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Mohan,
It gets exactly as many as QCharts gives. It uses ContinuumClient.dll the same
as QCharts. My experience is that QCharts gives about one year of intraday minute data,
and many years of daily data (6 or more)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Mohan Yellayi" <myellayi@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, October 10, 2003 1:11 AM
Subject: RE: [amibroker] Qcharts with EOD Amibroker
> Does this plug in retrieve all the real time data for each symbol?
> QCharts claim that they make 6 years of data available for each symbol.
>
> Thanks
>
> Mohan
>
> -----Original Message-----
> From: Tomasz Janeczko [mailto:amibroker@xxxxxx]
> Sent: Thursday, October 09, 2003 5:33 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Qcharts with EOD Amibroker
>
> Hello,
>
> To use QCharts you would need a separate plugin that
> you can purchase from
> http://www.amibroker.com/order.html
>
> There is 15 money back guarantee on QCharts plugin
> (since there is no trial)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Anthony C. Abry" <abry@xxxxxxxxxxxxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, October 09, 2003 11:15 PM
> Subject: [amibroker] Qcharts with EOD Amibroker
>
>
> > Hi,
> >
> > I have a Qcharts subscription and had wanted to use it with the AB EOD
> > edition. The link on AB's website does not work
> > http://www.amibroker.com/h_amiquote.html
> >
> > Could anyone please point me in the right direction.
> >
> > Thanks,
> >
> > Anthony Abry
> > www.kinnikinnickmorgans.com
> > A horse a day keeps the shrink away
> > ----- Original Message -----
> > From: <amibroker@xxxxxxxxxxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, October 09, 2003 4:10 AM
> > Subject: [amibroker] Digest Number 2585
> >
> >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> ------------------------------------------------------------------------
> > >
> > > There are 25 messages in this issue.
> > >
> > > Topics in this digest:
> > >
> > > 1. FW: Optimize/OverOptimize
> > > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > > 2. FW: Optimize/OverOptimize
> > > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > > 3. OT Forex for the sublimely naive
> > > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > > 4. sublimely naive? Manual Stock Sorting.
> > > From: "Michael.S.G." <OzFalcon@xxxxxxxx>
> > > 5. Re: FW: Optimize/OverOptimize
> > > From: "jtelang" <jtelang@xxxxxxxxx>
> > > 6. New ESignal plugin/Quotes
> > > From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
> > > 7. Re: OT Forex for the sublimely naive
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > 8. Test = 0
> > > From: "Mr Valley" <valleymj@xxxxxxxxxxx>
> > > 9. RE: sublimely naive? Manual Stock Sorting.
> > > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > > 10. Re: Re: OT Forex for the sublimely naive
> > > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > > 11. Re: Re: OT Forex for the sublimely naive
> > > From: "CedarCreekTrading" <kernish@xxxxxxxxxxxx>
> > > 12. Re: OT Forex for the sublimely naive
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > 13. Re: Re: FW: Optimize/OverOptimize
> > > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > > 14. Entry, Exit and Stop loss on the same bar?
> > > From: "aghari" <aghari@xxxxxxxxx>
> > > 15. Re: Re: OT Forex for the sublimely naive
> > > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > > 16. Re: OT Forex for the sublimely naive
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > 17. RE: Entry, Exit and Stop loss on the same bar?
> > > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > > 18. RE: Re: FW: Optimize/OverOptimize
> > > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > > 19. Re: FW: Optimize/OverOptimize
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > 20. Simplified support resistance levels
> > > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > > 21. Re: FW: Optimize/OverOptimize
> > > From: "Phsst" <phsst@xxxxxxxxx>
> > > 22. The Inspection Points and the Hi-pass Filter
> > > From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>
> > > 23. Re: FW: Optimize/OverOptimize
> > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
> > > 24. Re: New ESignal plugin/Quotes
> > > From: "Tomasz Janeczko" <amibroker@xxxxxx>
> > > 25. Re: Displaced or Shifted Moving Average
> > > From: "don" <donmac63@xxxxxxxxxxxx>
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 1
> > > Date: Wed, 8 Oct 2003 21:07:55 -0400
> > > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > > Subject: FW: Optimize/OverOptimize
> > >
> > > [folks, a bit ago steve kernish posted a presentation by Dave
> Chamness on
> > > optimization and overoptimization here. I found it interesting, and
> wrote
> > > Dave with some questions, no doubt pretty basic to Dave and probably
> to
> > many
> > > people here too. he wrote back, but I forgot to ask him initially if
> it
> > was
> > > ok to post his replies. tonight I got a msg that it's ok, so here
> you go.
> > > - dave merrill]
> > >
> > > -----Original Message-----
> > > From: David Chamness
> > > Subject: Re: Optimize/OverOptimize
> > >
> > >
> > > Answers are in the text below. Contrary to Steve's statement, I
> have
> > only
> > > one degree, BS Mechanical Engineering.
> > >
> > > Dave Chamness
> > >
> > > -----Original Message-----
> > > From: Dave Merrill
> > > Subject: Optimize/OverOptimize
> > >
> > >
> > >
> > > Dave, I hope it's ok to contact you on this. steve kernish posted a
> > > presentation of yours on optimization that I found very interesting,
> > though
> > > I'm afraid I don't get all of it. this is a topic I'm thinking about
> > pretty
> > > much constantly these days, with quite a bit of accompanying
> frustration.
> > > IMVHO, most of the world gives way too much weight to optimizations
> that
> > > seem like curve fitting to me, but I haven't figured out how to move
> > beyond
> > > that.
> > >
> > >
> > >
> > > a couple of questions, if I might:
> > >
> > >
> > >
> > > - can you explain the scatter plots on slides 3 and 4? what exactly
> is
> > > plotted on x and y? the punch line, which I'm too ignorant to see,
> is that
> > > the system fails with out of sample data. the one part I understand,
> I
> > > think, is that the correlation coefficient, presumably between in
> and out
> > of
> > > sample results, is poor. is that right? how does the plot itself
> show
> > this?
> > >
> > >
> > >
> > > They show the In-Sample gain as % of perfect trading on the x axis
> versus
> > > the out of sample gain on the y axis. Each data point is a separate
> stock
> > > with a separate system. In sample gains were 15% of perfect on
> average.
> > > Out of sample were near zero on average. Perfect trading wins all
> close
> > to
> > > close changes. There are 2 years in and out of sample.
> > >
> > >
> > >
> > > - slide 24 mentions "Trend Following on Commodities", as "100 day
> > lookback,
> > > trade 34% before breakout". I don't understand what this means.
> something
> > > about MA or EMA(100), maybe, but what's the 34% piece? how does it
> get
> > > around the parameter settings limitations that sink other systems?
> is this
> > > method, or something based on related principles, tradeable in
> stocks
> > and/or
> > > mutual funds?
> > >
> > >
> > >
> > > Breakout buys a new high, sells a new low. Near Breakout trades
> sooner.
> > > 34% before breakout buys in the top third of the 100 day high-low
> range,
> > > sells in the bottom third. Specifically, the 34% means 34% of the
> > high-low
> > > range.
> > >
> > >
> > >
> > > - how would I compute the daily standard deviation of the S&P500, in
> > > AmiBroker for instance, in a way that gives the same .95%/day figure
> you
> > > mention? is that the average std dev of daily close price change
> over some
> > > specific period of time? I ask so I can generate comparable figures
> for
> > > other markets.
> > >
> > >
> > >
> > > Compute the standard deviation of all the close to close changes.
> > >
> > >
> > >
> > > - the parameters I get optimizing today compensate for transient
> market
> > > behaviors that will eventually end, and eventually it will do very
> poorly.
> > > but if those behaviors persist, at least somewhat, for a little
> while,
> > might
> > > the system to do better than average in the short term? if so, is
> constant
> > > re-optimization worth exploring, or even switching whole trading
> systems
> > in
> > > a mechanical way based on recent performance?
> > >
> > >
> > >
> > > I find little tendency for trading systems to work in the future.
> Try to
> > > identify a simple nonrandomness. Try to find markets that simple
> systems
> > > work on. Don't pick an impossible market like S&P 500 and try to
> fit a
> > > complex bunch of rules to it.
> > >
> > >
> > >
> > > Commodities have long term trends. Stocks show short term 2-10 day
> > > reversals.
> > >
> > >
> > >
> > > thanks again for writing and sharing this. makes me wish I lived
> somewhere
> > > near the meetings you haunt...
> > >
> > >
> > >
> > > dave
> > >
> > > Dave is an Agilent, triple-degreed, engineer. Two weeks ago, he
> > presented
> > > this work to our Denver Trading Group's weekly meeting (actually,
> this
> > group
> > > meets every Thursday and most Saturday's). Once a month, I moderate
> a SIG
> > > on mechanical trading (and I haven't seen less than eighty people in
> the
> > > room since I've been attending).
> > >
> > >
> > >
> > > Although, I don't agree with certain aspects of his presentation
> and I
> > > somewhat object to his assigning my name to the "Karnish System" (it
> has
> > > become a bastardized off-shot of my work), I still believe that
> there is a
> > > lot of merit to aspects of his work. The "Karnish System" has
> become the
> > > moniker for systems (along the front range of Colorado) that
> > stochastically
> > > smoothes a momentum oscillator that initiates buy and sell signals
> using
> > > symmetrical triggers.
> > >
> > >
> > >
> > > I neither want to endorse, defend or criticize Dave's work...but,
> offer
> > > this for group members to stimulate thought.
> > >
> > >
> > >
> > > Take care,
> > >
> > >
> > >
> > > Steve
> > >
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 2
> > > Date: Wed, 8 Oct 2003 21:12:14 -0400
> > > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > > Subject: FW: Optimize/OverOptimize
> > >
> > > [other reply to my questions, from Dave Chamness. - dave merrill]
> > >
> > > -----Original Message-----
> > > From: David Chamness
> > > Subject: Re: Optimize/OverOptimize
> > >
> > >
> > > It's OK to post my replies.
> > >
> > > Equities may trade based on a specialist, or a small group of
> frequent
> > > traders, in effect market makers. Change the group and price
> behavior may
> > > change. Try to find a system for GE. You may have better luck with
> a
> > > smaller stock.
> > >
> > > Commodities are traded by many people who do not need to make a
> profit,
> > such
> > > as hedgers and governments. Currencies and interest rates trend
> because
> > > Alan Greenspan does not want to look like an idiot jacking rates up
> and
> > down
> > > in a random walk. So he lowers interest rates repeatedly until he
> is
> > done.
> > >
> > > Personally, I trade commodities, but I keep searching for stock
> systems.
> > >
> > > Dave
> > > ----- Original Message -----
> > > From: dave merrill
> > > Subject: RE: Optimize/OverOptimize
> > >
> > >
> > > thanks for clarifying, much appreciated. is it ok w you if I
> forward
> > your
> > > reply(ies)to the AmiBroker group where steve posted your original?
> let me
> > > know.
> > >
> > > one area intrigues me still:
> > >
> > > if we do find a market where a simple rule set works well, why
> would you
> > > think that's so? because of some inherent property of the stock
> itself
> > that
> > > makes it non-random, different from other issues where that rule
> fails? or
> > > is it another random walk phenomenon, unlikely to persist at all? if
> > that's
> > > so, it seems completely pointless to trade equities at all, no
> different
> > > from gambling.
> > >
> > > why do you think commodities act differently? because prices
> respond
> > more
> > > to real-world changes (supply/demand and factors that influence it,
> etc)
> > > than to the raw emotionality that seems to drive equities? if so,
> that
> > > implies we should look to fundamentals for more non-random trends in
> > > equities, but not much in that dimension except news spikes seems to
> drive
> > > valuation very much. how do we resolve this apparent lack of
> perceivable
> > > order, other than trading commodities instead?
> > >
> > > thanks again for your thoughts, very interesting.
> > >
> > > Dave Merrill
> > >
> > > Answers are in the text below. Contrary to Steve's statement, I
> have
> > > only one degree, BS Mechanical Engineering.
> > >
> > > Dave Chamness
> > >
> > > -----Original Message-----
> > > From: Dave Merrill [mailto:dmerrill@xxxxxxx]
> > > Sent: Monday, September 29, 2003 12:32 PM
> > > To: dec@xxxxxxxx
> > > Subject: Optimize/OverOptimize
> > >
> > >
> > >
> > > Dave, I hope it's ok to contact you on this. steve karnish
> posted a
> > > presentation of yours on optimization that I found very interesting,
> > though
> > > I'm afraid I don't get all of it. this is a topic I'm thinking about
> > pretty
> > > much constantly these days, with quite a bit of accompanying
> frustration.
