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Well,
I used the word system in a lot of places. Which one are asking
about?
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When
I put the word in quotes I meant it to be taken in its broadest
sense.
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<FONT
face=Tahoma size=2>-----Original Message-----From: Fred
<fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx] Sent:
Wednesday, February 19, 2003 2:25 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Robust System ? ...
Was something else ...What system are you referring
to ?--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx>
wrote:> I don't think you guys realize it but from what Iv'e been
reading you> agree more than you disagree. Fred, listen to
what guys like Dimitris> and Jason are saying. They are
telling you that that they do have a> "system" but it is not just one
formula that they run on their computers> like the one you
displayed in the last week or so. That was as nice as> any
I've ever heard of and had some very pretty graphs and I would> aspire
to have something like that as I am sure most anyone here would.>
But what do we do if we don't have something like that? Give up and
go> work at McDonald's because it doesn't fit your deifintion of
"Robust"?> Should we not trade because our equity curve doesn't have
the right> slope and way too many big yellow triangles? Should we back
off because> we didn't' optimize over the periods you think are
proper?> > > > Dimitris, Jason and others
that are out there on the firing lines MAKING> MONEY on a
consistent basis have a number of different pieces that form> a
"system" to do the things necessary to "MAKE MONEY on a consistent>
basis". For me that's the definition of "Robust"!! >
> > > They also post a lot of code and examples of
what they are thinking> about and working with rather than the
philosophy of system design. Your> contribution has been different
and thought provoking in its own way.> The formula you provided for
the equity calculation as excellent and> most appreciated by me at
least. And I really enjoy the discussions> you've provoked on how
optimizations should be done.> > > > BUT you
seem to be at odds with Dimitris most of the time and want to>
challenge him on his methods. I think you ought to relax and just
let> him do his thing. He's bright enough to understand what you
have been> telling him and in his own way he's been telling you
that he does. HIS> main interest is in presenting new ideas to us
on the use of the AFL> language and developing indicators that work in
the time frame that he's> chosen. > > >
> So rather than try to butt heads with Dimitris I for one would
really> like for you to discuss how you have developed/assembled or
however you> did it to get to your "robust" system. How about
it?> > > > Respectfully,>
> > > d> > >
> > > -----Original Message-----> From: Fred
<fctonetti@xxxx> [mailto:fctonetti@xxxx] > Sent: Wednesday,
February 19, 2003 9:11 AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: The transcendental use of Data: An
application> > > > 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...> > > > Yahoo! Groups
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