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Mark,
Although I could agree that a bar chart with arrows on it is hardly a
measure of system performance per se and that beyond the arrows it
would be nice in situations like this to see an equity curve with the
associated statistics, I would still think ONE of the nine things
that you say you look at to decide whether or not some particular
system is robust is performance out of sample ... no ?
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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.
> > >
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