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<FONT face=Arial color=#0000ff
size=2>hhmm.... interesting. Same style of writing and same ISP
as.... no, must be coincidence.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, November 01, 2003 1:55
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Robustivity>A waterfall drop in this stock this
last week and a lot ofdivergences. Most systems will most likely fail!
Take your 315 tradingdays and see the results are any good.
>Joe,Instead of anticipating why "most other systems" would
have failed onNTES, why don't you tell us how your system picked up on
this greatopportunity. That might be a little more productive, don't you
thinkPhsst--- 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.> > > > > > Send
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