> > > IMVHO, most of the world gives way too much weight to optimizations
> that
> > > seem like curve fitting to me, but I haven't figured out how to move
> > beyond
> > > that.
> > >
> > >
> > >
> > > a couple of questions, if I might:
> > >
> > >
> > >
> > > - can you explain the scatter plots on slides 3 and 4? what
> exactly is
> > > plotted on x and y? the punch line, which I'm too ignorant to see,
> is that
> > > the system fails with out of sample data. the one part I understand,
> I
> > > think, is that the correlation coefficient, presumably between in
> and out
> > of
> > > sample results, is poor. is that right? how does the plot itself
> show
> > this?
> > >
> > >
> > >
> > > They show the In-Sample gain as % of perfect trading on the x
> axis
> > > versus the out of sample gain on the y axis. Each data point is a
> > separate
> > > stock with a separate system. In sample gains were 15% of perfect
> on
> > > average. Out of sample were near zero on average. Perfect trading
> wins
> > all
> > > close to close changes. There are 2 years in and out of sample.
> > >
> > >
> > >
> > > - slide 24 mentions "Trend Following on Commodities", as "100
> day
> > > lookback, trade 34% before breakout". I don't understand what this
> means.
> > > something about MA or EMA(100), maybe, but what's the 34% piece? how
> does
> > it
> > > get around the parameter settings limitations that sink other
> systems? is
> > > this method, or something based on related principles, tradeable in
> stocks
> > > and/or mutual funds?
> > >
> > >
> > >
> > > Breakout buys a new high, sells a new low. Near Breakout trades
> > sooner.
> > > 34% before breakout buys in the top third of the 100 day high-low
> range,
> > > sells in the bottom third. Specifically, the 34% means 34% of the
> > high-low
> > > range.
> > >
> > >
> > >
> > > - how would I compute the daily standard deviation of the
> S&P500, in
> > > AmiBroker for instance, in a way that gives the same .95%/day figure
> you
> > > mention? is that the average std dev of daily close price change
> over some
> > > specific period of time? I ask so I can generate comparable figures
> for
> > > other markets.
> > >
> > >
> > >
> > > Compute the standard deviation of all the close to close
> changes.
> > >
> > >
> > >
> > >
> > > - the parameters I get optimizing today compensate for transient
> > market
> > > behaviors that will eventually end, and eventually it will do very
> poorly.
> > > but if those behaviors persist, at least somewhat, for a little
> while,
> > might
> > > the system to do better than average in the short term? if so, is
> constant
> > > re-optimization worth exploring, or even switching whole trading
> systems
> > in
> > > a mechanical way based on recent performance?
> > >
> > >
> > >
> > > I find little tendency for trading systems to work in the
> future. Try
> > > to identify a simple nonrandomness. Try to find markets that simple
> > systems
> > > work on. Don't pick an impossible market like S&P 500 and try to
> fit a
> > > complex bunch of rules to it.
> > >
> > >
> > >
> > > Commodities have long term trends. Stocks show short term 2-10
> day
> > > reversals.
> > >
> > >
> > >
> > > thanks again for writing and sharing this. makes me wish I lived
> > > somewhere near the meetings you haunt...
> > >
> > >
> > >
> > > dave
> > >
> > > Dave is an Agilent, triple-degreed, engineer. Two weeks ago,
> he
> > > presented this work to our Denver Trading Group's weekly meeting
> > (actually,
> > > this group meets every Thursday and most Saturday's). Once a month,
> I
> > > moderate a SIG on mechanical trading (and I haven't seen less than
> eighty
> > > people in the room since I've been attending).
> > >
> > >
> > >
> > > Although, I don't agree with certain aspects of his
> presentation and
> > I
> > > somewhat object to his assigning my name to the "Karnish System" (it
> has
> > > become a bastardized off-shot of my work), I still believe that
> there is a
> > > lot of merit to aspects of his work. The "Karnish System" has
> become the
> > > moniker for systems (along the front range of Colorado) that
> > stochastically
> > > smoothes a momentum oscillator that initiates buy and sell signals
> using
> > > symmetrical triggers.
> > >
> > >
> > >
> > > I neither want to endorse, defend or criticize Dave's
> work...but,
> > > offer this for group members to stimulate thought.
> > >
> > >
> > >
> > > Take care,
> > >
> > >
> > >
> > > Steve
> > >
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 3
> > > Date: Thu, 9 Oct 2003 10:39:48 +0900
> > > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > > Subject: OT Forex for the sublimely naive
> > >
> > > A recent thread here has seemed to suggest that Forex trading is
> > > somehow easier or less risky or more profitable than other forms of
> > > trading. Most of you on this list know that to be largely
> poppycock,
> > > and can probably hit the 'delete' button right about now. This
> > > message is only for those tempted to buy into such claims, or for
> > > those with memories that don't go back very far.
> > >
> > > First of all, to address the claim that you cannot lose more than
> > > your investment in Forex trading: Pure, unadulterated horse hockey.
> > >
> > > I'm sorry to be the bearer of bad news, but I am positive that you
> > > can lose more than your initial investment on ANY leveraged play. I
> > > am 100 percent positive that if you look at the fine print on your
> > > brokerage contract, you will see something along the order of: "will
> > > **attempt** to liquidate your position should your equity value
> > > suddenly break certain levels", zero being the last ditch, they will
> > > first have a level for a "margin call" and another level for a
> > > liquidation below that. Note however, that it will NOT always be
> > > possible to get you out at a price that ensures you do not
> experience
> > > negative equity, and further note that your brokerage does NOT for
> > > one hot second intend to take a hit on a position you created if it
> > > goes against you so suddenly that your equity becomes negative.
> > > Believe me, they intend to come after you for the balance; I'm
> *sure*
> > > it's in the fine-print of your contract (if not the bold-print); and
> > > yes you CAN lose your house. Will you lose it? Probably not. But
> > > you can, or at least you can take a hit far in excess of what you
> > > planned to risk, and you should not be deceived about that. Enough
> > > said on that.
> > >
> > > Next, the joys and perils of leverage:
> > >
> > > It is, as most of you know, a very sharp double-edged sword. When
> > > you are right, it is a gains multiplier. When you are wrong
> however,
> > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is no
> > > way I know of to have the potential for huge gains, without also
> > > having the potential for huge losses. Anyone who suggests otherwise
> > > is either sublimely naive or has an agenda, IMNSHO.
> > >
> > > Finally, a bit of a historical note:
> > >
> > > I have been around for some unreal yen/dollar moves. I have seen
> the
> > > trends reverse on a dime, with explosions in the other direction
> that
> > > will rattle your teeth and turn your position to ashes, especially a
> > > leveraged position. Take a look for example (and this is a rather
> > > mild one) at the "trending move" in late 2001 that took the yen from
> > > about 120 up to about 135 very suddenly. Then look at the yen at
> 120
> > > 6 months later going the other way. These things are just as tricky
> > > to time as stocks or futures or you name it. They are not one bit
> > > "easier", and if they were, so many sharp people would immediately
> > > come into the market that any "easiness" would soon vanish as the
> > > sharpies started dueling with each other. Do not be deceived about
> > > this for one second.
> > >
> > > None of this is a plea to avoid the currency markets. They can be
> > > traded, and they can be traded successfully. They are not casinos
> > > where the odds have been turned in favor of the players, however.
> > > They are dangerous places where very sharp people hang out, people
> > > (not to mention central banks that can print fiat currency at will)
> > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > high-leverage position. They are just waiting for you to make a
> tiny
> > > little mistake, believe me. Keep that in mind, and you can probably
> > > play (somewhat) safely.
> > >
> > > Okay, I said my piece. Back to work everyone. ^_^
> > >
> > > Yuki
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 4
> > > Date: Thu, 09 Oct 2003 12:04:43 +1000
> > > From: "Michael.S.G." <OzFalcon@xxxxxxxx>
> > > Subject: sublimely naive? Manual Stock Sorting.
> > >
> > > Im looking to do a double tiered manual sort from my AA report.
> > >
> > > Quite simply, I wisthto sort by ticker, Then have each ticker entry
> sorted
> > > bydate.
> > >
> > > I'd rather not export into excel and multi sort that way.
> > > Has anyone got a workaround or some info I have possibly missed on
> doing
> > this?
> > >
> > > Here is a snapshot of what I'd like to sort. Highlighted lines - as
> you
> > can
> > > see, are not sorted by date.
> > >
> > > All The Best
> > > Michael.
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 5
> > > Date: Thu, 09 Oct 2003 02:03:37 -0000
> > > From: "jtelang" <jtelang@xxxxxxxxx>
> > > Subject: Re: FW: Optimize/OverOptimize
> > >
> > > Dave, if this thread goes on for ever, YOU will be the one to
> > > blame. :-) Here! I'll help you completely open the can of worms that
> > > you're attempting to open. :-P
> > >
> > > IMO, most, but not all, attempts to optimize are based on flawed
> > > logic. I'll present myself as an example, which should rhyme with
> > > most novice traders. A typical wanna-be trader reads Dr. Elder's
> > > book. Then he/she tries to implement it. Of course, Dr. Elder, like
> > > many other "experts", never offers a completely working system,
> > > although the book offers, like many other books, good concepts well
> > > understood by practically reading any other trading related book if
> > > you have even half the brains of what it'd take for you to survive
> in
> > > this jungle. Instead, just concepts. Now here, substitute YOUR
> > > favorite book for Dr. Elder's book. Same thing applies.
> > >
> > > So its upto me, an average person, to derive a profitable system
> from
> > > his concepts. Hmmm... What are the odds of that happening? After
> all,
> > > HE had to resort to selling stuff to other traders to make a living
> > > himself. Call me fanatically skeptical, but I find it funny how that
> > > works.
> > >
> > > Now, you are thinking... What does this have to do with
> optimization?
> > > It does, a lot. Because optimization, IMHO, is an attempt to make an
> > > unproven logic work with the past data you have. Read that
> definition
> > > again. That's all it is. At least, its a good thing that the base
> > > concept is not "completely" random, if you read a book or two. But
> > > nonetheless, its true. You start with a concept that you "think"
> will
> > > work, then it doesn't, then you tweak it a little bit, it still
> > > doesn't work, and then you finally turn to the software to tweak it
> > > to death to make it work with the past data, a la optimization.
> > >
> > > Think about it this way, if someone could become the greatest stock
> > > trader just by optimizing a concept on the past data, wouldn't we
> > > have heard about him/her by this time? That itself should answer
> your
> > > original question.
> > >
> > > IMHO, one should have a "sound" strategy in the first place. A sound
> > > strategy should take into account ALL factors that the great traders
> > > of the past have known to take into consideration. Bounce it around
> a
> > > few people, if you're not sure that its sound. And THEN you can
> > > optimize it a LITTLE BIT, and THAT is ok.
> > >
> > > All of this of course, is IMHO, a novice trader. I'm all for getting
> > > flamed by someone who is actually making tons of money just by
> > > optimizing an original strategy that didn't work prior to the
> > > optimization. May be I'll learn something.
> > >
> > > And if not ualready nderstood, no offense meant to ANYONE. Neither
> > > people who optimize, nor people who are fans of Dr. Elder. Direct
> all
> > > flames at Dave. :-)
> > >
> > > Jitu
> > >
> > > PS: A family emergency will prevent me from replying to this for
> > > couple of days, but I will follow it up as soon as I get a chance.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > > wrote:
> > > > [other reply to my questions, from Dave Chamness. - dave merrill]
> > > >
> > > > -----Original Message-----
> > > > From: David Chamness
> > > > Subject: Re: Optimize/OverOptimize
> > > >
> > > >
> > > > It's OK to post my replies.
> > > >
> > > > Equities may trade based on a specialist, or a small group of
> > > frequent
> > > > traders, in effect market makers. Change the group and price
> > > behavior may
> > > > change. Try to find a system for GE. You may have better luck
> > > with a
> > > > smaller stock.
> > > >
> > > > Commodities are traded by many people who do not need to make a
> > > profit, such
> > > > as hedgers and governments. Currencies and interest rates trend
> > > because
> > > > Alan Greenspan does not want to look like an idiot jacking rates
> up
> > > and down
> > > > in a random walk. So he lowers interest rates repeatedly until he
> > > is done.
> > > >
> > > > Personally, I trade commodities, but I keep searching for stock
> > > systems.
> > > >
> > > > Dave
> > > > ----- Original Message -----
> > > > From: dave merrill
> > > > Subject: RE: Optimize/OverOptimize
> > > >
> > > >
> > > > thanks for clarifying, much appreciated. is it ok w you if I
> > > forward your
> > > > reply(ies)to the AmiBroker group where steve posted your original?
> > > let me
> > > > know.
