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<FONT face=Arial color=#0000ff
size=2>1. I don't trade mutual funds, so I can't answer your first
question.
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<FONT face=Arial color=#0000ff
size=2>2. Of course there were computers in the 60's. You
weren't around then, so you wouldn't have any way of knowing. I've been
using computers since 1961 to trade stocks and futures. In 1961, I
developed systems to read the ticker tape directly from my stock brokers trash
can. I bought my first computer from my employer at the time for
more than $100,000. It cost the insurance company I worked for more
than $1 million two years earlier. That computer only had 4k of memory and
ran at one millionth of the speed of my fastest PC.
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size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Tuesday, April 15, 2003 2:12
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real-world trading (specifics for DT)Chuck,May I
ask you some technical questions:1.how do you apply Stochastics on MF,
since it is HLC function2.how did you do it back in 60s without any
computerised facility ?Was it paper calculation ? [!!]3.I read some
stories about Lane´s %K and %D names. Do you remember anything about this
great T/A step ?4. As for the Stochastic, CCI and RSI, the most
interesting use is through their composites, not the indicators alone. If
you have some time, you will find the relatively new ideas in the AFL
Library.Dimitris Tsokakis--- In amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher" <chuck_rademacher@x> wrote:> Fred,>
> I really hate to sound coy about my systems, as I know the various
ways that> such a response can be interpreted. However,
I am trading several hedge> funds using my systems and it would be
a disservice to my clients to divulge> my exact
methods. Having said that, I will try to answer your
questions.> > Let me start by telling you what I don't
use. I'm not looking for a debate> here, but I've tried
all of these things and I cannot get value from them.> Indicators
such as Stochastics, DMI, ADX, RSI, CCI, etc. have proven to be>
useless to me, over 40 years of trading. I know many of the
members in> this group use some or all of those things and many
people use them> successfully. I have not been able to do
so. I've spent a month trading> with George Lane
(inventor of stochastics), for instance, and I've written> hundreds
of systems that use stochastics in various forms to no avail.
I've> spent time with Don Lambert (creator of CCI) and couldn't find
value in that> indicator either. I have every book and
article written about DMI, ADX,> RSI and have a disk folder full of
discarded systems using those indicators.> > I have to tell
you (if you already aren't aware) that I approach system>
development quite differently from most people. Of course, that
could very> well mean that I'm doing it "wrong". I
endeavour to create system(s) that> work across all stocks at all
times. Many system developers create a> system, using
stochastics for instance, and then apply that system to stocks>
that have worked well with that system in the past. If that
approach works> for others, fine. I'm of the opinion
that a stock that has worked well> with stochastics for the last 27
years could stop doing so tomorrow. I> have
stochastic systems, for instance, that work extremely well if I
decide> which stocks to feed them. So, it's not that I am
unable to develop> systems that use these indicators.
As you are aware, such systems are easy> to write and
test. I feel that is equally easy to fool yourself
into> believing that they will work in the future.> >
As to what I do use... this is a bit more difficult for me to
discuss. I> can tell you that my systems are aware of
where the current price is in> relationship to some moving
average. My systems look at (something similar> to) the
Sharpe ratio of returns over the recent past and the slope of a>
linear regression line and/or momentum. Other functions you will
find> being heavily used in my systems include things like standard
deviation and> standard error (both based on the
close). Another hint for you would be> best
stated in a question: "Who says that standard deviation can only
be> useful in powers of two?". Many of my systems
that use standard> deviation, in some form, use powers of three, four
and even seven when> calculating standard deviation. I
guess a mathematician would say that> using a power other then two
makes it non standard. That's exactly why I> call the
function "NonStandardDeviation".> > Relative strength (not RSI)
is also a powerful tool that I use extensively.> I've done over 15
years of research using relative strength in conjunction> with two
very large ($300 billion) hedge funds in the States. One of
the> hedge funds I manage uses only a relative strength approach while
always> being beta neutral. I use a method similar to that
used by IBD, but IBD> hasn't changed their methodology (IMO) for
too many years. It's basically> a multi-period relative
strength, weighting each lookback period> differently. I
can give you another clue here that took many years for me> to
discover. However you weight the various lookback periods,
performance> can be increased by treating the most recent period
negatively. The idea> being that a recent, strong,
positive relative strength can very well mean a> pull-back is in
order.> > That's all I can tell you, at least in this group
forum. I am very happy> to share concepts and I may, in
the process, tell you enough about what I'm> doing for you to
replicate it. I'm sorry that I cannot simply give
you> AFL code and I'm sorry if that sounds like I am building up my
systems to be> the grail. They are not the grail,
but they do produce proven,> consistent, non-spectacular,
returns.> > Cheers> -----Original
Message-----> From: Fred
[mailto:fctonetti@xxxx]> Sent: Sunday, April 13, 2003 5:08
PM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Real-world trading (specifics)> >
> Chuck,> > You have filled
things out somewhat, but I guess what I was asking> more
specifically was:> > 1. What other kinds of
qualifiers do you use to decide how to limit> the
universe of stocks that you'll even consider some signal
for> today ?> > and ...>
> 2. Does the system you use employ some sort of
pattern matching> (Raschke's "grail" i.e ADX +/- DMI etc.
