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Mark,
> Most systems will most likely
fail! Take your 315 trading daysand > see the results are
any good.
"This guy" asked me to prove my approach on NTES, I
simply asked him to prove his (yet to be disclosed) approach on Pork
Bellies. Turn around is fair play.
Don't you have something better to do? Like:
answering the repeated requests from the forum to post your ideas on what's the
definition of robust.
There are scores of
folks, on forums, that I have helped wade through the technical garbage that is
written, sold and distributed. All for free, nothing asked in return. Who
have you positively influenced in recent (or lifetime) history?<FONT
face=Arial size=2>
So, continue to "jump in my shit", at every
opportunity, and you will accomplish your short-term goal: making sure
that I will no longer help anyone (publicly) on the AB forum.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
MarkF2
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, November 01, 2003 9:31
AM
Subject: [amibroker] Re: Let's all trade
ENRON
Steve,Could you have made your point without trying
to publicly put this guydown and without speaking to him as if he's a
subordinate "Why don'tyou test your system on Pork Bellies and report
back"? Did he addressyou disrespectfully first? If not, then
why take that tone? Do youthink 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 candrop.> > Good
luck Joe,> > NTES was a piece of garbage one year ago: trading
at $1.90. Itcould go back to that level. Why don't you test
your system on PorkBellies 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 robustyour > system really can function. A
waterfall drop in this stock thislast > week and a lot
of divergences. > Most systems will most likely fail! Take
your 315 trading daysand > 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 thespecifics >
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 goback > and
start a test to evaluate this system and triggers. Thestarting
> period would be whatever date you pick (1990, '97, 2000,
etc.). > > > >
Next, I run the test over 315 trading days (this period givesme
> results for approximately one year..it takes "x" amount
ofperiods to > load the TRIX(21), which I use as a
trend identifier. Myapproach > produces about 10
to 15 round turn trades a year... in eachstock. >
> > > I then rank all issues by one
criteria: percent return perday > (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 yourather > 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 forthe
> 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. Goingbad > 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 allthe > odds are even
money, who would you prefer to bet on: Chicago or >
Kansas City? KC is undefeated and Chicago couldn't beat thelocal
> 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 subtractionsfor >
commission and slippage...juice/vigorish). If you have 9,000issues
> to play, why won't someone want to bet on the
strongestperformance?> > >
> I know that the explanation might be over
simplified...but,the > people who know me, in and out
of this forum, know that this isthe > way I do
it. I'm not crusading for anything. This works. I've
> presented this simplistic approach publicly to large
groups andin a > number of internet seminars. It
continues to crank outextraordinary > 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
thissystem, I > thought you were offering it as an
example of one you hadobjectively > evaluated and
determined to be robust. I was interested in howyou >
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 seemsto
> 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 gofrom 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 testingit > six years ago. I've
tested and eyeballed every version ofCMO(x). >
I've created a few indicators that combines different periods ofthe
> CMO. For my money, for my style, this judge of
momentum tradesmore > 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 theCMO > to aid
their timing. > > >
> because of the concepts behind the
indicator itself?> > >
> I process visually. The math is
beyond me. My bottomline > 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
amazedat > 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 abroad > range of stocks and are popular
trading instruments. Do Isuggest > trading these
issues with this system? No way. The CMO5 tradesa
> lot of other issues with better results than the
ETF's. I always > allow the issues "to pick
themselves". Trade the issues thatreturn > the
greatest percentages in a stable system. > >
> > In it's stripped
down version, as presented, the CMO5 isan > indicator
that can return steady profits (see equity lines) init's
> rawest unoptimized form. Is that robust?
> > >
> Robustness and
optimizing/over-optimizing are fascinatingand >
misunderstood subjects. Over the years, I've constantlysimplified
> my approaches. I can improve on the results of the
three ETF'sby > 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 onall
> 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 XYZis > another large
pile. Build simple things and concentrate on issue >
selection.> > >
> Optimization leads to dark and spooky
places. Rankingleads > 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 differentsimilar > periods and thresholds?
that seems unlikely, since there isn'tvery > far to go
from 5 to hit 1 and 0, which I'd guess aresignificantly
> different. what sort of testing led you to decide on this
periodand > 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 agoat > this
forum>
> 2. The
charts are OOS (since, it's been postedpublicly >
forever)>
> 3.
Rules are simple: Buy the opening of the nextday
> 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 dressdoesn't > make it look any better.
Don't hang ornaments on a twistedChristmas >
tree.> > > > >
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