> > > >
> > > > one area intrigues me still:
> > > >
> > > > if we do find a market where a simple rule set works well, why
> > > would you
> > > > think that's so? because of some inherent property of the stock
> > > itself that
> > > > makes it non-random, different from other issues where that rule
> > > fails? or
> > > > is it another random walk phenomenon, unlikely to persist at all?
> > > if that's
> > > > so, it seems completely pointless to trade equities at all, no
> > > different
> > > > from gambling.
> > > >
> > > > why do you think commodities act differently? because prices
> > > respond more
> > > > to real-world changes (supply/demand and factors that influence
> it,
> > > etc)
> > > > than to the raw emotionality that seems to drive equities? if so,
> > > that
> > > > implies we should look to fundamentals for more non-random trends
> in
> > > > equities, but not much in that dimension except news spikes seems
> > > to drive
> > > > valuation very much. how do we resolve this apparent lack of
> > > perceivable
> > > > order, other than trading commodities instead?
> > > >
> > > > thanks again for your thoughts, very interesting.
> > > >
> > > > Dave Merrill
> > > >
> > > > Answers are in the text below. Contrary to Steve's statement,
> > > I have
> > > > only one degree, BS Mechanical Engineering.
> > > >
> > > > Dave Chamness
> > > >
> > > > -----Original Message-----
> > > > From: Dave Merrill [mailto:dmerrill@x...]
> > > > Sent: Monday, September 29, 2003 12:32 PM
> > > > To: dec@xxxx
> > > > Subject: Optimize/OverOptimize
> > > >
> > > >
> > > >
> > > > Dave, I hope it's ok to contact you on this. steve karnish
> > > posted a
> > > > presentation of yours on optimization that I found very
> > > interesting, though
> > > > I'm afraid I don't get all of it. this is a topic I'm thinking
> > > about pretty
> > > > much constantly these days, with quite a bit of accompanying
> > > frustration.
> > > > IMVHO, most of the world gives way too much weight to
> optimizations
> > > that
> > > > seem like curve fitting to me, but I haven't figured out how to
> > > move beyond
> > > > that.
> > > >
> > > >
> > > >
> > > > a couple of questions, if I might:
> > > >
> > > >
> > > >
> > > > - can you explain the scatter plots on slides 3 and 4? what
> > > exactly is
> > > > plotted on x and y? the punch line, which I'm too ignorant to see,
> > > is that
> > > > the system fails with out of sample data. the one part I
> > > understand, I
> > > > think, is that the correlation coefficient, presumably between in
> > > and out of
> > > > sample results, is poor. is that right? how does the plot itself
> > > show this?
> > > >
> > > >
> > > >
> > > > They show the In-Sample gain as % of perfect trading on the x
> > > axis
> > > > versus the out of sample gain on the y axis. Each data point is a
> > > separate
> > > > stock with a separate system. In sample gains were 15% of perfect
> > > on
> > > > average. Out of sample were near zero on average. Perfect
> trading
> > > wins all
> > > > close to close changes. There are 2 years in and out of sample.
> > > >
> > > >
> > > >
> > > > - slide 24 mentions "Trend Following on Commodities", as "100
> > > day
> > > > lookback, trade 34% before breakout". I don't understand what this
> > > means.
> > > > something about MA or EMA(100), maybe, but what's the 34% piece?
> > > how does it
> > > > get around the parameter settings limitations that sink other
> > > systems? is
> > > > this method, or something based on related principles, tradeable
> in
> > > stocks
> > > > and/or mutual funds?
> > > >
> > > >
> > > >
> > > > Breakout buys a new high, sells a new low. Near Breakout
> > > trades sooner.
> > > > 34% before breakout buys in the top third of the 100 day high-low
> > > range,
> > > > sells in the bottom third. Specifically, the 34% means 34% of the
> > > high-low
> > > > range.
> > > >
> > > >
> > > >
> > > > - how would I compute the daily standard deviation of the
> > > S&P500, in
> > > > AmiBroker for instance, in a way that gives the same .95%/day
> > > figure you
> > > > mention? is that the average std dev of daily close price change
> > > over some
> > > > specific period of time? I ask so I can generate comparable
> figures
> > > for
> > > > other markets.
> > > >
> > > >
> > > >
> > > > Compute the standard deviation of all the close to close
> > > changes.
> > > >
> > > >
> > > >
> > > >
> > > > - the parameters I get optimizing today compensate for
> > > transient market
> > > > behaviors that will eventually end, and eventually it will do very
> > > poorly.
> > > > but if those behaviors persist, at least somewhat, for a little
> > > while, might
> > > > the system to do better than average in the short term? if so, is
> > > constant
> > > > re-optimization worth exploring, or even switching whole trading
> > > systems in
> > > > a mechanical way based on recent performance?
> > > >
> > > >
> > > >
> > > > I find little tendency for trading systems to work in the
> > > future. Try
> > > > to identify a simple nonrandomness. Try to find markets that
> > > simple systems
> > > > work on. Don't pick an impossible market like S&P 500 and try to
> > > fit a
> > > > complex bunch of rules to it.
> > > >
> > > >
> > > >
> > > > Commodities have long term trends. Stocks show short term
> 2-10
> > > day
> > > > reversals.
> > > >
> > > >
> > > >
> > > > thanks again for writing and sharing this. makes me wish I
> lived
> > > > somewhere near the meetings you haunt...
> > > >
> > > >
> > > >
> > > > dave
> > > >
> > > > Dave is an Agilent, triple-degreed, engineer. Two weeks
> ago,
> > > he
> > > > presented this work to our Denver Trading Group's weekly meeting
> > > (actually,
> > > > this group meets every Thursday and most Saturday's). Once a
> > > month, I
> > > > moderate a SIG on mechanical trading (and I haven't seen less than
> > > eighty
> > > > people in the room since I've been attending).
> > > >
> > > >
> > > >
> > > > Although, I don't agree with certain aspects of his
> > > presentation and I
> > > > somewhat object to his assigning my name to the "Karnish System"
> > > (it has
> > > > become a bastardized off-shot of my work), I still believe that
> > > there is a
> > > > lot of merit to aspects of his work. The "Karnish System" has
> > > become the
> > > > moniker for systems (along the front range of Colorado) that
> > > stochastically
> > > > smoothes a momentum oscillator that initiates buy and sell signals
> > > using
> > > > symmetrical triggers.
> > > >
> > > >
> > > >
> > > > I neither want to endorse, defend or criticize Dave's
> > > work...but,
> > > > offer this for group members to stimulate thought.
> > > >
> > > >
> > > >
> > > > Take care,
> > > >
> > > >
> > > >
> > > > Steve
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 6
> > > Date: Thu, 09 Oct 2003 02:04:27 -0000
> > > From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
> > > Subject: New ESignal plugin/Quotes
> > >
> > > Hi,
> > >
> > > I've installed the new ESignal plugin. It is indeed very fast.
> > >
> > > I have a couple of questions -- when I do a scan in RT, is there a
> > > way to limit the amount of data the plugin backfills when you have
> > > the box checked to wait for backfill? I reduced the number of quotes
> > > in the database settings, but the first pass through my list still
> > > seems to be very slow due to the number of quotes it is retrieving.
> > >
> > > Also, does the new plugin change the status of getting a quote for a
> > > loaded stock -- i.e. the ability to get the current vs. most
> recently
> > > accessed quote?
> > >
> > > Thanks,
> > >
> > > Gordon
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 7
> > > Date: Thu, 09 Oct 2003 02:07:40 -0000
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > Subject: Re: OT Forex for the sublimely naive
> > >
> > > Hi,
> > >
> > > >
> > > > First of all, to address the claim that you cannot lose more than
> > > > your investment in Forex trading: Pure, unadulterated horse
> hockey.
> > > >
> > > > I'm sorry to be the bearer of bad news, but I am positive that you
> > > > can lose more than your initial investment on ANY leveraged play.
> I
> > > > am 100 percent positive that if you look at the fine print on your
> > > > brokerage contract, you will see something along the order of:
> "will
> > > > **attempt** to liquidate your position should your equity value
> > > > suddenly break certain levels", zero being the last ditch, they
> will
> > > > first have a level for a "margin call" and another level for a
> > > > liquidation below that. Note however, that it will NOT always be
> > > > possible to get you out at a price that ensures you do not
> > > experience
> > > > negative equity, and further note that your brokerage does NOT for
> > > > one hot second intend to take a hit on a position you created if
> it
> > > > goes against you so suddenly that your equity becomes negative.
> > > > Believe me, they intend to come after you for the balance; I'm
> > > *sure*
> > > > it's in the fine-print of your contract (if not the bold-print);
> and
> > > > yes you CAN lose your house. Will you lose it? Probably not. But
> > > > you can, or at least you can take a hit far in excess of what you
> > > > planned to risk, and you should not be deceived about that. Enough
> > > > said on that.
> > >
> > > Your broker does not take you out of the market, but the trading
> > > platform software does. It takes you out (closes all positions)
> when
> > > you do not have sufficient margin (Guaranteed, rest assured).
> > >
> > > >
> > > > Next, the joys and perils of leverage:
> > > >
> > > > It is, as most of you know, a very sharp double-edged sword. When
> > > > you are right, it is a gains multiplier. When you are wrong
> > > however,
> > > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is
> no
> > > > way I know of to have the potential for huge gains, without also
> > > > having the potential for huge losses. Anyone who suggests
> otherwise
> > > > is either sublimely naive or has an agenda, IMNSHO.
> > >
> > > Sometimes, you have to have narrow stops, sometimes wide stops and
> > > sometimes no stops (combine options with the straight underlying
> > > instrument) to Cut losses short and Let profits run.
> > >
> > > >
> > > > Finally, a bit of a historical note:
> > > >
> > > > I have been around for some unreal yen/dollar moves. I have seen
> > > the
> > > > trends reverse on a dime, with explosions in the other direction
> > > that
> > > > will rattle your teeth and turn your position to ashes, especially
> a
> > > > leveraged position. Take a look for example (and this is a rather
> > > > mild one) at the "trending move" in late 2001 that took the yen
> from
> > > > about 120 up to about 135 very suddenly. Then look at the yen at
> > > 120
> > > > 6 months later going the other way. These things are just as
> tricky
> > > > to time as stocks or futures or you name it. They are not one bit
> > > > "easier", and if they were, so many sharp people would immediately
> > > > come into the market that any "easiness" would soon vanish as the
> > > > sharpies started dueling with each other. Do not be deceived
> about
> > > > this for one second.
> > > >
> > > > None of this is a plea to avoid the currency markets. They can be
> > > > traded, and they can be traded successfully. They are not casinos
> > > > where the odds have been turned in favor of the players, however.
> > > > They are dangerous places where very sharp people hang out, people
> > > > (not to mention central banks that can print fiat currency at
> will)
> > > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > > high-leverage position. They are just waiting for you to make a
> > > tiny
> > > > little mistake, believe me. Keep that in mind, and you can
> probably
> > > > play (somewhat) safely.
> > > >
> > > > Okay, I said my piece. Back to work everyone. ^_^
> > > >
> > > > Yuki
> > >
> > > Well, I don't just trade because I'm smart, but because I'm the
> > > smartest man in the world... That is exactly what you say every
> time
> > > you buy and sell; You are calling the whole world a fool, every
> time
> > > you buy and sell... That you bought or sold the underlying
> > > instrument (whether stocks, bonds or futures or FOREX) before
> > > everybody else did... Trading is the most ARROGANT thing a human
> > > being can do... If you want to make money trading, don't be just
> > > arrogant, be smart too...
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 8
> > > Date: Wed, 8 Oct 2003 22:21:41 -0600
> > > From: "Mr Valley" <valleymj@xxxxxxxxxxx>
> > > Subject: Test = 0
> > >
> > > Has anyone code 1st and 2nd Derivative tests of Close in AFL?
> > >
> > > i.e. where second derivative = 0
> > >
> > > Thanks for any help in advance...
> > >
> > > Mr. Valley
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 9
> > > Date: Thu, 9 Oct 2003 10:32:21 +0800
> > > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > > Subject: RE: sublimely naive? Manual Stock Sorting.
> > >
> > > You could try a double entry for a column, example
> > > AddTextColumn(Name()+" "+Date(),"");
> > >
> > > Cheers,
> > > Graham
> > > http://groups.msn.com/ASXShareTrading
> > > http://groups.msn.com/FMSAustralia
> > >
> > >
> > > -----Original Message-----
> > > From: Michael.S.G. [mailto:OzFalcon@xxxxxxxx]
> > > Sent: Thursday, 9 October 2003 10:05 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] sublimely naive? Manual Stock Sorting.
