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Steve,
Apparently the Detroit schools you speak so fondly of gave you a
permanent learning disability, so if you don't understand this
*again*, please have someone explain it to you: I have *nothing* to
prove to anyone, *least of all to you*. As I wrote to DT, I will
provide more details (on my robustness criteria), and in this forum.
And yes, I do have better systems and also a track record. But I'll
share what I care to here. And if you or someone else doesn't like
that, I couldn't care less. Gotta go, there's that doorbell again...
Have a great evening!
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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
> ----- Original Message -----
> From: MarkF2
> To: 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
system
> was 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, more
> accurately than any other indicator I am aware of." If that's not
> saying it's robust, I don't know what is. I'm saying that it is
*not
> robust* by any measure I'd use.
>
> I agree that issue selection is critically important but it can
also
> be used as a crutch to support weak systems. Wouldn't you rather
> apply it to a robust approach? In my opinion, the greatest
> *technical* challenge in trading is nonstationarity. Robustness
is
> one of my best tools for dealing with that.
>
> On the Ryan Jones thing, *please*. Go back and read my original
post
> and don't mischaracterize what I wrote. Hey -- did you hear that
> Myron Scholes (Black-Scholes option pricing model) was part of
LTCM
> when it blew up? Guess we need to toss out everything he's ever
> touched 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
want
> a 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
open
> mind.
>
> Regards,
>
> Mark
>
> --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading"
<kernish@xxxx>
> wrote:
> > Mark,
> >
> > You're missing the point Dude. There are a lot of things more
> robust...like "way more". Issue selection is the most important
> point (if the system is robust, a system should trade hundreds of
> issues with positive expectency). Do you have a robust approach
that
> works on grains, metals, interest rates, equities and indexes?
Have
> you traded it for the last ten years?
> >
> > I just wanted to post something that was simple (those that
complain
> about "mechanical systems don't work" and for those that want to
> over-optimize). I guess the question becomes: Is Ryan Jones
approach
> "sound"? Hey it must be, Larry Williams endorses his book on
every
> website I've seen.
> >
> > How about flashing one robust approach...show us the code...and
> allow 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
all
> nine
> > of my robustness tests. There's a lot out there that's
simpler
> and
> > *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'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
> > >
> > >
> > > ----- 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 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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