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Jayson,
As I've stated before, I've seen good systems traders and I've seen
good discretionary traders and of course those that are not so good
too. As should be obvious by now, I clearly belong to the former
category. As I've also stated previously, it's not necessarily a
better methodology, it just happens to fit my style & personality. I
think this is something that every trader needs to identify for
themselves. In this regard as it applies to my trading it is my
objective to remove as much of the emotional aspects of trading as I
can and thus have systems that I can pretty much follow blindly
because I developed them, I understand their components and so as a
result it really isn't "blind" obedience so much as it is an
unemotional evaluation which the computer is far more capable of
making having instructed it to do so then I can in the heat of the
moment.
The simplest axiom in this business I can think of is ... it isn't
what you make, it's what you keep ... the math is constantly working
against you as it only takes a 50% loss to wipe out a 100% gain.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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........
>
> 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.
>
> 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
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Wednesday, February 19, 2003 10:55 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The transcendental use of Data: An
application
>
>
> 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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