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Steve,
My question to you was honest.
You claim that you don't have an answer for my questions, and yet you
demand that I provide you with my own backtest results of 'YOUR'
published system... <LOL> BTW... Fred banished me from publishing my
own backtest results on this board since I don't use his official
PTxxxx AFL to calculate my own backtesting results. (I use my own
software which approaches the issue of analyzing backtest results
differently from Fred). Hey... It is not an issue worth exchanging
words over.
So my position remains... don't demand that I disprove your approach.
And don't puff up your credentials... just tell us what mathmetical
metrics you used to determine the validity of your system. And if you
still don't have an answer... then that is OK. Just let it drop. Never
mind that you defended a flawed formula to begin with.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Karnish" <kernish@xxxx> wrote:
> 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@xxxx>
> 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
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
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> >
> >
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