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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
----- Original Message -----
From: "Dave Merrill" <dmerrill@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, September 01, 2003 8:25 PM
Subject: RE: [amibroker] Jurik enhanced indicators
> thanks for the background Steve (:-).
>
> have you found good application for T3 yourself? as I said, my brief
testing
> of the AFL version in the library was unspectacular, to put it politely. I
> haven't explored the posted references yet though.
>
> it is possible that jurik's tools could be useful even if he's not a
trader.
> they're mathematical functions, no more, no less. still, you'd like to
think
> the guy had some feel for what was important in the world he was working
on.
>
> thanks again,
>
> dave
>
>
> > T3 is a Tim Tillson indicator (see the byline in the article).
Although,
> > Tim and Jurik live in the same state, Colorado, and are both
> > engineers...they are not research partners. As Tim will readily admit:
> > faster in not necessarily better. Tim, along with his research partner,
> > Dave Chamness are part of a group that meets a couple of times a month
in
> > Ft. Collins. Without mentioning any other names, many members in
> > this group
> > trade, and trade hard, on a day to day basis. Almost all are double or
> > triple degreed engineers and I have yet to find any core group that can
> > "whip and beat" numbers like they can.
> >
> > Plus, they all like to drink beer. On the other hand, I not sure
> > that Jurik
> > has ever traded an issue in his life. I think I heard him admit that
once
> > or twice. Also, I can't say if he likes to drink beer.
> >
> > Take care,
> >
> > Steve
>
>
>
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