> > >
> > >
> > > Im looking to do a double tiered manual sort from my AA report.
> > >
> > > Quite simply, I wisthto sort by ticker, Then have each ticker entry
> sorted
> > > bydate.
> > >
> > > I'd rather not export into excel and multi sort that way.
> > > Has anyone got a workaround or some info I have possibly missed on
> doing
> > > this?
> > >
> > > Here is a snapshot of what I'd like to sort. Highlighted lines - as
> you
> > can
> > > see, are not sorted by date.
> > >
> > > All The Best
> > > Michael.
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 10
> > > Date: Thu, 9 Oct 2003 11:47:34 +0900
> > > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > > Subject: Re: Re: OT Forex for the sublimely naive
> > >
> > > Hi palsanand,
> > >
> > > Thursday, October 9, 2003, 11:07:40 AM, you wrote:
> > >
> > > p> Well, I don't just trade because I'm smart, but because I'm the
> > > p> smartest man in the world... That is exactly what you say every
> time
> > > p> you buy and sell; You are calling the whole world a fool, every
> time
> > > p> you buy and sell... That you bought or sold the underlying
> > > p> instrument (whether stocks, bonds or futures or FOREX) before
> > > p> everybody else did... Trading is the most ARROGANT thing a human
> > > p> being can do... If you want to make money trading, don't be just
> > > p> arrogant, be smart too...
> > >
> > > p> Regards,
> > >
> > > Wow, do we ever approach this from completely opposite attitudes.
> ^_^
> > >
> > > I assume every position I take is the stupidest thing I've ever done
> > > in my life. I am positive that there is some critical piece of the
> > > puzzle that everyone else sees, which I alone have failed to notice.
> > > I am very sure that every player in the market knows more than I do,
> > > and in fact may be a blood relative of the CEO of the company I'm
> > > buying or selling, and is right now casually reading over surprise
> > > financial data due to be released tomorrow that are not yet public.
> > > If I traded Forex in any size or frequency, I'd be sure the Treasury
> > > Department, the Ministry of Finance, and the BoJ would check the
> size
> > > and vulnerability of my account before making startling policy
> > > pronouncements. ^^_^^
> > >
> > > Good luck with that feeling you have. I've known some people who
> > > *used* to be in this business, who felt like that. Some of them
> even
> > > did real well . . . for a while. ^_-
> > >
> > > Yuki
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 11
> > > Date: Wed, 8 Oct 2003 21:03:03 -0600
> > > From: "CedarCreekTrading" <kernish@xxxxxxxxxxxx>
> > > Subject: Re: Re: OT Forex for the sublimely naive
> > >
> > > You are calling the whole world a fool, every time
> > > you buy and sell...
> > >
> > > Pal,
> > >
> > > I have a different opinion:
> > >
> > > The symbol of all relationships among such men, the moral symbol of
> > respect for human beings, is the trader. We, who live by values, not
> by
> > loot, are traders, both in manner and spirit. A trader is a man who
> earns
> > what he gets and does not give or take the undeserved. A trader does
> not
> > ask to be paid for his failure, he does not ask to be loved for his
> flaws.
> > A trader does not squander his body as fodder, or his soul as alms.
> Just as
> > he does not give his work except in trade for material values, so he
> does
> > not give the values of his spirit -- his love, his friendship, his
> esteem -
> > except in payment and in trade for human virtue, in payment for his
> own
> > selfish pleasure, which he receives from men he can respect. The
> mystic
> > parasites who have, throughout the ages, reviled the trader and held
> him in
> > contempt, while honoring beggars and looters, have known the secret
> motive
> > of their sneers: a trader is an entity they dread - a man of justice.
> > >
> > > Ayn Rand
> > > ----- Original Message -----
> > > From: palsanand
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Wednesday, October 08, 2003 8:07 PM
> > > Subject: [amibroker] Re: OT Forex for the sublimely naive
> > >
> > >
> > > Hi,
> > >
> > > >
> > > > First of all, to address the claim that you cannot lose more
> than
> > > > your investment in Forex trading: Pure, unadulterated horse
> hockey.
> > > >
> > > > I'm sorry to be the bearer of bad news, but I am positive that
> you
> > > > can lose more than your initial investment on ANY leveraged
> play. I
> > > > am 100 percent positive that if you look at the fine print on
> your
> > > > brokerage contract, you will see something along the order of:
> "will
> > > > **attempt** to liquidate your position should your equity value
> > > > suddenly break certain levels", zero being the last ditch, they
> will
> > > > first have a level for a "margin call" and another level for a
> > > > liquidation below that. Note however, that it will NOT always be
> > > > possible to get you out at a price that ensures you do not
> > > experience
> > > > negative equity, and further note that your brokerage does NOT
> for
> > > > one hot second intend to take a hit on a position you created if
> it
> > > > goes against you so suddenly that your equity becomes negative.
> > > > Believe me, they intend to come after you for the balance; I'm
> > > *sure*
> > > > it's in the fine-print of your contract (if not the bold-print);
> and
> > > > yes you CAN lose your house. Will you lose it? Probably not.
> But
> > > > you can, or at least you can take a hit far in excess of what
> you
> > > > planned to risk, and you should not be deceived about that.
> Enough
> > > > said on that.
> > >
> > > Your broker does not take you out of the market, but the trading
> > > platform software does. It takes you out (closes all positions)
> when
> > > you do not have sufficient margin (Guaranteed, rest assured).
> > >
> > > >
> > > > Next, the joys and perils of leverage:
> > > >
> > > > It is, as most of you know, a very sharp double-edged sword.
> When
> > > > you are right, it is a gains multiplier. When you are wrong
> > > however,
> > > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is
> no
> > > > way I know of to have the potential for huge gains, without also
> > > > having the potential for huge losses. Anyone who suggests
> otherwise
> > > > is either sublimely naive or has an agenda, IMNSHO.
> > >
> > > Sometimes, you have to have narrow stops, sometimes wide stops and
> > > sometimes no stops (combine options with the straight underlying
> > > instrument) to Cut losses short and Let profits run.
> > >
> > > >
> > > > Finally, a bit of a historical note:
> > > >
> > > > I have been around for some unreal yen/dollar moves. I have
> seen
> > > the
> > > > trends reverse on a dime, with explosions in the other direction
> > > that
> > > > will rattle your teeth and turn your position to ashes,
> especially a
> > > > leveraged position. Take a look for example (and this is a
> rather
> > > > mild one) at the "trending move" in late 2001 that took the yen
> from
> > > > about 120 up to about 135 very suddenly. Then look at the yen
> at
> > > 120
> > > > 6 months later going the other way. These things are just as
> tricky
> > > > to time as stocks or futures or you name it. They are not one
> bit
> > > > "easier", and if they were, so many sharp people would
> immediately
> > > > come into the market that any "easiness" would soon vanish as
> the
> > > > sharpies started dueling with each other. Do not be deceived
> about
> > > > this for one second.
> > > >
> > > > None of this is a plea to avoid the currency markets. They can
> be
> > > > traded, and they can be traded successfully. They are not
> casinos
> > > > where the odds have been turned in favor of the players,
> however.
> > > > They are dangerous places where very sharp people hang out,
> people
> > > > (not to mention central banks that can print fiat currency at
> will)
> > > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > > high-leverage position. They are just waiting for you to make a
> > > tiny
> > > > little mistake, believe me. Keep that in mind, and you can
> probably
> > > > play (somewhat) safely.
> > > >
> > > > Okay, I said my piece. Back to work everyone. ^_^
> > > >
> > > > Yuki
> > >
> > > Well, I don't just trade because I'm smart, but because I'm the
> > > smartest man in the world... That is exactly what you say every
> time
> > > you buy and sell; You are calling the whole world a fool, every
> time
> > > you buy and sell... That you bought or sold the underlying
> > > instrument (whether stocks, bonds or futures or FOREX) before
> > > everybody else did... Trading is the most ARROGANT thing a human
> > > being can do... If you want to make money trading, don't be just
> > > arrogant, be smart too...
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > >
> > > Yahoo! Groups Sponsor
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
> > >
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 12
> > > Date: Thu, 09 Oct 2003 03:03:30 -0000
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > Subject: Re: OT Forex for the sublimely naive
> > >
> > > Hi,
> > >
> > > Talking about attitudes, I came upon this today:
> > >
> > > Market Wizards by Jack Schwager
> > > A runaway best-seller and one of the most fascinating books ever
> > > written about Wall Street. It contains interviews with 17 legendary
> > > traders who reveal that they too once struggled like the rest of us
> > > mortals to Keep their heads above water. (458 pgs).
> > > What sets these traders apart? Most people think that winning in the
> > > markets has something to do with finding the secret formula. The
> > > truth is that any common denominator among the traders I interviewed
> > > had more to do with attitude than approach. Some of the traders use
> > > fundamental analysis exclusively, others employee only technical
> > > analysis, and still others combine the two. Some traders operate on
> a
> > > time horizon measured in hours or even minutes, while others
> > > typically implement positions that they intend to hold for months or
> > > even years. Although the trading methodologies varied widely, the
> > > forthcoming interviews reveal certain important commonalties in
> > > trading attitudes and principles.
> > > Trading provides one of the last great frontiers of opportunities in
> > > our economy. It is one of the very few ways in which an individual
> > > can start with a relatively small bankroll and actually become a
> > > multimillionaire. Of course only a handful of individuals (such as
> > > those interviewed here) succeed in turning this feat, but at least
> > > the opportunity exists.
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> > > > Hi palsanand,
> > > >
> > > > Thursday, October 9, 2003, 11:07:40 AM, you wrote:
> > > >
> > > > p> Well, I don't just trade because I'm smart, but because I'm
> the
> > > > p> smartest man in the world... That is exactly what you say
> every
> > > time
> > > > p> you buy and sell; You are calling the whole world a fool,
> every
> > > time
> > > > p> you buy and sell... That you bought or sold the underlying
> > > > p> instrument (whether stocks, bonds or futures or FOREX) before
> > > > p> everybody else did... Trading is the most ARROGANT thing a
> > > human
> > > > p> being can do... If you want to make money trading, don't be
> > > just
> > > > p> arrogant, be smart too...
> > > >
> > > > p> Regards,
> > > >
> > > > Wow, do we ever approach this from completely opposite attitudes.
> > > ^_^
> > > >
> > > > I assume every position I take is the stupidest thing I've ever
> done
> > > > in my life. I am positive that there is some critical piece of
> the
> > > > puzzle that everyone else sees, which I alone have failed to
> notice.
> > > > I am very sure that every player in the market knows more than I
> do,
> > > > and in fact may be a blood relative of the CEO of the company I'm
> > > > buying or selling, and is right now casually reading over surprise
> > > > financial data due to be released tomorrow that are not yet
> public.
> > > > If I traded Forex in any size or frequency, I'd be sure the
> Treasury
> > > > Department, the Ministry of Finance, and the BoJ would check the
> > > size
> > > > and vulnerability of my account before making startling policy
> > > > pronouncements. ^^_^^
> > > >
> > > > Good luck with that feeling you have. I've known some people who
> > > > *used* to be in this business, who felt like that. Some of them
> > > even
> > > > did real well . . . for a while. ^_-
> > > >
> > > > Yuki
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 13
> > > Date: Wed, 8 Oct 2003 20:43:53 -0600
> > > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > > Subject: Re: Re: FW: Optimize/OverOptimize
> > >
> > > May be I'll learn something.
> > >
> > > jtelang,
> > >
> > > I doubt it...but, pay attention. I don't believe you even have a
> grasp of
> > how the credible people approach their research (of which back and
> forward
> > testing is an important part).
> > >
> > > Take care,
> > >
> > > Steve
> > > ----- Original Message -----
> > > From: jtelang
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Wednesday, October 08, 2003 8:03 PM
> > > Subject: [amibroker] Re: FW: Optimize/OverOptimize
> > >
> > >
> > > Dave, if this thread goes on for ever, YOU will be the one to
> > > blame. :-) Here! I'll help you completely open the can of worms
> that
> > > you're attempting to open. :-P
> > >
> > > IMO, most, but not all, attempts to optimize are based on flawed
> > > logic. I'll present myself as an example, which should rhyme with
> > > most novice traders. A typical wanna-be trader reads Dr. Elder's
> > > book. Then he/she tries to implement it. Of course, Dr. Elder,
> like
> > > many other "experts", never offers a completely working system,
> > > although the book offers, like many other books, good concepts
> well
> > > understood by practically reading any other trading related book
> if
> > > you have even half the brains of what it'd take for you to survive
> in
> > > this jungle. Instead, just concepts. Now here, substitute YOUR
> > > favorite book for Dr. Elder's book. Same thing applies.
