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Al,
I should of used: robustious, robustiousness,
robustiously. See what happens when you get a Detroit Public School
education. My next post will be in Ebonics.
Aleatory: are you sure this isn't a place
where they brew beer?
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=advenosa@xxxxxxxxxxxx
href="">advenosa@xxxxxxxxxxxx
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 31, 2003 10:21
AM
Subject: Re: [amibroker] Robustness (was
Robustivity)
Sorry, Steve, can't help myself. DT taught me a new word
this morning(aleatoric, although more properly it is aleatory), but
robustivity justdoesn't exist. It's robustness.
:-))))AVOriginal Message:-----------------From:
CedarCreekTrading <A
href="">kernish@xxxxxxxxxxxDate: Fri, 31 Oct
2003 10:09:37 -0700To: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] Robustivityam I missing
something?Dave,Sometimes it's tough to address issues and
provide the specifics that folksare seeking. So, I will try to
"splain" it better. If I am using the CMO5 with triggers of
34/-34, I would go back and start atest to evaluate this system and
triggers. The starting period would bewhatever date you pick (1990,
'97, 2000, etc.). Next, I run the test over 315 trading days
(this period gives me resultsfor approximately one year..it takes "x"
amount of periods to load theTRIX(21), which I use as a trend
identifier. My approach produces about 10to 15 round turn trades a
year... in each stock. I then rank all issues by one
criteria: percent return per day (while themoney is in the
market). If you only consider the percent per daycontributions, I
think you will find that all other "book learned" ratioscome out just
fine. Numbers lie. Would you rather trade a $100 stock
thatreturns $20 or a $20 stock that returns $10? Percent per goes a
long wayto normalizing the comparisons.I pick the 20 best percent
per day stocks and trade them for the nextquarter. At the end of the
quarter, I reevaluate the percentage per daycontributions and reshuffle
the issues in play, if necessary.Symtems don't go bad, stocks and
commodities go bad. Going bad is bestdefined by a change in the
pattern of supply and demand. The cream risesto the top of the
list. Is this optimizing? Could be, by some
definitions. If all the odds areeven money, who would you prefer to
bet on: Chicago or Kansas City? KC isundefeated and Chicago
couldn't beat the local high school. My money is onKC.The
stock betting setup is not handicapped (like almost all games).
Thisis basically a even money play (with subtractions for commission
andslippage...juice/vigorish). If you have 9,000 issues to play, why
won'tsomeone want to bet on the strongest performance?I know that
the explanation might be over simplified...but, the people whoknow me, in
and out of this forum, know that this is the way I do it. I'mnot
crusading for anything. This works. I've presented this
simplisticapproach publicly to large groups and in a number of internet
seminars. Itcontinues to crank out extraordinary profits. Please
let me know if the paragraphs help to explain the ranking.Take
care,Steve----- Original Message ----- From:
Dave Merrill To: amibroker@xxxxxxxxxxxxxxx Sent: Friday,
October 31, 2003 9:29 AM Subject: RE: [amibroker]
Robustivity steve, thanks for your response.
from your msg subject and the way you presented this system, I thoughtyou
were offering it as an example of one you had objectively evaluated
anddetermined to be robust. I was interested in how you thought
"robustivity"should be evaluated, since you seemed to be contrasting your
approach towalkforward optimization and the various other system measures
people weretalking about. what I'm hearing in your response
below isn't what I would describe as aspecific method for distinguishing
accidentally gorgeous backtest resultsfrom robustness. you do mention
testing also at faster time frames, whichisn't a technique that's been
mentioned recently. but mostly, therobustness label here seems to come
from your integration of variousaspects of your long experience with it,
like your visual sense of how itbehaves. am I missing
something? another question: you mention issue selection, the
idea of looking forstocks you think will trade well with a particular
indicator, rather thanthe other way around. how do you do that? by
measuring raw past growthtrading that indicator? other
measures? thanks again, 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 to define. I'll try to explain what's important to me, but,
it's very subjective andjust 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. Otherthan 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 1and 0,
which I'd guess are significantly different. what sort of testingled you
to decide on this period and threshold, and this system for
thatmatter? If you're referring to the CMO5...I
first started testing it six yearsago. I've tested and eyeballed
every version of CMO(x). I've created afew indicators that combines
different periods of the CMO. For my money,for my style, this judge
of momentum trades more things, more accuratelythan any other indicator I
am aware of. As I have begged many times: giveme something
better...I'll use it instead of this. 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 aid theirtiming.
because of the concepts behind the indicator
itself? I process visually. The math is beyond
me. My bottom line has alwaysbeen the same: give me an
indicator that is smooth, yet sensitive tointermediate and major market
turns. After gawking hundreds of charts,everyday, for the last six
years, I'm amazed at how this indicatorquantifies momentum. I like
versions of the Stochastic RSI and theStandard 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'sthat I showed were chosen because
they represent a broad range of stocksand are popular trading
instruments. Do I suggest trading these issueswith this
system? No way. The CMO5 trades a lot of other issues
withbetter results than the ETF's. I always allow the issues "to
pickthemselves". Trade the issues that return the greatest
percentages in astable system. In it's
stripped down version, as presented, the CMO5 is an indicatorthat can
return steady profits (see equity lines) in it's rawestunoptimized
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 than thedefault 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 anddemand, the approach should not
be expected to work on all issues. To saya system needs to work on
all issues is total crap. To say that a systemsucks
because it doesn't work on XYZ is another large pile. Build
simplethings and concentrate on issue selection.
Optimization leads to dark and spooky places. Ranking leads you
downthe yellow brick road. Take
care, Steve
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
andthresholds? that seems unlikely, since there isn't very far to go from
5 tohit 1 and 0, which I'd guess are significantly different. what sort
oftesting led you to decide on this period and threshold, and this system
forthat matter? is it robust because
it works well on many stocks, indexes and fundsover 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'mtrying to understand what kind of
process you go through to settle on asystem 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 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 systematic approach.Whistles and
bells are optional (but, in my opinion necessary). Again, ifyou
start with a pig, the prom dress doesn't make it look any better. Don't
hang ornaments on a twisted Christmas
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