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> - Is this system for day trader as I see that your chart is hour
> chart?
> - What parameters do I optimize for swing trades.
The "system" was created to feature the SteErrOsc and show how a simple
indicator can track an hourly index chart. As much as a few "posties" would
like to insist that it is a "system"...it was not my intention. I slapped
symmetrical triggers on the chart to show off the ability of this indicator
to identify overbought and oversold areas.
My trading system uses a modified version of Chande's CMO (in AFL section)
and does not use the SteErrOsc. I do use Standard Error Bands to exit
positions (if stops or profit targets are not elected first). When I start
down the path of creating a "system", the first thing I do is try to
identify an indicator that can time me into the market. During the last
five years, I have favored a modified StoRSI and the a modified version of
the CMO.
During the last year, I have incorporated the aspects of the Standard Error
Bands (as an exit indicator). As with my CCT Bollinger Band Oscillator, I
allow "price" to become the actual indicator. In other words, as price
bounces between two standard errors or two standard deviations, it's
movement can identify overbought and oversold situations (and in essence,
becomes the indicator).
While working with Standard Error Bands, I rediscovered the SteErrBand
Oscillator and attached it on the DJM and DJU hourly charts. This CBOT Dow
contract is my idea of a "well-behaved" issue. What's well-behaved? As
Yuki has pointed out, a well-behaved is an issue that is susceptible to a
mechanical set of rules...producing, consistent profits. I bet Yuki would
tell you that the moment any of her five favorite stocks start to misbehave,
they will be moved out of her trading mix.
As Fred has documented, without anything other that some "ballpark"
triggers, this indicator extracted great numbers from the last six month of
trading. This indicator is a long way from being a "complete system" and I
would caution anyone to structure a more complete approach before even
considering implementing it.
As far as parameters go: I haven't even looked at EOD data. I think this
indicator has some potential. Only rigorous testing, identifying various
trigger levels (or conjuring a different set of rules to spark a trigger),
and a sensible set of stops will tell if this "system" has any potential.
This indicator evolved from my observation of how hourlies, in the Dow,
react to the Standard Error Bands (8 period, 2 SteErrs, 3 period simple
smoothing). My first public discussion about this approach was at a Denver
Trading Group public meeting (the first week of March). Attached you will
find two very simple charts. As price closes above or below the Standard
Error Bands, you either buy or sell. Notice, arrows are triggered the
period after price exceeds the boundaries of the Standard Error Bands.
Since presenting this to the DTG, it has continued to chug along with rather
good signals. It is NOT a complete system (maybe I should make up a
disclaimer).
So, without justifying this approach with documentation, I present it in the
spirit that I did the SteErrBand Oscillator. Is there a system lurking
here? Could be. I've been tracking the hourlies for many months and I like
the way both the SteErrBand Oscillator and Standard Error Bands identify
turning points.
I can assure you that anything that I trade is backed with documentation
that is contained in large excel files and satisfy industry standards for
mechanical systems. First there are indicators, then come rules, testing,
analyzing results and finally: maybe a system.
Hopefully, ideas will not be shouted down here. Some folks that insist on
documentation for "ideas" are missing the point completely. The amusing
thing is that sometimes individuals want numbers that they feel are
important and maybe, just maybe, they don't really have a handle on what the
numbers mean or how to sort through the plethora of statistics that we can
develop with computers at our feet.
Pay close attention to posts that discuss "ranking". Nothing is more
important. It's not how you trade 'em ... but, what you trade. Fred,
Dingo, Yuki and, Phsst (I think) are on the right track. Systematic ranking
with credible criteria can create a list of susceptible candidates.
So, TIA...examine, improve, implement changes, and structure strategies that
will turn this simple indicator (or any offering) into the cornerstone of a
"system" (for these examples, we still don't even know if that is possible).
I hope this answers your questions and sheds more light on earlier posts.
Take care,
Steve
----- Original Message -----
From: "mmqp" <mmqp@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, July 17, 2003 10:15 AM
Subject: [amibroker] Steve Karnish
> Thanks for posting the system. I know you're one of the early user
> and I respect you to post even though you know there will be
> bashing. Couple questions for you:
>
> - Is this system for day trader as I see that your chart is hour
> chart?
> - What parameters do I optimize for swing trades.
>
> TIA.
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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