wrong, as I said earlier I have yet to find a system that I
have the courage to blindly follow. I welcome arguments to the other
side.
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
<fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]Sent:
Wednesday, February 19, 2003 10:55 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: The transcendental
use of Data: An applicationJayson,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@xxxx]> 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@xxxx]> 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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