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No, a brewery is not an aleatory since aleatory is an adjective; rather, it
is ζυθοποιείο in Greek, Brauerei in German, fabbrica di birra in Italian,
fábrica de cerveza in Spanish, but unfortunately, I cannot please TJ because I
don't know what it is in Polish. But please spare me the Ebonics!
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=kernish@xxxxxxxxxxx
href="">CedarCreekTrading
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 31, 2003 4:17
PM
Subject: Re: [amibroker] Robustness (was
Robustivity)
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
tree. Yahoo! Groups
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