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[amibroker] StoRSI... was Re: Robustness



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You wouldn't? Perhaps "estimate" was a wrong word, but you
wouldn't want to know what kind of drawdown to expect next
year based on your trading style?

Jitu

PS: It's ok to flame me directly. I won't get offended. 
Intelligent debates are healty and helpful to everyone, IMHO. :-)

--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> Jayson, why would you want to estimate next years drawdown?
> I too am mostly discretionary, or at least not reliant on 
mechanical systems
> for trade signals. 
> 
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia 
> 
> -----Original Message-----
> From: jtelang [mailto:jtelang@x...] 
> Sent: Tuesday, 25 November 2003 12:30 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] StoRSI... was Re: Robustness
> 
> 
> 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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> > 
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