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As the english language is a dynamic thing,
(some) Older terms & words fade away to oblivion, & New words make their
way in.
<MSG>
At 02:17 PM 31/10/2003 -0700, you 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: <mailto:advenosa@xxxxxxxxxxxx>advenosa@xxxxxxxxxxxx
>To: <mailto:amibroker@xxxxxxxxxxxxxxx>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 <mailto:kernish@xxxxxxxxxxx>kernish@xxxxxxxxxxx
>Date: Fri, 31 Oct 2003 10:09:37 -0700
>To: <mailto:amibroker@xxxxxxxxxxxxxxx>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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