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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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