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Steve,
First of all, I posted at
http://groups.yahoo.com/group/amibroker/message/40821
the simple
F=Foreign("^VIX","C");
Buy=Cross(F,35);
Sell=Cross(31,f);
as a realistic example of Foreign("^VIX","C") use, trying to give an
answer to the "disciplinehedge" question.
Now, let us talk about this system:
Your "Almost any other indicator would have picked up some of that
gain, surely?" is somehow theoretical.
Show me this indicator who would enjoy this great trend, BUT, would
not loose money in another "sensitive" area and I would promptly
agree with you.
Show me also another LONG system with 98winners/3losers for the same
period [and the same settings buy/sell/short/cover at +1open,
commission 0.5%]
and I will also agree with your hesitations.
As for the "It seems we can get on the wrong side of the market with
the VIX and 'never' get back again!" I really do not understand the
reason.
Any system may stop giving signals for a long time.
Any system may loose money in the future and, IMO, there is no
statistical guarantee based on the previous performance.
The same may happen to this tiny ^VIX system.
Of course it was not a trading recommendation, I could never act this
way.
There are some valuable conclusions from this system:
If you use ^VIX this way, you will probably be on the right side of
the market, since the last 3 years of 98/101 stocks will agree.
Of course you may prefer another system with 60winners/40 losers or
a -50% Net profit and hope that it will be better from the moment you
trade it [and it may be and I wish you to be...]
for a very simple reason : It will be YOUR system, traded with YOUR
money.
There is no guarantee [and there will not be] for any future
prediction. There is no guarantee that ^VIX will cross 35 for the
next x years.
After the recent "Buy" signal of May23, 2003 there was no guarantee
that a Sell signal will come in a reasonable time.
The low exposure [25%] is just an indication that you will not wait
for years, BUT, it is not sure, it is just an indication.
I think I write common and obvious [and boring] things, but accept
this text as a help to make things more clear.
Thank you for your comments.
Dimitris Tsokakis
PS: I will give you the ref for the 6 or 12 signals tomorrow.
-- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond (F)" <steve@xxxx>
wrote:
> Dimitris,
>
> I'm not sure of your meaning here, but let's look at one of
your "golden candidates, NTAP [12trades/12winners/0losers, +675%]"
>
> See the attached chart. Notice three small winning trades - fine.
But notice, also, that this system took us out of the market from
8/5/2000 ($65.69) until 13/10/2000 ($113.38) having seen $147 on the
way. More than 100% gain whilst we sat on the sidelines. Almost any
other indicator would have picked up some of that gain, surely? It
seems we can get on the wrong side of the market with the VIX
and 'never' get back again!
>
> Comments?
>
> Steve
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> > Steve,
> > if we talk about N100, see the 6 sell signals, 6+1=7, and 12 sell
> > signals posted recently.
> > DT
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