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Steve,
here is some technical data
%Net profit Exposure
simple +1170% 97%
MA21 +496% 60%
TDseq1 +748% 77%
TDseq2 +400% 74%
TDseq1 and TDseq2 are two TomDeMark sequential applications from my
recent posts on the subject. They accept Buy signals when
the "environment" is expecting a buy signal.
I do not think it is easy to choose one of these 4 techniques.
Any opinion ?
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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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