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>A waterfall drop in this stock this last week and a lot of
divergences. Most systems will most likely fail! Take your 315 trading
days and see the results are any good. >
Joe,
Instead of anticipating why "most other systems" would have failed on
NTES, why don't you tell us how your system picked up on this great
opportunity. That might be a little more productive, don't you think
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Joe" <run_for_your_life2003@xxxx>
wrote:
> NTES is a good example to "test your system" to see how robust your
> system really can function. A waterfall drop in this stock this last
> week and a lot of divergences.
> Most systems will most likely fail! Take your 315 trading days and
> see the results are any good.
>
> I just went "long" today on this stock...my system gave me a "buy".
> I learnt to follow it regardless how much of a drop a stock can drop.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
> wrote:
> > Steve,
> >
> > Thanks for the "splaining"....
> >
> > Anthony
> > ----- Original Message -----
> > From: CedarCreekTrading
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, October 31, 2003 12:09 PM
> > 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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