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Re: [amibroker] Re: Tillson and Jurik



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DT,
 
Any trend qualifier can be substituted.  A 
couple years ago, when I released this version to the public, I was using a 
simple moving average to screen for trades.  In most robust approaches to 
the markets, trading is usually enhanced by only taking trades in the direction 
of the trend.  This accomplishes two things (usually):  keeps you out 
of nasty trades that are going against direction and reduces the number of days 
in the markets.
 
The real question is:  what the hell is the 
"trend"?  I'm afraid I don't have a single objective answer for that 
one.  I do have a bunch of objective answers:  13sma; 21sma, TRIX(21), 
and a bevy of "homemade" trend indicators.  
 
What I find, in almost all the testing, is that 
most systems return higher points in the raw form.  What most people don't 
consider is the time committed to these trades.  You state that the simple 
system returns +1170% and the condition brings it below +500%.  Have you 
factored or considered that the qualifier keeps you out of the market for "x" 
amount of days?
 
The only "real" return that I look at is: percent 
per day return.  +1170% is a very spiffy return, but I'd rather take +500% 
if I only have to commit 1/3 of the time to accomplish it.
 
Just something to keep in mind when one is 
comparing results.  Result analysis and ranking of issues are the most 
bastardized issues that mechanical traders have to deal with.
 
Take care,
 
Steve
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Herman van den 
  Bergen 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Wednesday, September 03, 2003 7:39 
  AM
  Subject: RE: [amibroker] Re: Tillson and 
  Jurik
  Hello DT,you'll have to ask Steve, this is not own 
  of my systems.h-----Original Message-----From: DIMITRIS 
  TSOKAKIS [mailto:TSOKAKIS@xxxxxxxxx]Sent: Wednesday, September 03, 2003 
  2:27 AMTo: <A 
  href="">amibroker@xxxxxxxxxxxxxxxSubject: 
  [amibroker] Re: Tillson and JurikHerman,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@xxxx]>   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 hasnever>   offered a systematic 
  approach that incorporates the T3.  In fact,for 
  much>   of the last 18 months, Tim has played with the StoRSI 
  (which theFort>   Collins group has tagged: "the Karnish 
  System").  Looselyinterpreted, it> is>   a 
  stochastically modified,  momentum oscillator.  He spent a lotof 
  time>   tweaking the variables of the formula and optimizing 
  the triggerlevels.>>   I have teased Tim and Dave 
  during the last year and called them abunch 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 speakthis month,> to>   
  the Denver Trading Group, on the pitfalls of over-optimizing.  Heand 
  Tim>   did exactly that with the simple StoRSI approach to 
  the>   QQQ's...over-optimized.  They have taken the 
  StoRSI andsubstituted>   optimized variables in the 
  formula.>>   When I offered the StoRSI, systematic 
  approach, to the theirgroup, in>   December of '01, I 
  suggested applying it to the QQQ's with a 13and 87>   
  trigger.  I also suggested applying a trend 
  qualifier.>>   Recently, Herman sent me a nice 
  "picture" of the results of thissystem> (on>   the 
  QQQ's) with a 21sma as the trade qualifier.  Maybe he canpost 
  the>   equity graph for the group.  I think the AFL 
  library has all thebloody>   
  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 tradersthat "quicker> 
  is,>   indeed, better".  Quicker is better only if it 
  leads to asmoother and> safer>   equity 
  curves.  There is no doubt that Tim and Jurik havedeveloped 
  some>   sensitive indicators.  Neither has incorporated 
  them into tradingsystems>   (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 subjectivedecisions.> 
  Since>   I don't trust myself to interpret "wiggles", I lean 
  more towardformulae>   that can be slammed into objective 
  approaches that can bebacktested (in> and>   out 
  of sample).>>   I appreciate vendors like Fitchen 
  (Aberration) that can produce a>   independently, verifiable 
  track record.  At least when you plunkyour> 
  money>   down, you know what has occurred during the last 
  five years.  Iam less>   excited about vendors who 
  peddled subjective tools that are leftto the>   buyers 
  discretion (to be applied to markets).  $300 for a blackbox> 
  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 $3each (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 "toolsand>   rules"?  Building the "grail" 
  starts with a reliable indicator(there are>   
  dozens).  This is only the starting point.  I get excited 
  whensomeone>   builds the entire 
  mousetrap.>>   I will contact Tim and ask him for 
  examples (besides the publicarticles)> of>   how 
  to incorporate the T3 into a trading approach.  Jurik's 
  workis> floating>   around and I'm sure someone 
  can comment on how to apply hisindicators.> Try>   
  super-imposing a 10 period ema on top of the Jurik or Tillsonwork 
  (hard> to>   tell the difference).  I believe 
  Perry Kaufman turned me on toit.  Keep> in>   
  mind, there is a lot of good stuff for free.>>   Take 
  care,>>   
  Steve>>>         
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