|
PureBytes Links
Trading Reference Links
|
Fred,
your reply made me smile for another reason.
You write your backtesting ran out of cash mid 98.
I know many people who ran out of REAL cash for a simple reason :
they have had stocks, many stocks, everything was going up, why not
stocks instead of cash.
This fact made them follow the [stupid] method of Buy&Hold.
You know the results, perhaps better than me : they dream CSCO to go
higher than $75 [and from this critical level why not a double price
to be millionaires before they die...].
This is a quite funny story with the [mostly catastrophic] B&H method
and the related funs.
But, time goes on, it is not one year, it is already more than 3 [and
it will be AT LEAST 2 more] years and they still hope for "better
days".
What can I say, it was out of my logic, I could never do it !!
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Fred <fctonetti@xxxx>"
<fctonetti@xxxx> wrote:
> DT,
>
> I am not sure there is a correct period per se, but when I tried to
> optimize it from early 98 forward it ran out of ca$h to trade in
> about 6 months as I recall.
>
> FT
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS
<TSOKAKIS@xxxx>"
> <TSOKAKIS@xxxx> wrote:
> > Fred,
> > I just noticed some wrapping demon who cut my
> > PS
> > Since I [always] give full and detailed formulas, why donīt you
try
> > to optimize the period you consider as correct ?
> > Shall I do it for you ?
> > DT
> > --- 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: 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 http://docs.yahoo.com/info/terms/
|