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Hi Phsst,
this helps; thanks...
using a large number of issues makes sense for your testing because I assume
you would consider trading any of those...
i'm just looking for a sensible approach to evaluating systems both for a)
optionable stocks/indices and b) QQQ
so far I conclude that, unfortunately, they are probably going to be
different systems
For example, my first reaction to Jayson's system (using the QQQs from their
inception in 1999 to date is forget it) (no offense, Jayson :) ) due to the
negative
'return on account'. But using my 2000 or so optionables, I got a small
positive
'return on account'.
What do you use, if not 'return on account', as a first-pass evaluator?
thanks again,
-john
----- Original Message -----
From: "Phsst" <phsst@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 24, 2003 10:43 AM
Subject: [amibroker] StoRSI... was Re: Robustness
> John,
>
> As I recall, Anthony's system focused upon QQQ test results, the same
> as Dave's.
>
> I failed to qualify my post with the caveat that I don't restrict my
> backtests to only one stock (I know that several folks do, but I just
> don't trust the validity of test results that are so limited in scope).
>
> So if you are trying to compare report-stat thresholds against the
> QQQ's, then I am not qualified to help you.
>
> So my recommendation for looking at Jaysons StoRSI code was based upon
> test results against hundreds or thousands of issues. This makes it
> pretty easy to eyeball the report stats and see if there is anything
> of interest there.
>
> I am not trading the StoRSI system. Rather I am tweaking it to get a
> feel for how it responds to various filters and conditions. Even
> though I have what I consider positive results that were achieved very
> quickly, I want to understand how any potential 'finished product' I
> come up with will react in many situations.
>
> Because of my early positive experience with the indicator, I thought
> it worth mentioning on the forum.
>
> I don't think this is what you wanted to hear, but I hope it helps.
>
> Regards,
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> > Hi Phsst,
> >
> > Can you share:
> >
> > a) what report-stat thresholds you looked at to conclude 'it showed
> > promise'
> > b) any other specific recomendations to make a first-cut
> evaluation on
> > any proposed system. For example, if I want to quickly compare Anthony's
> > system in Message # 52872
> > with Jayson's)
> > ?
> >
> > thanks
> >
> > -john
> > ----- Original Message -----
> > From: "Phsst" <phsst@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Sunday, November 23, 2003 8:37 PM
> > Subject: [amibroker] StoRSI... was Re: Robustness
> >
> >
> > > Sid, Owen & anyone else who is curious,
> > >
> > > I would suggest that you forget the StoRSI 8 8 3 code that Dave
> > > posted. (I never saw or heard CedarCreekTrading's recommendations
> > > regarding this trading system).
> > >
> > > Instead, you might want to take a look at the StoRSI code that Jayson
> > > provided in Message # 52370.
> > >
> > > Add your trade delays, initial equity, positionsize, positionscore,
> > > other personal preferences for backtesting (including watchlist, etc.)
> > > and other filters that make sense to you.
> > >
> > > I don't promise anything, but in my backtesting it showed promise
> > > almost 'out of the box', plus it has the graphic support in IB for
> > > fine tuning.
> > >
> > > (Be sure to email me and Jayson if you find the Grail <g>). (((( AND
> > > DON'T COME CRABBING IF YOU DON'T FIND THE GRAIL... OK? ))))
> > >
> > > And as far as Robustness is concerned... robustness is in the eyes of
> > > the beholder! (No more complicated than that)
> > >
> > > Regards,
> > >
> > > Phsst
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx> wrote:
> > > > Too much tongue in cheek...what are you trying to say here?
> > > > Sid
> > > >
> > > > At 10:32 PM 11/23/2003 -0500, you wrote:
> > > >
> > > > >Sidney Kaiser wrote:
> > > > >
> > > > > > Steve K's system is not a system at all but rather an idea that
> > > needs to
> > > > >be
> > > > > > fleshed out to turn it into a money maker. I made a few passes
> > > at it and
> > > > > > never discovered the appropriate additions to turn it into a
> > > winner, so I
> > > > > > can understand Dave M's frustration with his attempts to wring
> > > some profit
> > > > > > out of the idea.
> > > > >
> > > > >[Keep trying. It's not that hard.]
> > > > >
> > > > >Er, scratch that. It's impossible. Forget you ever read it.
> > > > >
> > > > >Owen Davies
> > > > >
> > > > >
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