|
PureBytes Links
Trading Reference Links
|
Phsst,
First of all I don't have the power to banish you from anything.
Second, you better go back and reread the posts you are referring
to. While not banishing you, I did chastise you for NOT publishing
your results and methodologies since what we were talking about was a
tool for calculating results from trading multiple securities
simultaneously not a system from timing or selection of those
securites. Therefore, as then, again now, why the need for
secrecy ? Although fairly sophisticated now, this is all PT does
i.e. provide a framework for users to have their own timing and
scoring algorithms along with the means, unfortunately of doing the
bean counting.
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges & Refill Kits for Your Epson at Myinks.com
Free shipping on orders $50 or more to the US and Canada.
http://www.c1tracking.com/l.asp?cid=5705&lp=home/epson.asp
http://us.click.yahoo.com/brYXfA/_xWGAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|