|
PureBytes Links
Trading Reference Links
|
Steve,
No *you're* missing the point. You posted a system "This exact system
was presented over a year ago at this forum" under the subject of
"Robustivity" and said in that post that it "Works on most issues
(raw)." Then, in a post to Dave about it, you wrote: "For my money,
for my style, this judge of momentum trades more things, more
accurately than any other indicator I am aware of." If that's not
saying it's robust, I don't know what is. I'm saying that it is *not
robust* by any measure I'd use.
I agree that issue selection is critically important but it can also
be used as a crutch to support weak systems. Wouldn't you rather
apply it to a robust approach? In my opinion, the greatest
*technical* challenge in trading is nonstationarity. Robustness is
one of my best tools for dealing with that.
On the Ryan Jones thing, *please*. Go back and read my original post
and don't mischaracterize what I wrote. Hey -- did you hear that
Myron Scholes (Black-Scholes option pricing model) was part of LTCM
when it blew up? Guess we need to toss out everything he's ever
touched too!
I don't trade futures. Just stocks and options, for over 25 years,
and I have nothing to prove to anyone, least of all you. If you want
a robust approach, find one yourself. It's really not that difficult.
Just think out of the box, *get off of* the yellow brick road
(because it leads to the land of Oz) and use Amibroker with an open
mind.
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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
> ----- Original Message -----
> From: MarkF2
> To: 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
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: am
iquote@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
> 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/
|