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What's your meaning Chuck?
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> hhmm.... interesting. Same style of writing and same ISP as....
no, must
> be coincidence.
> -----Original Message-----
> From: Phsst [mailto:phsst@x...]
> Sent: Saturday, November 01, 2003 1:55 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Robustivity
>
>
> >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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