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Gee Phsst,
I don't have an answer to your question:
"how do you think that this system performs relative to the following:"
If you think this indicator can anchor a mechanical system, I suggest that
you backtest the general approach and report back. Every asterisk you
listed is important and of course, these intermediate calculations should
lead to more meaning numbers (Sharpe Ratio, Ulcer Index, Expectancy, Value
at Risk, etc.).
For the past three quarters, I've been providing 150 institutions with buy
and sell signals (80+ stocks). I would be laughed "off the street" without
providing specific trading values that measure up to industry standards. I
think I have a working knowledge of what's required to justify a mechanical
approach. My specific approach to the markets and the formula that I
provided in the email are in no way related.
A couple months ago I found an old 3 1/2" floppy with some formulas that I
tweaked (years ago). I slapped the SteErrOsc on DJM and than the DJU and
was surprised that it did such a good job of identifying overbought and
oversold territory. The formula and these "ballpark" triggers have been
presented and posted at a number of technical forums (over the last few
months). People seemed to understand the spirit of what I presented.
As my first posts stated: it's un-optimized, un-tweaked, un-manipulated, no
filters, no stops, no trend identification, no nothing. My most adamant
statement was: "it does a decent job tracking the CBOT Dow contract."
The challenge for mean reversion, momentum traders is to find a credible
indicator (I've offered many and many folks on this forum use them), and
then start "cornering the rat (price)".
*Only put positions on in the direction of the trend
*Drawdown stop
*Profit target stop
*Time stop
*Mechanical oscillator exit
*Money management
Building the mouse trap is the easy part. As Fred & Chuck (and others) have
stated many times, issue selection is far more important than the approach
you use. We all have lots of things that work on lots of issues. This
out-of-sample...must work on a random basket is total nonsense. If one's
goal is to damper returns, then design something that trades all issues with
profits.
I've traded futures for over 25 years, and have always had great returns in
wheat, corn, oats, silver, gold, fuel and indices. I can't trade bellies
(well, none of the meats), interest rates, currencies, the softs, and the
rest of the sixty or seventy futures (like canola meal). Which of the above
commodities do you think I risked money on (for me and my best friends)?
Would the validity of my approch suffer if I couldn't prove that I can make
a profit trading Orange Juice?
Enough said. Well, one more thing. As forums evolve, occasionally they
enter into the "Mark Brown Syndrome" (simple, fresh ideas get shouted down
by overbearing list members). Or, as of late, tons of finger pointing at
people that are offering commercial solutions (within the limits imposed by
Tomasz). It would be fun to see the forum return to the spirit it
supported for so many years. In the meantime:
"The woodwork squeaks and out come the freaks"...Was (Not Was).
Take care,
Steve
----- Original Message -----
From: "Phsst" <phsst@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 16, 2003 6:26 PM
Subject: [amibroker] Re: Please send unmarked bills, in a brown paper bag,
to: ...
> Steve,
>
> You started this thread off like it was a chip on your shoulder.
>
> Rather than 'taking my best shot at your system', I'd rather ask a few
> questions. For any randomly generated basket of stocks, how do you
> think that this system performs relative to the following:
>
> * Number of Trades (Long versus Short)
> * How quickly is available capital 'over traded'
> * % of trades that are profitable
> * % of trades that are losers
> * Avg profit per winner
> * Avg loss per loser
> * Avg days held for winning trades
> * Avg days held for losing trades
> * RAR on Long trades
> * RAR on Short trades
> * Max % drawdown of account value for both Longs and Shorts
>
> What kind of metrics were available to you that made you think this
> system was worth publishing?
>
> Regards,
>
> Phsst
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> wrote:
> > Steve,
> > as you see, nobody likes this wonderful system *as is*.
> > I am still surprised, nobody wants to buy at $10 and sell at $90 ???
> > But, it is a net +800% !!!
> > Anyway, perhaps the best typo ever written.
> > Thanks for the surprise,
> > Dimitris Tsokakis
> > --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
> > wrote:
> > > Group,
> > >
> > > I've stayed on the sidelines for the most recent "shit-slinging".
> > I thought I'd post an elementary approach to the "Dow"...just so
> > people could find another member to attach. Take your best shots at
> > the systems (I've been called all kinds of unflattening names and I
> > even like some of the "tags").
> > >
> > > The system hasn't been optimized, tweaked, or manipulated. All
> > types of rules and filters could be super-imposed (over, under or
> > around the basics...simple is always better). As it stands, it does
> > a decent job tracking the CBOT Dow contract.
> > >
> > >
> > >
> > > Thanks to HB for providing the code translation:
> > > // Standard Error Oscillator (Steve Karnish)
> > >
> > > StdErrOsc = (C+2*StdErr(C,8)-MA(C,3))/(4*StdErr(C,8))*100;
> > >
> > > Plot(StdErrOsc, "StdErrOsc", colorBlack, styleLine);
> > >
> > > Plot(10,"",colorRed); Plot(90,"",colorRed);
> > >
> > > Buy = Cross (10, C);
> > >
> > > Sell = Cross (C, 90);
> > >
> > > Take care,
> > >
> > > Steve
>
>
>
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