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[amibroker] Re: Tillson and Jurik



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Herman,
What was the purpose of the MA(C,21) additive conditions ?
The simple system runs at +1170%[for your settings], the MA(C,21) 
conditions brings it below +500%...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" 
<psytek@xxxx> wrote:
> [Steve Karnish] Maybe he can post the equity graph for the group....
> 
> 
> AmiBroker report attached.
> 
>   -----Original Message-----
>   From: CedarCreekTrading [mailto:kernish@x...]
>   Sent: Tuesday, September 02, 2003 1:53 PM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Tillson and Jurik
> 
> 
>   Dave,
> 
>   Although I have "knocked back beers" with Tim many times, he has 
never
>   offered a systematic approach that incorporates the T3.  In fact, 
for much
>   of the last 18 months, Tim has played with the StoRSI (which the 
Fort
>   Collins group has tagged: "the Karnish System").  Loosely 
interpreted, it
> is
>   a stochastically modified,  momentum oscillator.  He spent a lot 
of time
>   tweaking 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
> brighter
>   than I could ever aspire to.  In fact, Dave is going to speak 
this month,
> to
>   the Denver Trading Group, on the pitfalls of over-optimizing.  He 
and Tim
>   did exactly that with the simple StoRSI approach to the
>   QQQ's...over-optimized.  They have taken the StoRSI and 
substituted
>   optimized variables in the formula.
> 
>   When I offered the StoRSI, systematic approach, to the their 
group, in
>   December of '01, I suggested applying it to the QQQ's with a 13 
and 87
>   trigger.  I also suggested applying a trend qualifier.
> 
>   Recently, Herman sent me a nice "picture" of the results of this 
system
> (on
>   the QQQ's) with a 21sma as the trade qualifier.  Maybe he can 
post the
>   equity graph for the group.  I think the AFL library has all the 
bloody
>   details:
> 
>    // Steve Karnish StoRSI
>   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);
> 
>   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
> safer
>   equity curves.  There is no doubt that Tim and Jurik have 
developed some
>   sensitive 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.
> Since
>   I don't trust myself to interpret "wiggles", I lean more toward 
formulae
>   that can be slammed into objective approaches that can be 
backtested (in
> and
>   out of sample).
> 
>   I appreciate vendors like Fitchen (Aberration) that can produce a
>   independently, verifiable track record.  At least when you plunk 
your
> money
>   down, you know what has occurred during the last five years.  I 
am less
>   excited about vendors who peddled subjective tools that are left 
to the
>   buyers discretion (to be applied to markets).  $300 for a black 
box
> formula
>   is 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
> $3
>   for all of them).  There's quite a difference between a "formula" 
and a
>   "systematic approach".  Do you want "tools" or do you want "tools 
and
>   rules"?  Building the "grail" starts with a reliable indicator 
(there are
>   dozens).  This is only the starting point.  I get excited when 
someone
>   builds the entire mousetrap.
> 
>   I will contact Tim and ask him for examples (besides the public 
articles)
> of
>   how to incorporate the T3 into a trading approach.  Jurik's work 
is
> floating
>   around and I'm sure someone can comment on how to apply his 
indicators.
> Try
>   super-imposing a 10 period ema on top of the Jurik or Tillson 
work (hard
> to
>   tell the difference).  I believe Perry Kaufman turned me on to 
it.  Keep
> in
>   mind, there is a lot of good stuff for free.
> 
>   Take care,
> 
>   Steve
> 
> 
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