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Fred (or anyone),
Thanks for posting your system. I've had some time to play with it
and have a few questions...
You commented earlier in previous posts that you do not trade stocks
or ETF's...what vehicle do you prefer? Do you trade both long and
short?
You chose an oscillator similar to the one Steve Karnish had posted
earlier. Any comments on the relative merits of the two StoRSI
oscillators?
Karnish=StoRSIx=100*EMA((RSIa((Price),(P=3))-LLV(RSIa(Price,P),P))/
(HHV(RSIa(Price,P),P)-LLV(RSIa(Price,P),P)),3);
Tonetti=StoRSIx=100*Sum((RSIa((Price),(P=3))-LLV(RSIa
(Price,P),P)),3)/Sum((HHV(RSIa(Price,P),P)-LLV(RSIa(Price,P),P)),3);
It's hard to get my head wrapped around the logic associated with the
momentum component of your system. It seems like this logic is
exactly the opposite of the OBOS component. Can you elaborate on
what market characteristic you are trying to capitalize on with the
momentum component?
With 9 parameters to optimize, it seems that this system has a enough
variables that allows it to curve fit the data over the life of the
Q's fairly well. Is it practical in your opinion to trade a system
optimized around 9 variables and expect it to give similar results IN
THE FUTURE? As you said, and as I found, the parameters to
be "fragile" with the DD's being hyper fragile.
It seems to make this a robust system where there are several
parameters in the vicinity of the best that give similar results that
we've got a ways to go? Did your big brother system reduce the
number of variables? What strategy did you use to make this concept
more robust and less sensitive to individual variables?
You commented in 34239 that it's big brother performed well in OOS
testing. Can you post only the OOS test results? The big profits
that are part of the optimization period that are included in the
overall test period that you posted and make the results hard to
interpret in the real area of interest which is the OOS period.
It's interesting that this system performed better with NDX used as
price rather than QQQ's close. Do you have any idea why?
Finally, your system is not a true reversal system and the one that
Herman posted is and produces higher return because it's always in
the market. What do you think about the pros/cons of the true
reversal system and why did your original system have an out of the
market component.
Thanks for sharing and the stimulating discussion.
Best Regards,
Jim Ellis
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