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I'd settle for hearing what the Max DD's are that go with that 100+%
return ? It's not that difficult to build systems with superior
returns, but usually not without high DD's, UI's and/or low MAR's,
UPI's etc.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> MessageI too would dearly like to hear more about this system. You
talk
> about tripple digit returns "on the whole market for 10 to 11
years". That
> would be at least double the best RAR that I've ever seen using one
system,
> one set of parameters across all stocks.
>
> Can you explain what you mean by the "whole market"? Are you
applying your
> system across all 7,500 (or so) U.S. stocks? Any filtering? Do
you
> include extinct stocks? Is your filtering based on real volume
and price
> on the day or are you using backadjusted prices/volumes?
>
> I look forward to hearing more about your "grail".
>
> Cheers
> -----Original Message-----
> From: Lionel Issen [mailto:lissen@x...]
> Sent: Thursday, March 27, 2003 8:48 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: TRENDING vs. RANGING markets
>
>
> Please post an outline of this system
>
> Lionel
>
>
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Wednesday, March 26, 2003 10:15 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TRENDING vs. RANGING markets
>
>
> Gosub states:
>
> <<However.... What I'm really looking for is what people found
> to be the best indicator to help identify the current situation
(not
> the future). I was basicaly throwing out a question to everyone to
> see if anyone has had better success than me when developing a
> transitional system that identifies when it is necessary to
change to
> a different indicator.>>
>
> That is a fair question and I'll be happy to share my own
experience
> with backtesting (and trading) trend detection systems.
>
> In the book Street Smarts co-authored by Linda Raschke, she
outlined a
> trading methodology named the 'Holy Grail' which uses the ADX,
PDI,
> MDI indicators to determine trend direction.
>
> With the help of a friend who has more 'instinctive' abilities
than
> me, I developed a backtest system based upon a slight derivitive
of
> Linda's 'Holy Grail' and hit paydirt.
>
> The 'Holy Grail' system is a classic pullback system that Linda
> primarily trades futures with. My friend and I adapted it to stock
> trading.
>
> In my own software, I calculated an Annual Percentate Rate of
return of
> 189.59% for the past 10 or 11 years on the whole market. I
recently
> adapted my 'Holy Grail' system to Amibroker and achieved silimar
> results but with improvements using the Optimize function. AB
> calculates the APR differently and reports a RAR of 142.21%, but
with
> even greater monatery return amounts. While I don't know for
sure, I
> think the difference in calculated percentage returns is that in
my
> own system calculates returns based upon calendar days of
exposure to
> the market, while AB might use Bars of exposure to the market. But
> that is a subject for another discussion.
>
> A few weeks ago, I believe that Jayson stated that pullback
systems
> stopped working after the 1999 blowoff, buy my system has shown a
> profit every year for the past 11 years.
>
> As an aside... I'd encourage others to post backtest results on
the
> whole market for the past 10 or 11 years of their favorite systems
> just to see how good other trading systems can be using a RAR or
APR
> measurement.
>
> But anyway, back to this thread:
>
> In developing other trading systems, I can generally improve
results
> by incorporating the ADX, PDI, MDI indicators to implement trend
> detection in my system development efforts.
>
> Also, I use a Quotes Plus database which has a historical QRS
> indicator which emulates Investors Business Daily's proprietary
> Relative Strength indicator. And my experience has been that by
also
> filtering with the QRS indicator, my backtesting results are
improved
> even more. The only problem is that Quotes Plus apparently
> incorporated the QRS measurement in 1995, so when using that
> indicator, you cut into the amount of historical data that you
can use
> to backtest.
>
> Hope this is what you were asking for. And I hope that others will
> share their 'favorite' trend detection indicators with the metrics
> they use to measure system trade improvements. Whenever I need a
trend
> indicator, the ADX, PDI, MDI are the first indicators I grab for.
How
> about the rest of you?
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx>
wrote:
> > Hi Yuki,
> >
> > Thanks for your comments.
> > I agree with you completely. However....
> > What I'm really looking for is what people found
> > to be the best indicator to help identify the
> > current situation (not the future).
> > I was basicaly throwing out a question to everyone to
> > see if anyone has had better success than me when
> > developing a transitional system that identifies
> > when it is necessary to change to a different indicator.
> > I have had success with such a system. The problems
> > arise during the transition phase from Trading to Trending.
> > (Some losses due to ambiguity/confusion.)
> > Once the transition is completed and the system automatically
> > changes to the appropriat indicator, it works fine.
> > I was trying to see if anyone else had played with this
> > and perhaps found a better way.
> > I am familiar with many indicators which can help with this
> > but I'm always open to others.
> > Jayson was very helpfull in pointing out the R-Squared and
> > Twiggs-Money Flow.
> >
> > Thanks again,
> > gosub283
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx>
wrote:
> > > Hi gosub283,
> > >
> > > Thursday, March 27, 2003, 2:08:16 AM, you wrote:
> > >
> > > g> When a human looks at a chart, he/she can immediately
determine
> > if
> > > g> a market is in a TRENDING mode or a RANGING mode. It is a
most
> > > g> amazing feat of human visual data analysis that takes
place in a
> > > g> matter of seconds. Trying to get computers to "visually"
analize
> > > g> anything takes major computing power. Unfotunately
computers and
> > > g> trading system have a much more difficult time of
determining
> > > g> these market modes than us humans.
> > >
> > > I am not so sure humans do a much better job of this analysis
than
> > do
> > > computers. When we look at charts, we are looking at 100
percent
> > > history. It is indeed rather easy to "segment" this history
into
> > > trending and ranging periods using analytical abilities.
Yes, it
> > > does happen in seconds, and seems almost effortless.
> > >
> > > However, the most important time period for any trader is that
> > period
> > > of time which is NOT VISIBLE on the chart -- namely, the
future. We
> > > can "see" the ranging and trending periods, but only in
retrospect,
> > > where our minds make nice, neat visual categories for us
based on
> > > what we *see*. But at the "real time" turning points, when
the
> > > actual transition is in the future, out of sight, I doubt if
either
> > > human or computer can reliably identify these transitions in
> > advance.
> > > (Reliably to me would be with some statistical edge that
clearly
> > > beats random guessing.)
> > >
> > > In hindsight, it is all so clear of course -- so clear that
it is
> > > tempting to believe that one can find some mathematical
formula that
> > > will reveal all. But this is a sect in the cult of "Holy
Grail-ism"
> > > in my opinion. To test my theory that human beings are not any
> > better
> > > at identifying the transitions in "real time" than computers,
scroll
> > > a chart very slowly (bar by bar) from left to right, with the
future
> > > always off the screen, just as in real life. Make sure the
chart is
> > > a completely unknown issue or index, and preferably one with
the
> > > dates entirely removed or obscured (to do this test correctly
> > someone
> > > else will probably need to set up a blind test for you, I
don't
> > think
> > > you can truly set up a valid blind test yourself). Now see
> > how "good"
> > > your human brain is at identifying the transitions in "real
time".
> > > And good luck! ^_-
> > >
> > > Yuki
>
>
>
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