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Mark,
As one of the well-known traders who hangs out on this
board told me in a private email exchange -- beware of
sharks in these waters. They're everywhere.
I happen to take that advice seriously. Clearly, you are
NOT one of them, but at the same time, there're a number
of them always hanging out on different forums, who claim
things/systems/results, and never ever answer a question
directly. Only claims.
People like Steve K (and many others I don't need to name,
you know who you are) properly jump on such folks who have
an agenda behind their posts. Most of the times, the agenda
is to sell me some dreams and take some of my money in return.
I myself don't get fooled so easily, but countless others
spend their dollars on such BS.
I wouldn't like to get into the war of words you're having
with Steve, since both of you seem like respectable traders
from whom some of us newbies could learn something, but at
the same time, I am grateful to people like Steve who not only
share their philosophies with us without an agenda, but also
actively try to point out the sharks in these waters. Sometimes,
that means aggressively asking someone to back up their claims,
and more often than not, the shark gets positively identified.
Joe, this is not a jab at you either. I'm just pointing out
what I find valuable in these kinds of questions.
Be cool.
Jitu
--- 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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