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Dave,
I'm watching. The QQQ and StoRSI relationship
was presented, again, last night at a DTG meeting in Denver (120 traders).
The spirit of the indicator, triggers, and presentations were to present
momentum oscillators as a positioning indicator to trigger you into
trades.
As I suggested in the public meeting: If you
test it straight up....you will be taking many contra-trend positions (which is
not my style...I use some type of trend identification/qualifier with all my
trades).
So, Dave, I would suggest retesting with your
favorite definition of "trend" and I believe you might get better results.
Secondly, the only reason I presented the trigger levels of 13 and 87 is because
two years ago (at this forum and in public presentations) I presented Exactly
(with a capital E) the same ETF: QQQ, the same indicator and the same trigger
levels.
Now in my book, the entire year has been
OOS. When I presented this, the last four times in public, I caught
big time flack from the genius system testers (many that have never bought or
sold a share of stock). They complained that the results sucked for certain
periods. Of course, they ran their tests without any
filters. And, the sharpest criticism came from the non-trading
academics.
I will continue to flash this indicator, ETF,
triggers to the public. It's been cranking OOS since the day I presented
it. It's my very opinionated, self-absorbed view that says: OOS from
ancient history is very over-rated. Let's continue to monitor the progress
of this approach in the only real OOS (the future). And, please, for all
that may pooh-pooh an approach that was posted over a year ago, please post any
approach for this forum to monitor. The test is the future...not some
historical aberrations that people insist on testing.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 21, 2003 9:22
AM
Subject: [amibroker] any karnish watchers
out there? QQQ-StoRSI confirmation
if you've been checking out the Uncle Steve Live show on
Paltalk (Businessand Finance/Teach-Talk-Trade), he's been talking up
StoRSI(8, 8, 3) as a wayto trade QQQ. I don't want to argue with him, but
I don't get great orconsistent results with it, so I wanted to check my
results and AFL withsomeone else.here are my QQQ StoRSI results,
trading at next day's open w 1%commission/slippage, no
stops:99: 0.25 %00: 106.15 %01: -38.58 %02:
-37.47 %03: 21.29 %here's the code I used; please
confirm that too:r = RSI(8);StoRSI = EMA( (r - LLV(r, 8) ) / (
(HHV(r, 8) ) - LLV(r, 8) ), 3) * 100;buy = cover = Cross(13,
StoRSI);sell = short = Cross(StoRSI, 87);(ideally, you'd add to
your position each time you got another cross w/o anintervening reverse
signal. can't do that in AB, so I didn't.)is this what others see?
is the AFL correct? any other comments orcorrections? what's wrong w this
picture?daveSend
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