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Dave,
<FONT face="Courier New" color=#0000ff
size=2>just for my understanding, in what sense is this system "robust"?
<FONT face="Courier New" color=#0000ff
size=2>
Well, first, this
was presented to the public in the late 90's, at a series of seminars that I
conducted for Equis. Same indicator, same triggers, same everything.
This robust "thing" is a tough one to define. I'll try to explain what's
important to me, but, it's very subjective and just one person's opinion.
<FONT face=Arial
size=2>
<FONT face="Courier New" color=#0000ff
size=2>is it because results are similar with
different similar periods and thresholds?
<FONT face=Arial
size=2>
If you take this
CMO5 indicator and step down in time (5, 10, 60 minutes), you need to widen
the triggers to obtain decent results. Other than that, it trades
through time-zones with very good results.
<FONT face=Arial
size=2>
<FONT face="Courier New" color=#0000ff
size=2>that seems unlikely, since there isn't very far to go from 5 to hit 1 and
0, which I'd guess are significantly different. what sort of testing led you to
decide on this period and threshold, and this system for that
matter?
<FONT face=Arial
size=2>
If you're referring
to the CMO5...I first started testing it six years ago. I've tested and
eyeballed every version of CMO(x). I've created a few indicators that
combines different periods of the CMO. For my money, for my style, this
judge of momentum trades more things, more accurately than any other indicator I
am aware of. As I have begged many times: give me something
better...I'll use it instead of this.
<FONT face=Arial
size=2>
<FONT face="Courier New" color=#0000ff
size=2>is it robust because it works well on many
stocks, indexes and funds over a long period of time?
<FONT face="Courier New" color=#0000ff
size=2>
Yes, it works well
on many stocks and indexes. I don't trade funds, but, some fund managers,
DTG members, use versions of the CMO to aid their timing.
<FONT face=Arial
size=2>
<FONT
face="Courier New" color=#0000ff size=2>because of the concepts behind the
indicator itself?
<FONT
face="Courier New" color=#0000ff size=2>
<FONT
face=Arial size=2>I process visually. The math is beyond me. My
bottom line has always been the same: give me an indicator that is smooth,
yet sensitive to intermediate and major market turns. After gawking
hundreds of charts, everyday, for the last six years, I'm amazed at how this
indicator quantifies momentum. I like versions of the Stochastic RSI and
the Standard Error Oscillator, but dollar for dollar, the CMO does it for
me.
<FONT
face=Arial size=2>
<FONT
face="Courier New" color=#0000ff size=2>something
else?
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=468263723-30102003>
<FONT
face=Arial size=2>I think there's a few other
things to mention. First of all, the ETF's that I showed were chosen
because they represent a broad range of stocks and are popular trading
instruments. Do I suggest trading these issues with this
system? No way. The CMO5 trades a lot of other issues with better
results than the ETF's. I always allow the issues "to pick
themselves". Trade the issues that return the greatest percentages in a
stable system.
<FONT
face=Arial size=2><SPAN
class=468263723-30102003>
<FONT
face=Arial size=2>In it's stripped down version,
as presented, the CMO5 is an indicator that can return steady profits (see
equity lines) in it's rawest unoptimized form. Is that robust?
<FONT
face=Arial size=2><SPAN
class=468263723-30102003>
<FONT
face=Arial size=2>Robustness and
optimizing/over-optimizing are fascinating and misunderstood subjects.
Over the years, I've constantly simplified my approaches. I can improve on
the results of the three ETF's by simply "tweaking" the trigger levels.
But, will it walk forward better than the default triggers of 34/-34? At
least what I presented was out of sample.
<FONT
face=Arial size=2><SPAN
class=468263723-30102003>
<FONT
face=Arial size=2>If an approach does a good
job of identifying movement of supply and demand, the approach should not
be expected to work on all issues. To say a system needs to
work on all issues is total crap. To say that a
system sucks because it doesn't work on XYZ is another large pile. Build
simple things and concentrate on issue
selection.
<FONT
face=Arial size=2><SPAN
class=468263723-30102003>
Optimization leads
to dark and spooky places. Ranking leads you down the yellow brick
road.
<FONT face=Arial
size=2>
Take
care,
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Steve
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 30, 2003 5:05
PM
Subject: RE: [amibroker]
Robustivity
<SPAN
class=468263723-30102003>steve, thanks for sharing this
(again).
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>just for my understanding, in what sense is this
system "robust"?
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>is it because results are similar with different
similar periods and thresholds? that seems unlikely, since there isn't very
far to go from 5 to hit 1 and 0, which I'd guess are significantly different.
what sort of testing led you to decide on this period and threshold, and this
system for that matter?
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>is it robust because it works well on many stocks,
indexes and funds over a long period of time?
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>because of the concepts behind the indicator
itself?
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>something else?
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>I'm not disputing the system's value, which I haven't
tested yet. I'm trying to understand what kind of process you go through to
settle on a system and settings.
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>thanks,
<SPAN
class=468263723-30102003>
<SPAN
class=468263723-30102003>dave
<SPAN
class=468263723-30102003>
<BLOCKQUOTE
>
1. This exact system was presented over a
year ago at this forum
2. The charts are OOS (since, it's been
posted publicly forever)
3. Rules are simple: Buy the
opening of the next day when the CMO5 closes below -34 and sell when it
triggers above 34.
Works on most issues (raw). Works better
if:
a. You take trades only with the
trend
b. You protect yourself from large
drawdowns (stop)
c. You conjure a profit target
(limit)
d. You put in a time stop
This is the guts of an indicator and a logical
systematic approach. Whistles and bells are optional (but, in my
opinion necessary). Again, if you start with a pig, the prom dress
doesn't make it look any better. Don't hang ornaments on a twisted
Christmas tree.Send
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