|
PureBytes Links
Trading Reference Links
|
Mark,
there is no reason to stick on 34 or whatever, IMO. Any 34-system may
collapse, there is no guarantee.
Steve added some more parameters in his text, perhaps more important
than the 34 itself.
As for the trigger level, see an attempt at
http://groups.yahoo.com/group/amibroker/message/50927
If the system is "good", the IPs may solve the trigger level
selection.
[If the system is bad, then no IP will save it !!!]
As for your 9 criteria, would you give more details ?
It would be interesting to have some common measure, if we ever agree
to some minimum platform...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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.
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> > 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.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs from home.
Over 14,500 titles. Free Shipping
& No Late Fees. Try Netflix for FREE!
http://us.click.yahoo.com/ybSovB/hP.FAA/3jkFAA/GHeqlB/TM
---------------------------------------------------------------------~->
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/
|