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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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