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Fred,
I know what transpired, and it is as you said, except that I wasn't
trying to keep anything a secret. When anyone chastises me and then
demands that I explain myself, I react predictably.
Now that the dust is settled...
I have my own VB application that processes exported backtest .csv
files containing the detailed trades.
The application builds its own dynamic arrays representing the trade
information in chronological order so that the metrics measuring
portfolio trading systems can be calculated.
I developed this app for my own use. While I considered releasing it
to the AB community, I decided against it because I don't want to
expose myself to the potential support issues. I'd rather spend my
time doing other things.
You on the other hand have been very generous in spending what appears
to me to have been a huge amount of time and effort on PTxxxx and I
applaud you for it.
You and I are just motivated differently.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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/
> > > >
> > > >
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