|
PureBytes Links
Trading Reference Links
|
<SPAN
class=317044918-02092003>thanks steve, especially for the $3 offer
(;-).
<SPAN
class=317044918-02092003>
<SPAN
class=317044918-02092003>taking the hint from jurik's suggested applications,
I've been experimenting a bit with simple smoothing before running a CCI etc.
results are quite promising, but I'm afraid of over-optimising, and not sure
I've got the wisdom to know the difference. might be time to revisit herman's
system development tutorial. if dave has a document of his presentation that
he'd share, I'd love a copy, as I'm sure others would.
<SPAN
class=317044918-02092003>
<SPAN
class=317044918-02092003>the one thing I did notice about smoothing before other
processing was that although it improved performance overall, lag does in fact
begin to build up. as you say, that's not necessarily bad, but I can't help
wondering what the effect of jurik's stuff would be. really too bad there's no
demo.
<SPAN
class=317044918-02092003>
<SPAN
class=317044918-02092003>dave
<BLOCKQUOTE
>
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 bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|