[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Re: The transcendental use of Data: An application



PureBytes Links

Trading Reference Links




This 
may come as a shocker to you....but I don't even know whether the market today 
is bear, bull or flat :-) frankly: i don't care. Also i have no clue as 
where the market is going... I don't care here either. Of course the reason is 
that I don't think much about these market qualities is because i have never 
been able to quantify them to my satisfaction. I do know that the systems I like 
best sail through major up-and-downs without a hiccup, I love that 
quality. Good oscillator systems tend to do that on a small selection of 
stocks.
<FONT face=Arial color=#0000ff 
size=2><FONT face=Arial 
color=#0000ff size=2> 
One 
may note that in many systems the only relevant data is recent data, perhaps 
5-20 bars; anything farther back cannot have any effect on your signals, so 
you don't really have to worry about it. Same goes forward.... many of us would 
love to know where the market is going (Buy-n-Holders?) but for the active 
trader anything ahead by more than a few bars is immaterial. If your system 
doesn't respond within a few bars you'll be losing money. So really, that 
removes 99% of your data history from your current trading concerns: you 
have just removed 99% of your worries :-) of course during development things 
are different.
<FONT face=Arial color=#0000ff 
size=2> 
Also, 
if my system has any price following characteristics, here i mean that the 
equity curve looks similar to a scaled-up price chart, I discard 
it. It means that the system can not deal with both Bull and Bear 
situations satisfactory.
<FONT face=Arial color=#0000ff 
size=2> 
just 
mho,
<FONT face=Arial color=#0000ff 
size=2>Herman.
 

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Fred 
  <fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]Sent: 
  Wednesday, February 19, 2003 6:11 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 
  AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
  href="">http://groups.yahoo.com/group/amiquote/messages/)Check 
  group FAQ at: <A 
  href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
  Your use of Yahoo! Groups is subject to the <A 
  href="">Yahoo! Terms of Service. 







Yahoo! Groups Sponsor


  ADVERTISEMENT









Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)

Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html



Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.