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Mark,
You've missed the entire spirit of the
presentation. If you have a better momentum oscillator, that identifies
short-term swing trades, lay it on us. If you have a ten or twenty point
evaluation of what the definition of robust might be...lay it on us. If
you have a chart or a track record for your style or approach...again, bless us
with the details.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
MarkF2
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 31, 2003 10:43
AM
Subject: [amibroker] Re:
Robustivity
Steve,No *you're* missing the point. You
posted a system "This exact systemwas 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,
moreaccurately than any other indicator I am aware of." If that's
notsaying it's robust, I don't know what is. I'm saying that it is
*notrobust* by any measure I'd use.I agree that issue selection is
critically important but it can alsobe used as a crutch to support weak
systems. Wouldn't you ratherapply it to a robust approach? In
my opinion, the greatest*technical* challenge in trading is
nonstationarity. Robustness isone of my best tools for dealing with
that.On the Ryan Jones thing, *please*. Go back and read my
original postand don't mischaracterize what I wrote. Hey -- did you
hear thatMyron Scholes (Black-Scholes option pricing model) was part of
LTCMwhen it blew up? Guess we need to toss out everything he's
evertouched 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 wanta 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 openmind.Regards,Mark--- In
amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading"
<kernish@xxxx>wrote:> Mark,> > You're missing
the point Dude. There are a lot of things morerobust...like "way
more". Issue selection is the most importantpoint (if the
system is robust, a system should trade hundreds ofissues with positive
expectency). Do you have a robust approach thatworks on grains,
metals, interest rates, equities and indexes? Haveyou traded it for
the last ten years? > > I just wanted to post
something that was simple (those that complainabout "mechanical systems
don't work" and for those that want toover-optimize). I guess the
question becomes: Is Ryan Jones approach"sound"? Hey it must
be, Larry Williams endorses his book on everywebsite I've seen.>
> How about flashing one robust approach...show us the
code...andallow 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 allnine> of my robustness tests.
There's a lot out there that's simplerand> *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'svery>
subjective and just one person's opinion. > >
> > is it because results are similar with different
similarperiods 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 decentresults. > Other than that, it
trades through time-zones with very goodresults.> >
> > 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 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 theCMO. > For my money, for my style, this
judge of momentum trades morethings,> more accurately
than any other indicator I am aware of. As I have>
begged many times: give me something better...I'll use itinstead
of> this.> > >
> is it robust because it works well on many stocks, indexes
andfunds> over a long period of time?
> > > > Yes, it works well on many
stocks and indexes. I don't tradefunds,> but,
some fund managers, DTG members, use versions of the CMO
toaid> 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 amazedat> 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
broadrange> of stocks and are popular trading
instruments. Do I suggesttrading> these issues
with this system? No way. The CMO5 trades a lot
of> other issues with better results than the ETF's.
I always allowthe> 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)
init's> rawest unoptimized form. Is that
robust? > > > > Robustness
and optimizing/over-optimizing are fascinating and>
misunderstood subjects. Over the years, I've constantlysimplified
my> approaches. I can improve on the results of the
three ETF's bysimply> "tweaking" the trigger
levels. But, will it walk forward betterthan> the
default triggers of 34/-34? At least what I presented wasout
of> sample. > >
> > If an approach does a good job of identifying
movement ofsupply and> demand, the approach should not
be expected to work on allissues. To> say a
system needs to work on all issues is total crap. To
saythat> a system sucks because it doesn't work on XYZ
is another largepile. > 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
similarperiods> and thresholds? that seems unlikely,
since there isn't very farto go> from 5 to hit 1 and 0,
which I'd guess are significantlydifferent.> what sort
of testing led you to decide on this period
andthreshold,> 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 testedyet.> I'm trying to
understand what kind of process you go through
tosettle> 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 whenthe>
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 dressdoesn't> make it look any
better. Don't hang ornaments on a
twistedChristmas> tree.> >
> >
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