> > >
> > > So its upto me, an average person, to derive a profitable system
> from
> > > his concepts. Hmmm... What are the odds of that happening? After
> all,
> > > HE had to resort to selling stuff to other traders to make a
> living
> > > himself. Call me fanatically skeptical, but I find it funny how
> that
> > > works.
> > >
> > > Now, you are thinking... What does this have to do with
> optimization?
> > > It does, a lot. Because optimization, IMHO, is an attempt to make
> an
> > > unproven logic work with the past data you have. Read that
> definition
> > > again. That's all it is. At least, its a good thing that the base
> > > concept is not "completely" random, if you read a book or two. But
> > > nonetheless, its true. You start with a concept that you "think"
> will
> > > work, then it doesn't, then you tweak it a little bit, it still
> > > doesn't work, and then you finally turn to the software to tweak
> it
> > > to death to make it work with the past data, a la optimization.
> > >
> > > Think about it this way, if someone could become the greatest
> stock
> > > trader just by optimizing a concept on the past data, wouldn't we
> > > have heard about him/her by this time? That itself should answer
> your
> > > original question.
> > >
> > > IMHO, one should have a "sound" strategy in the first place. A
> sound
> > > strategy should take into account ALL factors that the great
> traders
> > > of the past have known to take into consideration. Bounce it
> around a
> > > few people, if you're not sure that its sound. And THEN you can
> > > optimize it a LITTLE BIT, and THAT is ok.
> > >
> > > All of this of course, is IMHO, a novice trader. I'm all for
> getting
> > > flamed by someone who is actually making tons of money just by
> > > optimizing an original strategy that didn't work prior to the
> > > optimization. May be I'll learn something.
> > >
> > > And if not ualready nderstood, no offense meant to ANYONE. Neither
> > > people who optimize, nor people who are fans of Dr. Elder. Direct
> all
> > > flames at Dave. :-)
> > >
> > > Jitu
> > >
> > > PS: A family emergency will prevent me from replying to this for
> > > couple of days, but I will follow it up as soon as I get a chance.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > > wrote:
> > > > [other reply to my questions, from Dave Chamness. - dave
> merrill]
> > > >
> > > > -----Original Message-----
> > > > From: David Chamness
> > > > Subject: Re: Optimize/OverOptimize
> > > >
> > > >
> > > > It's OK to post my replies.
> > > >
> > > > Equities may trade based on a specialist, or a small group of
> > > frequent
> > > > traders, in effect market makers. Change the group and price
> > > behavior may
> > > > change. Try to find a system for GE. You may have better luck
> > > with a
> > > > smaller stock.
> > > >
> > > > Commodities are traded by many people who do not need to make a
> > > profit, such
> > > > as hedgers and governments. Currencies and interest rates trend
> > > because
> > > > Alan Greenspan does not want to look like an idiot jacking rates
> up
> > > and down
> > > > in a random walk. So he lowers interest rates repeatedly until
> he
> > > is done.
> > > >
> > > > Personally, I trade commodities, but I keep searching for stock
> > > systems.
> > > >
> > > > Dave
> > > > ----- Original Message -----
> > > > From: dave merrill
> > > > Subject: RE: Optimize/OverOptimize
> > > >
> > > >
> > > > thanks for clarifying, much appreciated. is it ok w you if I
> > > forward your
> > > > reply(ies)to the AmiBroker group where steve posted your
> original?
> > > let me
> > > > know.
> > > >
> > > > one area intrigues me still:
> > > >
> > > > if we do find a market where a simple rule set works well, why
> > > would you
> > > > think that's so? because of some inherent property of the stock
> > > itself that
> > > > makes it non-random, different from other issues where that rule
> > > fails? or
> > > > is it another random walk phenomenon, unlikely to persist at
> all?
> > > if that's
> > > > so, it seems completely pointless to trade equities at all, no
> > > different
> > > > from gambling.
> > > >
> > > > why do you think commodities act differently? because prices
> > > respond more
> > > > to real-world changes (supply/demand and factors that influence
> it,
> > > etc)
> > > > than to the raw emotionality that seems to drive equities? if
> so,
> > > that
> > > > implies we should look to fundamentals for more non-random
> trends in
> > > > equities, but not much in that dimension except news spikes
> seems
> > > to drive
> > > > valuation very much. how do we resolve this apparent lack of
> > > perceivable
> > > > order, other than trading commodities instead?
> > > >
> > > > thanks again for your thoughts, very interesting.
> > > >
> > > > Dave Merrill
> > > >
> > > > Answers are in the text below. Contrary to Steve's
> statement,
> > > I have
> > > > only one degree, BS Mechanical Engineering.
> > > >
> > > > Dave Chamness
> > > >
> > > > -----Original Message-----
> > > > From: Dave Merrill [mailto:dmerrill@x...]
> > > > Sent: Monday, September 29, 2003 12:32 PM
> > > > To: dec@xxxx
> > > > Subject: Optimize/OverOptimize
> > > >
> > > >
> > > >
> > > > Dave, I hope it's ok to contact you on this. steve karnish
> > > posted a
> > > > presentation of yours on optimization that I found very
> > > interesting, though
> > > > I'm afraid I don't get all of it. this is a topic I'm thinking
> > > about pretty
> > > > much constantly these days, with quite a bit of accompanying
> > > frustration.
> > > > IMVHO, most of the world gives way too much weight to
> optimizations
> > > that
> > > > seem like curve fitting to me, but I haven't figured out how to
> > > move beyond
> > > > that.
> > > >
> > > >
> > > >
> > > > a couple of questions, if I might:
> > > >
> > > >
> > > >
> > > > - can you explain the scatter plots on slides 3 and 4? what
> > > exactly is
> > > > plotted on x and y? the punch line, which I'm too ignorant to
> see,
> > > is that
> > > > the system fails with out of sample data. the one part I
> > > understand, I
> > > > think, is that the correlation coefficient, presumably between
> in
> > > and out of
> > > > sample results, is poor. is that right? how does the plot itself
> > > show this?
> > > >
> > > >
> > > >
> > > > They show the In-Sample gain as % of perfect trading on the
> x
> > > axis
> > > > versus the out of sample gain on the y axis. Each data point is
> a
> > > separate
> > > > stock with a separate system. In sample gains were 15% of
> perfect
> > > on
> > > > average. Out of sample were near zero on average. Perfect
> trading
> > > wins all
> > > > close to close changes. There are 2 years in and out of sample.
> > > >
> > > >
> > > >
> > > > - slide 24 mentions "Trend Following on Commodities", as
> "100
> > > day
> > > > lookback, trade 34% before breakout". I don't understand what
> this
> > > means.
> > > > something about MA or EMA(100), maybe, but what's the 34% piece?
> > > how does it
> > > > get around the parameter settings limitations that sink other
> > > systems? is
> > > > this method, or something based on related principles, tradeable
> in
> > > stocks
> > > > and/or mutual funds?
> > > >
> > > >
> > > >
> > > > Breakout buys a new high, sells a new low. Near Breakout
> > > trades sooner.
> > > > 34% before breakout buys in the top third of the 100 day
> high-low
> > > range,
> > > > sells in the bottom third. Specifically, the 34% means 34% of
> the
> > > high-low
> > > > range.
> > > >
> > > >
> > > >
> > > > - how would I compute the daily standard deviation of the
> > > S&P500, in
> > > > AmiBroker for instance, in a way that gives the same .95%/day
> > > figure you
> > > > mention? is that the average std dev of daily close price change
> > > over some
> > > > specific period of time? I ask so I can generate comparable
> figures
> > > for
> > > > other markets.
> > > >
> > > >
> > > >
> > > > Compute the standard deviation of all the close to close
> > > changes.
> > > >
> > > >
> > > >
> > > >
> > > > - the parameters I get optimizing today compensate for
> > > transient market
> > > > behaviors that will eventually end, and eventually it will do
> very
> > > poorly.
> > > > but if those behaviors persist, at least somewhat, for a little
> > > while, might
> > > > the system to do better than average in the short term? if so,
> is
> > > constant
> > > > re-optimization worth exploring, or even switching whole trading
> > > systems in
> > > > a mechanical way based on recent performance?
> > > >
> > > >
> > > >
> > > > I find little tendency for trading systems to work in the
> > > future. Try
> > > > to identify a simple nonrandomness. Try to find markets that
> > > simple systems
> > > > work on. Don't pick an impossible market like S&P 500 and try
> to
> > > fit a
> > > > complex bunch of rules to it.
> > > >
> > > >
> > > >
> > > > Commodities have long term trends. Stocks show short term
> 2-10
> > > day
> > > > reversals.
> > > >
> > > >
> > > >
> > > > thanks again for writing and sharing this. makes me wish I
> lived
> > > > somewhere near the meetings you haunt...
> > > >
> > > >
> > > >
> > > > dave
> > > >
> > > > Dave is an Agilent, triple-degreed, engineer. Two weeks
> ago,
> > > he
> > > > presented this work to our Denver Trading Group's weekly meeting
> > > (actually,
> > > > this group meets every Thursday and most Saturday's). Once a
> > > month, I
> > > > moderate a SIG on mechanical trading (and I haven't seen less
> than
> > > eighty
> > > > people in the room since I've been attending).
> > > >
> > > >
> > > >
> > > > Although, I don't agree with certain aspects of his
> > > presentation and I
> > > > somewhat object to his assigning my name to the "Karnish System"
> > > (it has
> > > > become a bastardized off-shot of my work), I still believe that
> > > there is a
> > > > lot of merit to aspects of his work. The "Karnish System" has
> > > become the
> > > > moniker for systems (along the front range of Colorado) that
> > > stochastically
> > > > smoothes a momentum oscillator that initiates buy and sell
> signals
> > > using
> > > > symmetrical triggers.
> > > >
> > > >
> > > >
> > > > I neither want to endorse, defend or criticize Dave's
> > > work...but,
> > > > offer this for group members to stimulate thought.
> > > >
> > > >
> > > >
> > > > Take care,
> > > >
> > > >
> > > >
> > > > Steve
> > >
> > >
> > > Yahoo! Groups Sponsor
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
> > >
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 14
> > > Date: Thu, 09 Oct 2003 03:05:43 -0000
> > > From: "aghari" <aghari@xxxxxxxxx>
> > > Subject: Entry, Exit and Stop loss on the same bar?
> > >
> > > Hello
> > >
> > > I'm backtesting some data I've and wasn't sure about how to
> setup/use
> > > formula to Enter, Exit and also have a stop loss on the same bar
> > > (backtesting is done in EOD data). I tried using ApplyStop() with
> not
> > > much success.
> > >
> > > Is this something that's doable? Any help will be much appreciated.
> > >
> > > H-
> > >
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 15
> > > Date: Wed, 8 Oct 2003 20:47:22 -0600
> > > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > > Subject: Re: Re: OT Forex for the sublimely naive
> > >
> > > You are calling the whole world a fool, every time
> > > you buy and sell...
> > >
> > > Pal,
> > >
> > > I have a different opinion:
> > >
> > > The symbol of all relationships among such men, the moral symbol of
> > respect for human beings, is the trader. We, who live by values, not
> by
> > loot, are traders, both in manner and spirit. A trader is a man who
> earns
> > what he gets and does not give or take the undeserved. A trader does
> not
> > ask to be paid for his failure, he does not ask to be loved for his
> flaws.
> > A trader does not squander his body as fodder, or his soul as alms.
> Just as
> > he does not give his work except in trade for material values, so he
> does
> > not give the values of his spirit -- his love, his friendship, his
> esteem -
> > except in payment and in trade for human virtue, in payment for his
> own
> > selfish pleasure, which he receives from men he can respect. The
> mystic
> > parasites who have, throughout the ages, reviled the trader and held
> him in
> > contempt, while honoring beggars and looters, have known the secret
> motive
> > of their sneers: a trader is an entity they dread - a man of justice.
> > >
> > > Ayn Rand
> > >
> > >
> > > ----- Original Message -----
> > > From: palsanand
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Wednesday, October 08, 2003 8:07 PM
> > > Subject: [amibroker] Re: OT Forex for the sublimely naive
> > >
> > >
> > > Hi,
> > >
> > > >
> > > > First of all, to address the claim that you cannot lose more
> than
> > > > your investment in Forex trading: Pure, unadulterated horse
> hockey.
