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DT,
You wouldn't be smiling if you traded the system you are purporting
pre 2000. What ran out of cash to trade with was the system you
posted when tested out of sample from 1998 forward inside of about 6
months i.e. IT WAS BANKRUPT.
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS <TSOKAKIS@xxxx>"
<TSOKAKIS@xxxx> wrote:
> 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...
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