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If you think this is robust, the God bless you. This fails all nine
of my robustness tests. There's a lot out there that's simpler and
*way* more robust. And does exceptionally well, especially when
coupled with issue selection and sound MM.
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> Dave,
>
> just for my understanding, in what sense is this system "robust"?
>
> 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.
>
> is it because results are similar with different similar periods and
thresholds?
>
> 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.
>
> 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?
>
> 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.
>
> is it robust because it works well on many stocks, indexes and funds
over a long period of time?
>
> 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.
>
> because of the concepts behind the indicator itself?
>
> 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.
>
> something else?
>
> 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.
>
> 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?
>
> 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.
>
> 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.
>
> Optimization leads to dark and spooky places. Ranking leads you
down the yellow brick road.
>
> Take care,
>
> Steve
>
>
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, October 30, 2003 5:05 PM
> Subject: RE: [amibroker] Robustivity
>
>
> steve, thanks for sharing this (again).
>
>
> just for my understanding, in what sense is this system "robust"?
>
> 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?
>
> is it robust because it works well on many stocks, indexes and
funds over a long period of time?
>
> because of the concepts behind the indicator itself?
>
> something else?
>
>
> 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.
>
> thanks,
>
> dave
>
> 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.
>
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