> > > >
> > > > I'm sorry to be the bearer of bad news, but I am positive that
> you
> > > > can lose more than your initial investment on ANY leveraged
> play. I
> > > > am 100 percent positive that if you look at the fine print on
> your
> > > > brokerage contract, you will see something along the order of:
> "will
> > > > **attempt** to liquidate your position should your equity value
> > > > suddenly break certain levels", zero being the last ditch, they
> will
> > > > first have a level for a "margin call" and another level for a
> > > > liquidation below that. Note however, that it will NOT always be
> > > > possible to get you out at a price that ensures you do not
> > > experience
> > > > negative equity, and further note that your brokerage does NOT
> for
> > > > one hot second intend to take a hit on a position you created if
> it
> > > > goes against you so suddenly that your equity becomes negative.
> > > > Believe me, they intend to come after you for the balance; I'm
> > > *sure*
> > > > it's in the fine-print of your contract (if not the bold-print);
> and
> > > > yes you CAN lose your house. Will you lose it? Probably not.
> But
> > > > you can, or at least you can take a hit far in excess of what
> you
> > > > planned to risk, and you should not be deceived about that.
> Enough
> > > > said on that.
> > >
> > > Your broker does not take you out of the market, but the trading
> > > platform software does. It takes you out (closes all positions)
> when
> > > you do not have sufficient margin (Guaranteed, rest assured).
> > >
> > > >
> > > > Next, the joys and perils of leverage:
> > > >
> > > > It is, as most of you know, a very sharp double-edged sword.
> When
> > > > you are right, it is a gains multiplier. When you are wrong
> > > however,
> > > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is
> no
> > > > way I know of to have the potential for huge gains, without also
> > > > having the potential for huge losses. Anyone who suggests
> otherwise
> > > > is either sublimely naive or has an agenda, IMNSHO.
> > >
> > > Sometimes, you have to have narrow stops, sometimes wide stops and
> > > sometimes no stops (combine options with the straight underlying
> > > instrument) to Cut losses short and Let profits run.
> > >
> > > >
> > > > Finally, a bit of a historical note:
> > > >
> > > > I have been around for some unreal yen/dollar moves. I have
> seen
> > > the
> > > > trends reverse on a dime, with explosions in the other direction
> > > that
> > > > will rattle your teeth and turn your position to ashes,
> especially a
> > > > leveraged position. Take a look for example (and this is a
> rather
> > > > mild one) at the "trending move" in late 2001 that took the yen
> from
> > > > about 120 up to about 135 very suddenly. Then look at the yen
> at
> > > 120
> > > > 6 months later going the other way. These things are just as
> tricky
> > > > to time as stocks or futures or you name it. They are not one
> bit
> > > > "easier", and if they were, so many sharp people would
> immediately
> > > > come into the market that any "easiness" would soon vanish as
> the
> > > > sharpies started dueling with each other. Do not be deceived
> about
> > > > this for one second.
> > > >
> > > > None of this is a plea to avoid the currency markets. They can
> be
> > > > traded, and they can be traded successfully. They are not
> casinos
> > > > where the odds have been turned in favor of the players,
> however.
> > > > They are dangerous places where very sharp people hang out,
> people
> > > > (not to mention central banks that can print fiat currency at
> will)
> > > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > > high-leverage position. They are just waiting for you to make a
> > > tiny
> > > > little mistake, believe me. Keep that in mind, and you can
> probably
> > > > play (somewhat) safely.
> > > >
> > > > Okay, I said my piece. Back to work everyone. ^_^
> > > >
> > > > Yuki
> > >
> > > Well, I don't just trade because I'm smart, but because I'm the
> > > smartest man in the world... That is exactly what you say every
> time
> > > you buy and sell; You are calling the whole world a fool, every
> time
> > > you buy and sell... That you bought or sold the underlying
> > > instrument (whether stocks, bonds or futures or FOREX) before
> > > everybody else did... Trading is the most ARROGANT thing a human
> > > being can do... If you want to make money trading, don't be just
> > > arrogant, be smart too...
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > >
> > > Yahoo! Groups Sponsor
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
> > >
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 16
> > > Date: Thu, 09 Oct 2003 03:19:20 -0000
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > Subject: Re: OT Forex for the sublimely naive
> > >
> > > Steve,
> > >
> > > Thanks for reminding me. I'm a great fan of Ayn Rand. I have
> > > read "Atlas Shrugged" many times... I have read all of her books...
> > > Glad to hear that you have read her books too...
> > >
> > > I use some of CCT indicators, CCT StochRSI (great indicator). I
> > > have recently added the formula some call the Karnish system
> > > described in the Optimization seminar... It is useful to me in some
> > > circumstances...
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
> > > wrote:
> > > > You are calling the whole world a fool, every time
> > > > you buy and sell...
> > > >
> > > > Pal,
> > > >
> > > > I have a different opinion:
> > > >
> > > > The symbol of all relationships among such men, the moral symbol
> of
> > > respect for human beings, is the trader. We, who live by values,
> not
> > > by loot, are traders, both in manner and spirit. A trader is a man
> > > who earns what he gets and does not give or take the undeserved. A
> > > trader does not ask to be paid for his failure, he does not ask to
> be
> > > loved for his flaws. A trader does not squander his body as fodder,
> > > or his soul as alms. Just as he does not give his work except in
> > > trade for material values, so he does not give the values of his
> > > spirit -- his love, his friendship, his esteem - except in payment
> > > and in trade for human virtue, in payment for his own selfish
> > > pleasure, which he receives from men he can respect. The mystic
> > > parasites who have, throughout the ages, reviled the trader and held
> > > him in contempt, while honoring beggars and looters, have known the
> > > secret motive of their sneers: a trader is an entity they dread - a
> > > man of justice.
> > > >
> > > > Ayn Rand
> > > > ----- Original Message -----
> > > > From: palsanand
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Wednesday, October 08, 2003 8:07 PM
> > > > Subject: [amibroker] Re: OT Forex for the sublimely naive
> > > >
> > > >
> > > > Hi,
> > > >
> > > > >
> > > > > First of all, to address the claim that you cannot lose more
> > > than
> > > > > your investment in Forex trading: Pure, unadulterated horse
> > > hockey.
> > > > >
> > > > > I'm sorry to be the bearer of bad news, but I am positive that
> > > you
> > > > > can lose more than your initial investment on ANY leveraged
> > > play. I
> > > > > am 100 percent positive that if you look at the fine print on
> > > your
> > > > > brokerage contract, you will see something along the order
> > > of: "will
> > > > > **attempt** to liquidate your position should your equity
> value
> > > > > suddenly break certain levels", zero being the last ditch,
> they
> > > will
> > > > > first have a level for a "margin call" and another level for a
> > > > > liquidation below that. Note however, that it will NOT always
> be
> > > > > possible to get you out at a price that ensures you do not
> > > > experience
> > > > > negative equity, and further note that your brokerage does NOT
> > > for
> > > > > one hot second intend to take a hit on a position you created
> > > if it
> > > > > goes against you so suddenly that your equity becomes
> negative.
> > > > > Believe me, they intend to come after you for the balance; I'm
> > > > *sure*
> > > > > it's in the fine-print of your contract (if not the bold-
> > > print); and
> > > > > yes you CAN lose your house. Will you lose it? Probably not.
> > > But
> > > > > you can, or at least you can take a hit far in excess of what
> > > you
> > > > > planned to risk, and you should not be deceived about that.
> > > Enough
> > > > > said on that.
> > > >
> > > > Your broker does not take you out of the market, but the trading
> > > > platform software does. It takes you out (closes all positions)
> > > when
> > > > you do not have sufficient margin (Guaranteed, rest assured).
> > > >
> > > > >
> > > > > Next, the joys and perils of leverage:
> > > > >
> > > > > It is, as most of you know, a very sharp double-edged sword.
> > > When
> > > > > you are right, it is a gains multiplier. When you are wrong
> > > > however,
> > > > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There
> > > is no
> > > > > way I know of to have the potential for huge gains, without
> also
> > > > > having the potential for huge losses. Anyone who suggests
> > > otherwise
> > > > > is either sublimely naive or has an agenda, IMNSHO.
> > > >
> > > > Sometimes, you have to have narrow stops, sometimes wide stops
> > > and
> > > > sometimes no stops (combine options with the straight underlying
> > > > instrument) to Cut losses short and Let profits run.
> > > >
> > > > >
> > > > > Finally, a bit of a historical note:
> > > > >
> > > > > I have been around for some unreal yen/dollar moves. I have
> > > seen
> > > > the
> > > > > trends reverse on a dime, with explosions in the other
> > > direction
> > > > that
> > > > > will rattle your teeth and turn your position to ashes,
> > > especially a
> > > > > leveraged position. Take a look for example (and this is a
> > > rather
> > > > > mild one) at the "trending move" in late 2001 that took the
> yen
> > > from
> > > > > about 120 up to about 135 very suddenly. Then look at the yen
> > > at
> > > > 120
> > > > > 6 months later going the other way. These things are just as
> > > tricky
> > > > > to time as stocks or futures or you name it. They are not one
> > > bit
> > > > > "easier", and if they were, so many sharp people would
> > > immediately
> > > > > come into the market that any "easiness" would soon vanish as
> > > the
> > > > > sharpies started dueling with each other. Do not be deceived
> > > about
> > > > > this for one second.
> > > > >
> > > > > None of this is a plea to avoid the currency markets. They
> can
> > > be
> > > > > traded, and they can be traded successfully. They are not
> > > casinos
> > > > > where the odds have been turned in favor of the players,
> > > however.
> > > > > They are dangerous places where very sharp people hang out,
> > > people
> > > > > (not to mention central banks that can print fiat currency at
> > > will)
> > > > > with REAL CASH in quantities that can OVERWHELM your puny
> little
> > > > > high-leverage position. They are just waiting for you to make
> > > a
> > > > tiny
> > > > > little mistake, believe me. Keep that in mind, and you can
> > > probably
> > > > > play (somewhat) safely.
> > > > >
> > > > > Okay, I said my piece. Back to work everyone. ^_^
> > > > >
> > > > > Yuki
> > > >
> > > > Well, I don't just trade because I'm smart, but because I'm the
> > > > smartest man in the world... That is exactly what you say every
> > > time
> > > > you buy and sell; You are calling the whole world a fool, every
> > > time
> > > > you buy and sell... That you bought or sold the underlying
> > > > instrument (whether stocks, bonds or futures or FOREX) before
> > > > everybody else did... Trading is the most ARROGANT thing a
> human
> > > > being can do... If you want to make money trading, don't be
> just
> > > > arrogant, be smart too...
> > > >
> > > > Regards,
> > > >
> > > > Pal
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > >
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxx
> > > > Send SUGGESTIONS to suggest@xxxx
> > > > -----------------------------------------
> > > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > > --------------------------------------------
> > > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
> > > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > > Service.
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 17
> > > Date: Thu, 9 Oct 2003 11:23:10 +0800
> > > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > > Subject: RE: Entry, Exit and Stop loss on the same bar?
> > >
> > > In the AA settings, tick the box "allow same bar exit"
> > >
> > > Cheers,
> > > Graham
> > > http://groups.msn.com/ASXShareTrading
> > > http://groups.msn.com/FMSAustralia
> > >
> > >
> > > -----Original Message-----
> > > From: aghari [mailto:aghari@xxxxxxxxx]
> > > Sent: Thursday, 9 October 2003 11:06 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Entry, Exit and Stop loss on the same bar?
> > >
> > >
> > > Hello
> > >
> > > I'm backtesting some data I've and wasn't sure about how to
> setup/use
> > > formula to Enter, Exit and also have a stop loss on the same bar
> > > (backtesting is done in EOD data). I tried using ApplyStop() with
> not much
> > > success.
> > >
> > > Is this something that's doable? Any help will be much appreciated.
> > >
> > > H-
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 18
> > > Date: Wed, 8 Oct 2003 23:57:51 -0400
> > > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > > Subject: RE: Re: FW: Optimize/OverOptimize
> > >
> > > let me throw the discussion of optimization in another direction for
> a
> > sec,
> > > into equity feedback, something I've been looking at a lot lately.
> > >
> > > just to be clear what I mean, the idea is to pick your trades from
> among
> > the
> > > stocks (or whatever) that have historically done the best at that
> same
> > > method, or something as similar to it as possible. for example
> (don't put
> > > money on this!), say you went long or short when MACD(13, 21)
> crossed
> > zero,
> > > but picked stocks with the most strongly positive returns to date by
> that
> > > method.
> > >
> > > in a sense, this amounts to automatic optimization, by the most
> seemingly
> > > relevant means possible: grading performance under the same system.
> > another
> > > way to look at it is that it automatically selects a universe of
> stocks to
> > > run on, including only the ones that perform best with the strategy
> used.
