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I'm sorry, Herman, I thought it was your code and I was surprised a
bit.
Thank you for your prompt reply.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Hello DT,
>
> you'll have to ask Steve, this is not own of my systems.
>
> h
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Wednesday, September 03, 2003 2:27 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Tillson and Jurik
>
>
> 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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> >
> >
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