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<SPAN
class=918115318-21112003>hi steve, thanks for playing (:-). I wish I could hang
at the chat more, what an opportunity, but I just can't. still got that Real Job
thing...
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>first off, I *really* want to make sure I'm being clear
about why I'm talking about this at all. I'm hugely appreciative of your
efforts and ideas, and I'm not trying to pooh pooh them or catch you out.
I'm looking for mechanical systems I can prove to myself are profitable, ones I
have a reasonable expectation will do well going forward. I've looked at a lot
of stuff, and keep not finding consistent profits in there. obviously, I've got
some things to learn. *that* is what I'm looking for, not
one-upsmanship.
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>so in that spirit, here's the same QQQ StoRSI cross,
confirmed with TRIX(21) being above zero for long entries and below zero for
shorts. still trading at open the day after the signal, 1% commission/slippage
in a $50K account, no stops, either the 15 bar or 13% stops you've
mentioned.
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>'99 15.66 %
<SPAN
class=918115318-21112003>'00 32.29 %
<SPAN
class=918115318-21112003>'01 4.80 %
<SPAN
class=918115318-21112003>'02 -19.34 %
<SPAN
class=918115318-21112003>'03 1.03 %
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>as to whather backtests on older data mean much or not,
I'll leave that to more experienced folks to bicker over for now, but the most
recent results aren't anything to write home about. also the number of trades
goes down enough to be much less statistically real.
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>my conclusion is that unless my 1% commission/slippage
factor is the deal breaker, I must be doing something wrong in my testing.
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>the other possibility is that the StoRSI formula I'm
using is bogus. I'm certainly no tradestation expert, but it looks pretty
straightforward, and nobody corrected it when I posted it
here.
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>honest steve, I'm not trying to whine or be
disagreeable. I'm a student of the market, trying to learn, as hard I know how.
when people I respect suggest things, I listen, and test, and be honest
with myself about the results I see.
<SPAN
class=918115318-21112003>
<SPAN
class=918115318-21112003>dave
<SPAN
class=918115318-21112003>
<BLOCKQUOTE
>
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?dave
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