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Steve,
the question was going to Herman, who uses the AA tools and is aware
of the amibroker report details[exposure etc.].
As for the "trend qualifier", I don't know if you would like to
discuss the subject, but we can no way speak for any kind of "one bar
trend" and I will suppose you agree.
The two options are
Buy=Cross(17,StochRsi) ;
and
Buy=Cross(17,StochRsi) AND Ref(MA(C,21),-1) < MA(C,21);;
for the specific day you will decide to Buy or not.
Of course, this specific day the MA(C,21) may be < or > of its
previous value. This may equally happen in a bullish/bearish trend.
Any two-bar relation could never characterise a "trend".
The only actual result of MA additive is to prevent some crosses to
become signals. This makes the system stay out of the market for some
periods, something like 50/90 exposure ratio.
Thank you for your prompt reply.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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
> ----- Original Message -----
> From: Herman van den Bergen
> To: 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@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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