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[Steve Karnish] Maybe he can post
the equity graph for the group.<SPAN
class=531243019-02092003>...
<IMG alt="" hspace=0
src="jpg00295.jpg" align=baseline border=0><SPAN
class=531243019-02092003>AmiBroker report
attached.
<FONT face=Tahoma
size=2>-----Original Message-----From: CedarCreekTrading
[mailto:kernish@xxxxxxxxxxx]Sent: Tuesday, September 02, 2003 1:53
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Tillson and Jurik
Dave,Although I have "knocked back beers" with Tim many times, he
has neveroffered a systematic approach that incorporates the T3. In
fact, for muchof the last 18 months, Tim has played with the StoRSI (which
the FortCollins group has tagged: "the Karnish System"). Loosely
interpreted, it isa stochastically modified, momentum
oscillator. He spent a lot of timetweaking the variables of the
formula and optimizing the trigger levels.I have teased Tim and Dave
during the last year and called them a bunch of"beer-guzzling,
over-optimizers". All in good fun. They are much brighterthan
I could ever aspire to. In fact, Dave is going to speak this month,
tothe Denver Trading Group, on the pitfalls of over-optimizing. He
and Timdid exactly that with the simple StoRSI approach to
theQQQ's...over-optimized. They have taken the StoRSI and
substitutedoptimized variables in the formula.When I offered the
StoRSI, systematic approach, to the their group, inDecember of '01, I
suggested applying it to the QQQ's with a 13 and 87trigger. I also
suggested applying a trend qualifier.Recently, Herman sent me a nice
"picture" of the results of this system (onthe QQQ's) with a 21sma as the
trade qualifier. Maybe he can post theequity graph for the
group. I think the AFL library has all the
bloodydetails: // Steve Karnish
StoRSIStochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100;Buy=Cross(17,StochRsi)
AND Ref(MA(C,21),-1) <
MA(C,21);;Sell=Cross(StochRsi,83);Short=Cross(StochRsi,83) AND
Ref(MA(C,21),-1) > MA(C,21);Cover=Cross(17,StochRsi);There
seems to be a misconception among technical traders that "quicker
is,indeed, better". Quicker is better only if it leads to a smoother
and saferequity curves. There is no doubt that Tim and Jurik have
developed somesensitive indicators. Neither has incorporated them
into trading systems(as far as I know).As you are aware, many
indicators are helpful in the hands of a disciplined"artist" that can
apply them to markets to make subjective decisions. SinceI don't
trust myself to interpret "wiggles", I lean more toward formulaethat can
be slammed into objective approaches that can be backtested (in andout of
sample).I appreciate vendors like Fitchen (Aberration) that can
produce aindependently, verifiable track record. At least when you
plunk your moneydown, you know what has occurred during the last five
years. I am lessexcited about vendors who peddled subjective tools
that are left to thebuyers discretion (to be applied to markets).
$300 for a black box formulais not something I'm going to spend my money
for.For that matter, I have 100 formulas that I will sell you for $3
each (or $3for all of them). There's quite a difference between a
"formula" and a"systematic approach". Do you want "tools" or do you
want "tools andrules"? Building the "grail" starts with a reliable
indicator (there aredozens). This is only the starting point.
I get excited when someonebuilds the entire mousetrap.I will
contact Tim and ask him for examples (besides the public articles) ofhow
to incorporate the T3 into a trading approach. Jurik's work is
floatingaround and I'm sure someone can comment on how to apply his
indicators. Trysuper-imposing a 10 period ema on top of the Jurik or
Tillson work (hard totell the difference). I believe Perry Kaufman
turned me on to it. Keep inmind, there is a lot of good stuff for
free.Take care,SteveSend
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Title: AmiBroker System Test Report
Settings
Initial Equity:
100
Periodicity/Positions:
Daily/Long Short
Commissions:
0.01 per share
Annual interest rate:
0.00%
Range:
1/2/2000 00:00:00 - 8/28/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
13.00
Value:
3.50
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
0.10
Exit at stop?
yes
Formula// Steve Karnish's StoRSI w/MA
StochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100;
Buy=Cross(17,StochRsi) AND Ref(MA(C,21),-1) < MA(C,21);;
Sell=Cross(StochRsi,83);
Short=Cross(StochRsi,83) AND Ref(MA(C,21),-1) > MA(C,21);
Cover=Cross(17,StochRsi);
Plot(Equity(),"Equity",1,1);
Performance for QQQ
Total net profit:
496.37
Total commissions paid:
8.52
Return on account:
496.37 %
Open position gain/loss
-40.22
Buy&Hold profit:
-65.77
Bars (days) in test:
918 (1334)
Buy&Hold % return:
-65.77%
System to Buy&Hold index:
854.72%
Annual system % return:
63.00%
Annual B&H % return:
-25.42%
System drawdown:
-8.20
B&H drawdown:
-79.45
Max. system drawdown:
-125.00
B&H max. drawdown:
-104.72
Max. system % drawdown:
-33.07%
B&H max. % drawdown:
-83.59%
Max. trade drawdown:
-99.99
Max. trade % drawdown:
-33.07%
Trade drawdown:
-88.75
Total number of trades:
44
Percent profitable:
72.7%
Number winning trades:
32
Number losing trades:
12
Profit of winners:
715.92
Loss of losers:
-179.53
Total # of bars in winners:
301
Total # of bars in losers:
254
Commissions paid in winners:
5.93
Commissions paid in losers:
2.59
Largest winning trade:
60.01
Largest losing trade:
-60.68
# of bars in largest winner:
5
# bars in largest loser:
24
Commission paid in largest winner:
0.34
Commission paid in largest loser:
0.22
Average winning trade:
22.37
Average losing trade:
-14.96
Avg. # of bars in winners:
9.4
Avg. # bars in losers:
21.2
Avg. commission paid in winner:
0.19
Avg. commission paid in loser:
0.22
Max consec. winners:
6
Max consec. losers:
2
Bars out of the market:
368
Interest earned:
0.00
Exposure:
59.9%
Risk adjusted ann. return:
105.15%
Ratio avg win/avg loss:
1.50
Avg. trade (win & loss):
12.19
Profit factor:
3.99
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