> > >
> > > given those general mechanics, you'd think this would produce good
> results
> > > frequently, with a variety of common indicators, over many time
> frames and
> > > universes of equities. my experience is that this isn't the case. on
> the
> > > contrary, for example, it's hard to find system that are juicily
> > profitable
> > > from '92 to present on the NASDAQ 100. works better on the whole
> NASDAQ, I
> > > think because a larger total universe has a better chance of
> containing
> > some
> > > stellar choices, but it's still hard to do outstandingly well.
> > >
> > > what does it mean if a strategy doesn't perform well when managed
> like
> > this?
> > > seems like one of two things: either not very many tradable stocks
> > > (sufficient liquidity and price etc) perform well with the strategy,
> or,
> > > past performance with the strategy doesn't correlate well with
> future
> > > performance.
> > >
> > > if not many stocks do well with the strategy, it's just not that
> generally
> > > applicable. perhaps it has parameters that need to be tailored more
> to
> > each
> > > individual stock or time frame, more than the algorithm itself does.
> if
> > so,
> > > the next direction to pursue might be more auto-compensating metrics
> > within
> > > the strategy. OTOH, the more complex and rube goldberg things get,
> the
> > more
> > > they seem like fragilely over-optimized special cases, unlikely on
> > principle
> > > to be robust beyond the specific conditions under which they were
> tested.
> > >
> > > on the other hand, what if past performance doesn't predict future
> > > performance? maybe some other metrics would, but how would you know?
> any
> > > backtests you did to find that out couldn't be relied on to predict
> the
> > > future themselves.
> > >
> > > is there a third hand? or have I screwed up my equity feedback code,
> and
> > > everyone else here has tons of highly profitable systems like this
> that
> > > they're not talking about?
> > >
> > > thoughts?
> > >
> > > dave
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 19
> > > Date: Thu, 09 Oct 2003 05:04:51 -0000
> > > From: "palsanand" <palsanand@xxxxxxxxx>
> > > Subject: Re: FW: Optimize/OverOptimize
> > >
> > > Hi,
> > >
> > > Quite a few articles and books have been written on the topic of
> > > system optimization. Most of the work done in this area concludes
> > > that optimizing individual systems does not provide a superior
> > > result. If you take, for example, a MACD oscillator and optimize it
> > > over a year of data, and then trade that system in the future, it's
> > > odds of success are meager....
> > >
> > > You have to optimize many individual systems and arrive at a
> > > collection. You can then use Back Test scores from the systems to
> > > form a consensus to create Entry/Exit signals. This is very
> > > different and much more advanced, than just optimizing an MACD. You
> > > can try "fixing" the systems, but in all cases the accuracy of the
> > > signals will be less than that achieved by optimizing....
> > >
> > > No matter which systems you use, they will fail at some time or
> > > another. However, you will find that Forward Test results of a
> > > fixed, non-optimized system are dramatically less than an optimized
> > > system if you use a collection of optimized systems and form a
> > > consensus....
> > >
> > > Prediction is difficult, especially of the future...
> > >
> > > Niels Bohr
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > > wrote:
> > > > let me throw the discussion of optimization in another direction
> > > for a sec,
> > > > into equity feedback, something I've been looking at a lot lately.
> > > >
> > > > just to be clear what I mean, the idea is to pick your trades from
> > > among the
> > > > stocks (or whatever) that have historically done the best at that
> > > same
> > > > method, or something as similar to it as possible. for example
> > > (don't put
> > > > money on this!), say you went long or short when MACD(13, 21)
> > > crossed zero,
> > > > but picked stocks with the most strongly positive returns to date
> > > by that
> > > > method.
> > > >
> > > > in a sense, this amounts to automatic optimization, by the most
> > > seemingly
> > > > relevant means possible: grading performance under the same
> system.
> > > another
> > > > way to look at it is that it automatically selects a universe of
> > > stocks to
> > > > run on, including only the ones that perform best with the
> strategy
> > > used.
> > > >
> > > > given those general mechanics, you'd think this would produce good
> > > results
> > > > frequently, with a variety of common indicators, over many time
> > > frames and
> > > > universes of equities. my experience is that this isn't the case.
> > > on the
> > > > contrary, for example, it's hard to find system that are juicily
> > > profitable
> > > > from '92 to present on the NASDAQ 100. works better on the whole
> > > NASDAQ, I
> > > > think because a larger total universe has a better chance of
> > > containing some
> > > > stellar choices, but it's still hard to do outstandingly well.
> > > >
> > > > what does it mean if a strategy doesn't perform well when managed
> > > like this?
> > > > seems like one of two things: either not very many tradable stocks
> > > > (sufficient liquidity and price etc) perform well with the
> > > strategy, or,
> > > > past performance with the strategy doesn't correlate well with
> > > future
> > > > performance.
> > > >
> > > > if not many stocks do well with the strategy, it's just not that
> > > generally
> > > > applicable. perhaps it has parameters that need to be tailored
> more
> > > to each
> > > > individual stock or time frame, more than the algorithm itself
> > > does. if so,
> > > > the next direction to pursue might be more auto-compensating
> > > metrics within
> > > > the strategy. OTOH, the more complex and rube goldberg things get,
> > > the more
> > > > they seem like fragilely over-optimized special cases, unlikely on
> > > principle
> > > > to be robust beyond the specific conditions under which they were
> > > tested.
> > > >
> > > > on the other hand, what if past performance doesn't predict future
> > > > performance? maybe some other metrics would, but how would you
> > > know? any
> > > > backtests you did to find that out couldn't be relied on to
> predict
> > > the
> > > > future themselves.
> > > >
> > > > is there a third hand? or have I screwed up my equity feedback
> > > code, and
> > > > everyone else here has tons of highly profitable systems like this
> > > that
> > > > they're not talking about?
> > > >
> > > > thoughts?
> > > >
> > > > dave
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 20
> > > Date: Thu, 9 Oct 2003 13:37:37 +0800
> > > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > > Subject: Simplified support resistance levels
> > >
> > > I have been looking at various ways to chart the support resistance
> > elevels,
> > > ultimately to incorporate into various trading systems. Having
> attempted
> > > loops and other methods of differing complexity I pulled back to the
> > > simplest of forms, price.
> > > Now this is probably already shown somewhere, but will share it
> anyway.
> > > Any comments appreciated
> > >
> > > //SUPPORT & RESISTANCE LEVELS
> > > //Graham Kavanagh 9 Oct 2003
> > >
> > > //Find turning points
> > > top = H==HHV(H,3) AND H>=Ref(H,1) AND H>=Ref(H,2);
> > > bot = L==LLV(L,3) AND L<=Ref(L,1) AND L<=Ref(L,2);
> > >
> > > topH = ValueWhen(top,H);
> > > botL = ValueWhen(bot,L);
> > >
> > > //Indicator section
> > > GraphXSpace=5;
> > > Plot( C, "C", colorLightGrey, styleBar+styleNoLabel );
> > > Plot( topH, "res", colorRed, styleDots+styleNoLine );
> > > Plot( botL, "sup", colorGreen, styleDots+styleNoLine );
> > >
> > > Title = Name() + ", " + Date() + ", Support & Resistance Levels
> Support =
> > "
> > > + topH + ", Resistance = " + botL ;
> > >
> > >
> > > Cheers,
> > > Graham
> > > http://groups.msn.com/ASXShareTrading
> > > http://groups.msn.com/FMSAustralia
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 21
> > > Date: Thu, 09 Oct 2003 05:48:49 -0000
> > > From: "Phsst" <phsst@xxxxxxxxx>
> > > Subject: Re: FW: Optimize/OverOptimize
> > >
> > > Is this the proper forum for this discussion?
> > >
> > > Can any of this discussion be translated into Amibroker insights,
> code
> > > examples or solutions?
> > >
> > > Heck... I get off topic every now and then, but I would not take
> > > offense to having my reins jerked when needed.
> > >
> > > Phsst
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
> wrote:
> > > > Hi,
> > > >
> > > > Quite a few articles and books have been written on the topic of
> > > > system optimization. Most of the work done in this area concludes
> > > > that optimizing individual systems does not provide a superior
> > > > result. If you take, for example, a MACD oscillator and optimize
> it
> > > > over a year of data, and then trade that system in the future,
> it's
> > > > odds of success are meager....
> > > >
> > > > You have to optimize many individual systems and arrive at a
> > > > collection. You can then use Back Test scores from the systems to
> > > > form a consensus to create Entry/Exit signals. This is very
> > > > different and much more advanced, than just optimizing an MACD.
> You
> > > > can try "fixing" the systems, but in all cases the accuracy of the
> > > > signals will be less than that achieved by optimizing....
> > > >
> > > > No matter which systems you use, they will fail at some time or
> > > > another. However, you will find that Forward Test results of a
> > > > fixed, non-optimized system are dramatically less than an
> optimized
> > > > system if you use a collection of optimized systems and form a
> > > > consensus....
> > > >
> > > > Prediction is difficult, especially of the future...
> > > >
> > > > Niels Bohr
> > > >
> > > > Regards,
> > > >
> > > > Pal
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > > > wrote:
> > > > > let me throw the discussion of optimization in another direction
> > > > for a sec,
> > > > > into equity feedback, something I've been looking at a lot
> lately.
> > > > >
> > > > > just to be clear what I mean, the idea is to pick your trades
> from
> > > > among the
> > > > > stocks (or whatever) that have historically done the best at
> that
> > > > same
> > > > > method, or something as similar to it as possible. for example
> > > > (don't put
> > > > > money on this!), say you went long or short when MACD(13, 21)
> > > > crossed zero,
> > > > > but picked stocks with the most strongly positive returns to
> date
> > > > by that
> > > > > method.
> > > > >
> > > > > in a sense, this amounts to automatic optimization, by the most
> > > > seemingly
> > > > > relevant means possible: grading performance under the same
> system.
> > > > another
> > > > > way to look at it is that it automatically selects a universe of
> > > > stocks to
> > > > > run on, including only the ones that perform best with the
> strategy
> > > > used.
> > > > >
> > > > > given those general mechanics, you'd think this would produce
> good
> > > > results
> > > > > frequently, with a variety of common indicators, over many time
> > > > frames and
> > > > > universes of equities. my experience is that this isn't the
> case.
> > > > on the
> > > > > contrary, for example, it's hard to find system that are juicily
> > > > profitable
> > > > > from '92 to present on the NASDAQ 100. works better on the whole
> > > > NASDAQ, I
> > > > > think because a larger total universe has a better chance of
> > > > containing some
> > > > > stellar choices, but it's still hard to do outstandingly well.
> > > > >
> > > > > what does it mean if a strategy doesn't perform well when
> managed
> > > > like this?
> > > > > seems like one of two things: either not very many tradable
> stocks
> > > > > (sufficient liquidity and price etc) perform well with the
> > > > strategy, or,
> > > > > past performance with the strategy doesn't correlate well with
> > > > future
> > > > > performance.
> > > > >
> > > > > if not many stocks do well with the strategy, it's just not that
> > > > generally
> > > > > applicable. perhaps it has parameters that need to be tailored
> more
> > > > to each
> > > > > individual stock or time frame, more than the algorithm itself
> > > > does. if so,
> > > > > the next direction to pursue might be more auto-compensating
> > > > metrics within
> > > > > the strategy. OTOH, the more complex and rube goldberg things
> get,
> > > > the more
> > > > > they seem like fragilely over-optimized special cases, unlikely
> on
> > > > principle
> > > > > to be robust beyond the specific conditions under which they
> were
> > > > tested.
> > > > >
> > > > > on the other hand, what if past performance doesn't predict
> future
> > > > > performance? maybe some other metrics would, but how would you
> > > > know? any
> > > > > backtests you did to find that out couldn't be relied on to
> predict
> > > > the
> > > > > future themselves.
> > > > >
> > > > > is there a third hand? or have I screwed up my equity feedback
> > > > code, and
> > > > > everyone else here has tons of highly profitable systems like
> this
> > > > that
> > > > > they're not talking about?
> > > > >
> > > > > thoughts?
> > > > >
> > > > > dave
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 22
> > > Date: Thu, 9 Oct 2003 12:36:22 +0300
> > > From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>
> > > Subject: The Inspection Points and the Hi-pass Filter
> > >
> > > The
> > >
> > > Counter=0;
> > > for(K=30;K<100;K=K+20)
> > > {
> > > E1=MA(C,k);
> > > CountER=CountER+1;
> > > Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);
> > > }
> > >
> > > will plot in IB the group of simple moving averages MA(C,30),
> > MA(C,50),MA(C,70) and MA(C,90).
> > > My data begins on Jan3, 2000.
> > > After some reasonable period the usual indicators are defined and
> may be
> > compared.
> > > Let us select as a starting date the end of May2000.
