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HB,
Many Thanks. And I'm usually PK. It's a brand of
chewing gum in Oz, so I've always been called PK.
Peter K
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
hmab1
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 18, 2003 8:34 AM
Subject: [amibroker] Re: Please send
unmarked bills, in a brown paper bag, to: ...
<FONT
face=Arial size=2>PT = Porfolio Trader(<A
href="">http://f5.grp.yahoofs.com/v1/YBwXPxvrJ0G0ih7LnLO9GGY_FgHzswdJ-JNHIkCUkHbqh_rBwEk2pNT7YX-zez-JniOSGGPdM6pj0bi1/PT-0203.ZIP)and
<A
href="">http://groups.yahoo.com/group/portfolioTrader/AB
= AmibrokerAA = Automatic Analysis window in ABIB = Indicator
Builder in ABHB (that's me :)--- In <A
href="">amibroker@xxxxxxxxxxxxxxx, "Peter
Kuskopf" <pkuskopf@xxxx> wrote:> Fred,> > I've
recently moved from Metastock to AmiBroker so haven't picked up the
acronyms yet. What is PT? It's difficult to search the archives for "PT".
I get 99 gazillion hits.> > By the way, I've also seen a
reference to AA in posts. What's that?> > And, lastly, are there
any other useful but cryptic acronyms for the AmiBroker world in a
glossary online somewhere? Otherwise, I'm sure all will unfold in good
time.> > Many Thanks> Peter K> >
> ----- Original Message ----- > From:
Fred > To: amibroker@xxxxxxxxxxxxxxx >
Sent: Friday, July 18, 2003 3:30 AM> Subject: [amibroker]
Re: Please send unmarked bills, in a brown paper bag, to: ...>
> > Phsst,> > PT was my
way to pay my debt so to speak to the general community.
> AB has been very good to me since I started using it in
that with the > huge engine speed improvements over
other potential products it has > allowed me to ferret
out new and/or improve some my existing systems > that
would have been next to impossible elsewhere. Regarding the
> support issues, I completely understand, but in a free
product this > can take whatever the developer chooses
to "spend" on it. I could > have stopped pre GUI,
I could stop here, but like Tomasz, although to > a
much lesser degree, there are places I'd like to take PT that it
> hasn't reached into yet really more for my own uses as
was the reason > for its initial development then for
any other reason, but the result > is all users
benefit.> > Best Regards,>
> Fred> > > --- In
amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx>
wrote:> > 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: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> > > > >
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> > > > >> > > > > >>
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> >
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