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I learnt to follow it regardless how much of a
drop a stock can drop.
Good luck Joe,
NTES was a piece of garbage one year ago: trading
at $1.90. It could go back to that level. Why don't you test your
system on Pork Bellies and report back.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=run_for_your_life2003@xxxxxxxxx
href="">Joe
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 31, 2003 11:16
PM
Subject: [amibroker] Re:
Robustivity
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 BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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