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[amibroker] Re: Let's all trade ENRON



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I expect NTES it to get to that level the near future down to 
$.65 ....I'm just a trader or a risk taker and have followed my 
system religiously for the past number of years. Yes, every system 
gets loses on the way as long as you can sleep on it.

I trade anything that moves! That includes Pork Bellies...
If it doesn't move I don't trade it.

--- 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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