plus a pullback etc. would be> an example of this sort
of thing) or is it something that is more> trend of
momentum oriented (MACD, Stochastic, Linear Regression
would> be examples of this sort of thing)>
> TIA, Fred> > --- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher">
<chuck_rademacher@x> wrote:> > Re: Real-world
tradingThanks, Fred Tonetti, for the comments. I>
will> > endeavour to answer your questions without
"giving away the farm".> >> >
First, I have to tell you that I think my approach is
different> from MOST of> > the people
in this group. Of course, that could mean that most
of> the> > others have it
right!> >> > I would NEVER
optimize for a different set of parameters for each>
stock.> > I'm of the opinion that MSFT can start looking
like IBM tomorrow.> AOL can> >
take on the look and feel of INTC next week. So, I want to
have> one set of> > parameters
that works on ALL stocks over at least six years of
data> > (preferably ten to twelve). I
end up with a set of parameters> that
works> > over 13,000+ stocks (active and extinct) times
however many days> those> > stocks
have traded. The number of trades can be between
15,000> and 50,000> > and gives me
some feeling that the system(s) will be robust in the>
future.> >> > The next area I seem
to treat differently than most as well. I>
trade fixed> > size positions all the time. My
backtesting and realtime trading> is
always> > based on fixed position size. If I
have cash, I will take as many>
trades> > as I can take. If I don't have enough
cash to take every trade, I> will
sort> > the orders by "something". If I'm
not getting enough signals to> use all
my> > cash, I will gradually increase the bet
size. AB lends itself to>
this> > approach, although I would like to see it more
automated. I'll> give an> >
example:> >> > Let's say I'm
sitting on $100,000 cash, or will be after I close> out
some> > positions tomorrow. If I'm trading
$10,000 per transaction,> obviously I>
> have enough cash to take ten new positions. My system
may> generate 100> > orders for
tomorrow. I will add a column to my exploration
so> that I can> > sort by it (or at
least look at it). For simplicity, let's say>
that I know> > that my system works better on low price
stocks; the lower the> better.> >
That's almost too easy, but I could sort my buy orders by
closing> price and> > take the
first ten. Obviously, I would have had to backtest
this> premise> > before trading
in realtime.> >> > I sort by
whatever I have found (via backtesting) gives me the
best> results.> > Since I have
other information in my data (fundamentals, etc.), I>
can sort> > by just about anything you can
imagine.> >> > You quoted me as
saying that I use volume * price as one of my>
filters. I> > use something between a
ten-day and fifty-day average volume times>
the> > (actual) closing price to give me the
turnover. If I'm trading> $10,000,
I> > want the turnover to be at least
$200,000. That's not a science,> just
a> > judgemental ratio of my order size to the average
turnover in order> to get> > an
easy fill (in and out).> >> > I
hope I have answered your questions. If not, hit me
again.> > -----Original
Message-----> > From: Fred Tonetti
[mailto:ftonetti@xxxx]> > Sent: Sunday,
April 13, 2003 4:22 PM> > To:
amibroker@xxxxxxxxxxxxxxx> > Subject:
[amibroker] Re: Real-world trading>
>> >> >
Chuck,> >> > I can
tell from messages that you've posted in the past that
you> are> > thorough in your
testing ...> >> >
Without giving away the farm as it were I am interested in
the> kinds of> > systems you develop
and trade, do they in general look for certain> kinds
of> > conditions like for example a Raschke "grail" set
up or do they> more belong> > to the
timing of things with in the larger trend or ?>
>> > I think you are far beyond most here
or at least me in terms of> how you
go> > about selecting stocks to trade beyond whether or
not they match> some> > pattern in a
generalized way. I've heard you speak of volume >
X> etc., but> > I think most here
or at least I would benefit from any and all>
information> > you'd be willing to share about how you
pare down 10,000 tradable> issues>
> into something more manageable on a real time basis.>
>> > Regards, Fred>
>> >>
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