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What I find interesting, Steve, is that, if you scroll down all the
indices, not very many give the same profitable equity curve as QQQ, not even
NDX, from which the QQQ is derived. In fact, most lose money or make very
little. So, the speculation that the QQQ has no fundamentals or it's not a real
stock is not supported by the facts. Weird that the NDX does not replicate even
closely the QQQ. I'm not quarreling with you. Just making an observation. Guess
there really is no logic here. Thanks for your insights.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=kernish@xxxxxxxxxxxx
href="">CedarCreekTrading
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 02, 2003 9:46
PM
Subject: Re: [amibroker] Tillson and
Jurik
Al,
Maybe it's because the QQQ has no fundamentals or
maybe it's because it's not a real stock. During my last dozen
presentations, no matter what formulae or systems that I present to the
attendees, someone always raises the question: "How does this do on the
Q's". It sure seems to be a big favorite with traders.
So, a couple years ago, I adapted a system,
that I used in the grains, to trade the Q's. I find the StoRSI
a little sluggish for most individual equity timing. Logic would dictate
that if an index trades well, so should stocks, especially components of
that index. Not so in this case.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Al
Venosa
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 02, 2003 6:20
PM
Subject: Re: [amibroker] Tillson and
Jurik
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....
<IMG alt=""
hspace=0 src="" align=baseline
border=0>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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