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Hi Jayson,
May I ask a potentially controversial question without
offending you? I'm always mystified by the confidence
level of you discretionary traders... How exactly do
you guys estimate your Max System % DD for next year?
Is it purely based on what you've been experiencing
over last few years?
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> John,
> You are asking the wrong guy. I do not trade systems, I trade
stocks. I find
> some markets behave better using various indicators at given
periods of
> time. I am a discretionary trader who has yet to find any
semblance of a
> system that I would feel comfortable trading real money on.....
which is not
> to say that you or others have.
>
> Regards,
> Jayson
> -----Original Message-----
> From: john gibb [mailto:jgibb1@x...]
> Sent: Monday, November 24, 2003 8:08 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] StoRSI... was Re: Robustness
>
>
> thanks for the feedback, Jayson.
>
> What are the bare minimum requirements for a 'system', in your view?
>
> -john
> ----- Original Message -----
> From: Jayson
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, November 24, 2003 4:40 PM
> Subject: RE: [amibroker] StoRSI... was Re: Robustness
>
>
> No apology needed...it is not a system at all... but an indicator
that I
> routinely use (as well as others) to help me determine entry and
exit points
>
> Regards,
> Jayson
> -----Original Message-----
> From: john gibb [mailto:jgibb1@x...]
> Sent: Monday, November 24, 2003 6:56 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] StoRSI... was Re: Robustness
>
>
> 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@xxxx>
> 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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