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Jitu,
Thanks for your comments. I'm an in-your-face kind of guy but would
much prefer constructive debate *without* personalities or camps of
followers or groupthink. Because that's the best environment for
sharing and discussing IMO. I know that the better the environment the
more I'm willing to share. And if I'm wrong about something I'll
admit it in a heartbeat (as I do with the markets every day). Let's
see how the discussion on my first robustness post goes.
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> 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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