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Steve,
I get exactly the same equity curve as Herman did, a little jagged but
fairly nice. The problem is, it is only good for a few stocks (yes, I know you
developed it only for the QQQs), but you would think it ought to work for other
stocks, wouldn't you? Why do you suppose it's only applicable for QQQ? Just
curious.
Al Venosa
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 02, 2003 3:33
PM
Subject: RE: [amibroker] Tillson and
Jurik
[Steve Karnish] Maybe he can post
the equity graph for the group.<SPAN
class=531243019-02092003>...
<IMG alt="" hspace=0
src="" 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: <A
href="">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 BUG REPORTS to
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