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I will give detailed AA formulas tomorrow morning.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Alan Nouray" <alann@xxxx> wrote:
> Dimitris,
>
> I know TD Sequential formula but I did not know there are 2
versions.
> Can you please clarify.
>
> Alan
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > 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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