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Mark,
You're missing the point Dude. There are a
lot of things more robust...like "way more". Issue selection is the
most important point (if the system is robust, a system should trade
hundreds of issues with positive expectency). Do you have a robust
approach that works on grains, metals, interest rates, equities and
indexes? Have you traded it for the last ten years?
I just wanted to post something that was simple
(those that complain about "mechanical systems don't work" and for those that
want to over-optimize). I guess the question becomes: Is Ryan Jones
approach "sound"? Hey it must be, Larry Williams endorses his book on
every website I've seen.
How about flashing one robust approach...show us
the code...and allow the forum to evaluate your ideas on trading and
robustness.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
MarkF2
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 31, 2003 12:00
AM
Subject: [amibroker] Re:
Robustivity
If you think this is robust, the God bless you. This
fails all nineof my robustness tests. There's a lot out there that's
simpler and*way* more robust. And does exceptionally well, especially
whencoupled with issue selection and sound MM.--- In <A
href="">amibroker@xxxxxxxxxxxxxxx,
"CedarCreekTrading" <<A
href="">kernish@x...>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 aseries of seminars that I conducted for Equis. Same
indicator, sametriggers, same everything. This robust "thing" is a
tough one todefine. I'll try to explain what's important to me, but,
it's verysubjective and just one person's opinion. > >
is it because results are similar with different similar periods
andthresholds?> > If you take this CMO5 indicator and step
down in time (5, 10, 60minutes), 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 hit1 and 0, which I'd guess are significantly different.
what sort oftesting led you to decide on this period and threshold, and
thissystem for that matter?> > If you're referring to the
CMO5...I first started testing it sixyears ago. I've tested and
eyeballed every version of CMO(x). I'vecreated 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 havebegged many times: give me
something better...I'll use it instead ofthis.> > is it
robust because it works well on many stocks, indexes and fundsover 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 aidtheir timing. > >
because of the concepts behind the indicator itself?> > I
process visually. The math is beyond me. My bottom line
hasalways been the same: give me an indicator that is smooth,
yetsensitive to intermediate and major market turns. After
gawkinghundreds of charts, everyday, for the last six years, I'm amazed
athow this indicator quantifies momentum. I like versions of
theStochastic RSI and the Standard Error Oscillator, but dollar
fordollar, the CMO does it for me.> > something
else?> > I think there's a few other things to mention.
First of all, theETF's that I showed were chosen because they represent a
broad rangeof stocks and are popular trading instruments. Do I
suggest tradingthese issues with this system? No way. The CMO5
trades a lot ofother issues with better results than the ETF's. I
always allow theissues "to pick themselves". Trade the issues that
return thegreatest percentages in a stable system. > >
In it's stripped down version, as presented, the CMO5 is anindicator that
can return steady profits (see equity lines) in it'srawest unoptimized
form. Is that robust? > > Robustness and
optimizing/over-optimizing are fascinating andmisunderstood
subjects. Over the years, I've constantly simplified
myapproaches. I can improve on the results of the three ETF's by
simply"tweaking" the trigger levels. But, will it walk forward
better thanthe default triggers of 34/-34? At least what I presented
was out ofsample. > > If an approach does a good job
of identifying movement of supply anddemand, the approach should not be
expected to work on all issues. Tosay a system needs to work on
all issues is total crap. To say thata 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 youdown 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 periodsand thresholds? that seems unlikely, since there
isn't very far to gofrom 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 andfunds 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 settleon a system and
settings.> > thanks,> >
dave> > 1. This exact system was
presented over a year ago at thisforum>
2. The charts are OOS (since, it's been posted
publiclyforever)> 3. Rules are
simple: Buy the opening of the next day when theCMO5 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 systematicapproach.
Whistles and bells are optional (but, in my opinionnecessary).
Again, if you start with a pig, the prom dress doesn'tmake it look any
better. Don't hang ornaments on a twisted Christmastree.>
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