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Sorry,
after I sent it I realised that you might think I was talking about
you. I wasn't. So, that means I must have been talking
about someone else.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, November 01, 2003 2:37
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
RobustivityWhat'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@xxxx]> 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
candrop.> >>
>> >> > --- 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 ofperiods
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
thepercent> > 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 thepercentage> > per day contributions
and reshuffle the issues in play, ifnecessary.> >
>> > > 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 theranking.> >
>> > > 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 hadobjectively> > 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 thevarious> > 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 longexperience> > 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'ttrade> > 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
ofall,> > 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 arefascinating 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 workon
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 logicalsystematic> >
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
twistedChristmas> > tree.> >
>> > >> >
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