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Steve,
Go do some research on your website!
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> Mark,
>
> > Most systems will most likely fail! Take your 315 trading days
> and
> > 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?
>
> 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
> ----- Original Message -----
> From: MarkF2
> To: 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 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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