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Steve,
Could you have made your point without trying to publicly put this guy
down and without speaking to him as if he's a subordinate "Why don't
you test your system on Pork Bellies and report back"? Did he address
you disrespectfully first? If not, then why take that tone? Do you
think that makes this a better board?
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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
> ----- Original Message -----
> From: Joe
> To: 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.
> >
> >
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