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Steve,
You just express the deterministic part of T/A.
[joined with robustness arguments or not]
It doesn´t mean it is the only interesting part of T/A.
You will see the next few days the aleatoric procedure applied to
your [deterministic] CMO5/34 example and you will have the results
for the comparison.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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
> ----- Original Message -----
> From: advenosa@xxxx
> To: 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 just
> doesn't exist. It's robustness. :-))))
>
> AV
>
> Original Message:
> -----------------
> From: CedarCreekTrading kernish@xxxx
> Date: Fri, 31 Oct 2003 10:09:37 -0700
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Robustivity
>
>
> am I missing something?
>
> Dave,
>
> Sometimes it's tough to address issues and provide the specifics
that folks
> are 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 a
> test to evaluate this system and triggers. The starting period
would be
> whatever date you pick (1990, '97, 2000, etc.).
>
> Next, I run the test over 315 trading days (this period gives me
results
> for approximately one year..it takes "x" amount of periods to
load the
> TRIX(21), which I use as a trend identifier. My approach
produces about 10
> to 15 round turn trades a year... in each stock.
>
> I then rank all issues by one criteria: percent return per day
(while the
> money is in the market). If you only consider the percent per day
> contributions, I think you will find that all other "book
learned" ratios
> come out just fine. Numbers lie. Would you rather trade a $100
stock that
> returns $20 or a $20 stock that returns $10? Percent per goes a
long way
> to normalizing the comparisons.
>
> I pick the 20 best percent per day stocks and trade them for the
next
> quarter. At the end of the quarter, I reevaluate the percentage
per day
> contributions and reshuffle the issues in play, if necessary.
>
> Symtems don't go bad, stocks and commodities go bad. Going bad
is best
> defined by a change in the pattern of supply and demand. The
cream rises
> to the top of the list.
>
> Is this optimizing? Could be, by some definitions. If all the
odds are
> even money, who would you prefer to bet on: Chicago or Kansas
City? KC is
> undefeated and Chicago couldn't beat the local high school. My
money is on
> KC.
>
> The stock betting setup is not handicapped (like almost all
games). This
> is basically a even money play (with subtractions for commission
and
> slippage...juice/vigorish). If you have 9,000 issues to play,
why won't
> someone want to bet on the strongest performance?
>
> I know that the explanation might be over simplified...but, the
people who
> know me, in and out of this forum, know that this is the way I do
it. I'm
> not crusading for anything. This works. I've presented this
simplistic
> approach publicly to large groups and in a number of internet
seminars. It
> continues 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
thought
> you were offering it as an example of one you had objectively
evaluated and
> determined to be robust. I was interested in how you
thought "robustivity"
> should be evaluated, since you seemed to be contrasting your
approach to
> walkforward optimization and the various other system measures
people were
> talking about.
>
> what I'm hearing in your response below isn't what I would
describe as a
> specific method for distinguishing accidentally gorgeous backtest
results
> from robustness. you do mention testing also at faster time
frames, which
> isn't a technique that's been mentioned recently. but mostly, the
> robustness label here seems to come from your integration of
various
> aspects of your long experience with it, like your visual sense
of how it
> behaves. am I missing something?
>
> another question: you mention issue selection, the idea of
looking for
> stocks you think will trade well with a particular indicator,
rather than
> the other way around. how do you do that? by measuring raw past
growth
> trading 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 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
>
> 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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