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Re: [amibroker] Re: Tillson and Jurik



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DT,

I believe I agree with you.

Take care,

Steve
----- Original Message ----- 
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, September 03, 2003 1:28 PM
Subject: [amibroker] Re: Tillson and Jurik


> 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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