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I forgot to mention some details.
The example system using TMPW as basic stock, for D1=42, gives for
the N100 something like +450% profit.
The Long part was +118%, the Short part was +108%.
I would never trust a system with +1000% on the Short side and -70%
on the Long side !!
The fear of an upcoming bull storm is not well documented, when the
Long part of a system is so "healthy".
Check again the documentation of your fears, they may be out of the
subject.
D-ratio is quite flexible, especially under its RSI transformation,
but, give me some time to finalise the presentation, it will be
interesting.
Thank you for your comments, they are creative now !!
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Fred <fctonetti@xxxx>"
<fctonetti@xxxx> wrote:
> 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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