> > > START=DateNum()==1000530 ;
> > > In T/A studies we use various parameters, not always the same. An
> MA(C,k)
> > may give good results for k=30, but,
> > > as the market character changes, k=50 may be more expressive, one
> year
> > later. For this reason we re-optimize
> > > parameters from time to time, hoping to see better performance in
> the
> > [unknown] next days/weeks/months/years
> > > according to the used timeframe.
> > > How about doing this job automatically ?
> > > One method is to establish the Inspection Points.
> > > For example, the
> > >
> > > x=101;
> > > START=DateNum()==1000530 ;
> > > EVENT=BarsSince(START)%x==0;
> > > PlotShapes(shapeCircle*EVENT,colorRed);
> > >
> > > will establish an Inspection [RED] Point every 101 bars after the
> START
> > of May30, 2000.
> > > The AFL inspector will check the parameters under his criteria at
> the
> > inspection points, will take a decision and will ask to apply this
> decision
> > until the next inspection.
> > > Suppose the criterion is to ride on the highest MA and use this MA
> for the
> > next 101 bars.
> > > The procedure should be repeated at all Inspection Points.
> > > The reslut will be a variable parameter k with a market feedback
> every 101
> > bars.
> > > The Hi-pass filter gives a solution to this request.
> > >
> > > // A Hi-pass filter at the Inspection Points
> > > x=101;// the inspection frequency
> > > START=DateNum()==1000530 ;
> > > EVENT=BarsSince(START)%x==0;// the inspection event
> > > PlotShapes(shapeCircle*EVENT,colorRed);// puts a red dot at the
> inspection
> > points
> > > G=0;
> > > CountER=0;
> > > for(K=30;K<100;K=K+20)
> > > {
> > > E1=MA(C,k);// the moving average value for the various k
> > > E11=ValueWhen(EVENT,E1);// the MA value at the inspection point
> > > T11=ValueWhen(EVENT,Cum(1));// the inspection time
> > > G=IIf(G>E11,G,E11);
> > > CountER=CountER+1;
> > > Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);
> > > }
> > > Plot(G,"\nG",colorBlue,8);// this line remembers the highest MA
> until the
> > next inspection
> > > CountER=0;Kpass=0;HIPASS=0;
> > > for(K=30;K<100;K=K+20)
> > > {
> > > E1=MA(C,k);
> > > E11=ValueWhen(EVENT,E1);CountER=CountER+1;
> > > PASS=IIf(E11==G,E1,0);
> > > HIPASS=HIPASS+PASS;
> > > K1=IIf(E11==G,K,0);Kpass=Kpass+K1;
> > > }
> > > Plot(HIPASS,"\nHI-PASS [k="+WriteVal(kpass,1.0)+"]",colorBlack,8);//
> the
> > final Hi-pass line
> > > // Plot(Kpass,"Kpass",colorYellow,styleOwnScale);
> > > GraphZOrder=0;
> > >
> > > The code lets the highest MA [at the inspection point] to pass the
> > inspection and be in use until the next red dot.
> > > In the att. gif, at point P1 the green [90-bar] MA was the highest.
> The
> > Hi-pass [dotted black] line keeps this MA until point
> > > P2, no matter if the green line was lower a few days after the
> inspection
> > P1.
> > > At P2 the market character has changed to bullish.
> > > The 30-bar [white] MA is now the highest and the the new Hi-pass
> line will
> > follow it for the next 101 bars.
> > > The blue G line gives the ground level, ie the value of the last
> > inspection.
> > > You may see easier the final Hi-pass line by changing
> GraphZOrder=0; to
> > GraphZOrder=1;
> > > Uncomment the // Plot(Kpass,"Kpass",colorYellow,styleOwnScale); line
> to
> > see the K values in the past history of the stock.
> > > The inspection method is objective, free from psychological
> constraints
> > and helps to hold a decision for the next x trading days.
> > > [this is more difficult than the code itself !!]
> > > The inspection frequency may be fixed or variable .
> > > [Since we usually Buy at +1 Open, we may re-inspect before every
> "Buy"...]
> > > One interesting application is the parametric Equity .
> > > If we ride on the highest equity line and we have the inspection
> feedback,
> > we may avoid the known dangers of overptimization
> > > and make some more low-risk money.
> > > Dimitris Tsokakis
> > >
> > >
> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 23
> > > Date: Thu, 09 Oct 2003 09:47:29 -0000
> > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
> > > Subject: Re: FW: Optimize/OverOptimize
> > >
> > > By coicidence, the "Inspection Points" thread points to this target
> :
> > > To automatically control the parameters, using an equity feedback
> > > every x days.
> > > Any [bright] ideas for the inspection frequency will be much
> > > appreciated.
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > > > Is this the proper forum for this discussion?
> > > >
> > > > Can any of this discussion be translated into Amibroker insights,
> > > code
> > > > examples or solutions?
> > > >
> > > > Heck... I get off topic every now and then, but I would not take
> > > > offense to having my reins jerked when needed.
> > > >
> > > > Phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
> > > wrote:
> > > > > Hi,
> > > > >
> > > > > Quite a few articles and books have been written on the topic of
> > > > > system optimization. Most of the work done in this area
> > > concludes
> > > > > that optimizing individual systems does not provide a superior
> > > > > result. If you take, for example, a MACD oscillator and
> optimize
> > > it
> > > > > over a year of data, and then trade that system in the future,
> > > it's
> > > > > odds of success are meager....
> > > > >
> > > > > You have to optimize many individual systems and arrive at a
> > > > > collection. You can then use Back Test scores from the systems
> > > to
> > > > > form a consensus to create Entry/Exit signals. This is very
> > > > > different and much more advanced, than just optimizing an MACD.
> > > You
> > > > > can try "fixing" the systems, but in all cases the accuracy of
> > > the
> > > > > signals will be less than that achieved by optimizing....
> > > > >
> > > > > No matter which systems you use, they will fail at some time or
> > > > > another. However, you will find that Forward Test results of a
> > > > > fixed, non-optimized system are dramatically less than an
> > > optimized
> > > > > system if you use a collection of optimized systems and form a
> > > > > consensus....
> > > > >
> > > > > Prediction is difficult, especially of the future...
> > > > >
> > > > > Niels Bohr
> > > > >
> > > > > Regards,
> > > > >
> > > > > Pal
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > > > > wrote:
> > > > > > let me throw the discussion of optimization in another
> > > direction
> > > > > for a sec,
> > > > > > into equity feedback, something I've been looking at a lot
> > > lately.
> > > > > >
> > > > > > just to be clear what I mean, the idea is to pick your trades
> > > from
> > > > > among the
> > > > > > stocks (or whatever) that have historically done the best at
> > > that
> > > > > same
> > > > > > method, or something as similar to it as possible. for example
> > > > > (don't put
> > > > > > money on this!), say you went long or short when MACD(13, 21)
> > > > > crossed zero,
> > > > > > but picked stocks with the most strongly positive returns to
> > > date
> > > > > by that
> > > > > > method.
> > > > > >
> > > > > > in a sense, this amounts to automatic optimization, by the
> most
> > > > > seemingly
> > > > > > relevant means possible: grading performance under the same
> > > system.
> > > > > another
> > > > > > way to look at it is that it automatically selects a universe
> > > of
> > > > > stocks to
> > > > > > run on, including only the ones that perform best with the
> > > strategy
> > > > > used.
> > > > > >
> > > > > > given those general mechanics, you'd think this would produce
> > > good
> > > > > results
> > > > > > frequently, with a variety of common indicators, over many
> time
> > > > > frames and
> > > > > > universes of equities. my experience is that this isn't the
> > > case.
> > > > > on the
> > > > > > contrary, for example, it's hard to find system that are
> > > juicily
> > > > > profitable
> > > > > > from '92 to present on the NASDAQ 100. works better on the
> > > whole
> > > > > NASDAQ, I
> > > > > > think because a larger total universe has a better chance of
> > > > > containing some
> > > > > > stellar choices, but it's still hard to do outstandingly well.
> > > > > >
> > > > > > what does it mean if a strategy doesn't perform well when
> > > managed
> > > > > like this?
> > > > > > seems like one of two things: either not very many tradable
> > > stocks
> > > > > > (sufficient liquidity and price etc) perform well with the
> > > > > strategy, or,
> > > > > > past performance with the strategy doesn't correlate well with
> > > > > future
> > > > > > performance.
> > > > > >
> > > > > > if not many stocks do well with the strategy, it's just not
> > > that
> > > > > generally
> > > > > > applicable. perhaps it has parameters that need to be tailored
> > > more
> > > > > to each
> > > > > > individual stock or time frame, more than the algorithm itself
> > > > > does. if so,
> > > > > > the next direction to pursue might be more auto-compensating
> > > > > metrics within
> > > > > > the strategy. OTOH, the more complex and rube goldberg things
> > > get,
> > > > > the more
> > > > > > they seem like fragilely over-optimized special cases,
> unlikely
> > > on
> > > > > principle
> > > > > > to be robust beyond the specific conditions under which they
> > > were
> > > > > tested.
> > > > > >
> > > > > > on the other hand, what if past performance doesn't predict
> > > future
> > > > > > performance? maybe some other metrics would, but how would you
> > > > > know? any
> > > > > > backtests you did to find that out couldn't be relied on to
> > > predict
> > > > > the
> > > > > > future themselves.
> > > > > >
> > > > > > is there a third hand? or have I screwed up my equity feedback
> > > > > code, and
> > > > > > everyone else here has tons of highly profitable systems like
> > > this
> > > > > that
> > > > > > they're not talking about?
> > > > > >
> > > > > > thoughts?
> > > > > >
> > > > > > dave
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 24
> > > Date: Thu, 9 Oct 2003 12:13:54 +0200
> > > From: "Tomasz Janeczko" <amibroker@xxxxxx>
> > > Subject: Re: New ESignal plugin/Quotes
> > >
> > > Hello,
> > >
> > > 1. When 'wait for backfill' flag is set then plugin always
> > > backfills the bars that are missing. Depending on how
> > > many bars are missing this will take different amount of time.
> > > You have no control over it.
> > > You can decrease the time needed by running scan everyday
> > > limiting that way the amount of data that need to be retrieved
> > > in one run.
> > >
> > > 2. I don't understand your second question. Please re-phrase.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Thursday, October 09, 2003 4:04 AM
> > > Subject: [amibroker] New ESignal plugin/Quotes
> > >
> > >
> > > > Hi,
> > > >
> > > > I've installed the new ESignal plugin. It is indeed very fast.
> > > >
> > > > I have a couple of questions -- when I do a scan in RT, is there a
> > > > way to limit the amount of data the plugin backfills when you have
> > > > the box checked to wait for backfill? I reduced the number of
> quotes
> > > > in the database settings, but the first pass through my list still
> > > > seems to be very slow due to the number of quotes it is
> retrieving.
> > > >
> > > > Also, does the new plugin change the status of getting a quote for
> a
> > > > loaded stock -- i.e. the ability to get the current vs. most
> recently
> > > > accessed quote?
> > > >
> > > > Thanks,
> > > >
> > > > Gordon
> > > >
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > > > -----------------------------------------
> > > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > > --------------------------------------------
> > > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
> > > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > > >
> > > >
> > > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
> > >
> > > Message: 25
> > > Date: Thu, 9 Oct 2003 19:01:38 +0800
> > > From: "don" <donmac63@xxxxxxxxxxxx>
> > > Subject: Re: Displaced or Shifted Moving Average
> > >
> > > Thanks Jayson,
> > >
> > > Works well.
> > > Your guidance is greatly appreciated.
> > >
> > > Regards
> > >
> > > Don McKay
> > >
> > > ----- Original Message -----
> > > From: Jayson
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Wednesday, October 08, 2003 10:17 PM
> > > Subject: RE: [amibroker] Displaced or Shifted Moving Average
> > >
> > >
> > > Don,
> > > have you tried shifting using the ref() function? Something like
> this
> > moves the ma by 5 periods...
> > >
> > >
> > > Plot(C,"",4,64);
> > > Plot(MA(C,10),"",4,1);
> > > Plot(Ref(MA(C,10),-5),"new",5,1);
> > >
> > >
> > > Regards,
> > > Jayson
> > > -----Original Message-----
> > > From: don [mailto:donmac63@xxxxxxxxxxxx]
> > > Sent: Wednesday, October 08, 2003 8:13 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Displaced or Shifted Moving Average
> > >
> > >
> > > Greetings to all,
> > >
> > > I was wondering if anyone has coded Displaced or Shifted Moving
> > Averages?
> > >
> > >
> > > Regards
> > >
> > > Don McKay
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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> > >
> > > [This message contained attachments]
> > >
> > >
> > >
> > >
> ________________________________________________________________________
> > >
> ________________________________________________________________________
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> > >
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