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DT: you miss my point. I did the optimize on MSFT. Using the code. If
your comment is that not all starting stocks are good ones and MSFT sure
was not, then it is not apparent to me how to know which stock to put in
the optimize position. I could select randomly, or by some other means,
but such a step was not readily clear from your post.
I will work with this some more, over various periods and perhaps
something will show up. I will also go back and try and duplicate your
specific example, which I guess I should have done first.
Ken
-----Original Message-----
From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Wednesday, February 19, 2003 12:45 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: The transcendental use of Data: An application
Ken,
MSFT was a verbal example. I hope it was clear.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> DT: thanks...your approach is clear now.
>
> I have not done the test with composites of the market, but one case
> only, MSFT, did not produce a result I would try to trade.
>
> Optimize Period.......FullPeriod.....OOSPeriod
>
> ......................CAR/Mdd
>
> 8/98-9/01.............49/-48.........5/-27
>
> 1/2000-9/01...........125/-38........13/-32
>
> 1/00 to 2/03..........125/-38
>
> I will try other combinations, but this did not show me anything on
> MSFT, even taking into account the bear market characteristics.
>
> No criticism and I know you advocate using several indicators and
> factors, but I am slowly learning to subject a system (any system)
to
> this optimize/OOS test cycle---the good performing systems (which I
> define as having CAR>40 and Mdd<10 to 12, are far and few between.
>
> Any one else have a comment?
>
> Ken
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxx> [mailto:TSOKAKIS@x...]
>
> Sent: Wednesday, February 19, 2003 8:30 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The transcendental use of Data: An
application
>
> Ken,
> it is writen in the beginning : Use "current" stock to see the best
> Foreign data to trade it [with D-ratio5 or any other indicator.
> the second alternative is to use any group/watch List/sector or
even
> the whole market, "borrow" TMPW data and trade them all.
> Is it clear?
> It is the same logic with composite tickers : We use in a TTM the
> MeanRSI curve to trade the stock/group/sector/market.
> In the transcendental manner, we use MSFT RSI to trade INTC or any
> other favorite stock. The MSFT RSI is the signal generator for
> anonymous buy/sell signals. This is the idea.
> DT
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > Dimitris: thanks once again for an innovative system concept.
> >
> >
> >
> > The purpose of my note is to comment on it performance. Some
have
> said
> > that it is better to optimize over a longer period than just from
> > 1/1/2000 and others have said to optimize just from 1/1/2000
> onward. I
> > subscribe to the former approach and my standard optimize period
is
> > 8/1/1998 to 0/21/2001. I then test from 8/1/1998 to today and from
> > 9/22/2001 to today. I use the Tonetti enhanced equity curve,
which
> > gives some good statistics but also shows the log equity curve. A
> > system that is going to fail will show a clear drop off in the OOS
> > period.
> >
> >
> >
> > This code gives a fairly smooth equity curve which does not "blow
> up" in
> > the OOS period. It seems to perform better on DJ30 or even SP500
> stocks
> > but not so good on NDX stocks. Drawdowns are still double
digits. I
> > also optimized from the period 1/1/2000 forward, using the same
OOS
> > period. Performance seemed worse in that annual percentage gains
> were
> > higher but Drawdowns were very high---30% the lowest.
> >
> >
> >
> > What is not clear to me in your message or code is what stock or
> index
> > you place in the Buy position while you are doing the
optimization.
> > What array is being bought and sold during the optimization. This
> > clearly makes a difference to the result and I am curious as to
> what you
> > used.
> >
> >
> >
> > Nonetheless, it is an innovative new approach and I for one thank
> you
> > for sharing.
> >
> >
> >
> > Ken
> >
> >
> >
> > -----Original Message-----
> > From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> > Sent: Wednesday, February 19, 2003 5:24 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] The transcendental use of Data: An
application
> >
> >
> >
> > 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
> >
> > the Yahoo! Terms of Service <http://docs.yahoo.com/info/terms/> .
>
>
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