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<FONT face=Arial color=#0000ff
size=2>Jitu,
<FONT face=Arial color=#0000ff
size=2>
The
shear volume of posts here promoting the need to test over thousands of stocks,
versus test over a select few stocks, test in and out of sample, test optimized
versus non optimized, test step forward versus recent horizon, Test 10
years of data versus a few, not to mention the thousands of posts promoting this
metric versus that metric as being the important things to look at and the
double edged sword of Optimized versus curve fitting lead me to believe there is
no true way to estimate with confidence any of it going forward, We can however
determine what has occurred in the past, and in theory we can learn from the
past...
<FONT face=Arial color=#0000ff
size=2>
I do
not attempt to estimate a max system % DD for next year because I do not know
what the market will be doing next year. If it trends I will play stocks one way
if it consolidates I will play them another. At any given point in time I may
have an opinion of the state of the market and of the stocks I prefer to trade
but I may just as likely have no opinion. When I feel confident in my opinion
I trade, when I am confused I sit on the side. I limit my losses by
cutting them short when they go against me early in the trade. I leave money on
the table sometimes by doing this but I sleep well because of it. In my heart of
hearts I know I could never follow a system. If my testing shows I will make
oodles of money in the long run but I have to sit through a scary DD in theory I
can follow it but in practice I know if I am in a $20,000 position that is 15%
in the crapper I will bail and I know that even if the system says I will not
suffer more than X number of losses in a row that I will hesitate to plunk down
another 20k on the next signal. I will never take all the signals and so all my
testing is for naught because the big trade that made the difference will
undoubtedly be the "One that got away"
<FONT face=Arial color=#0000ff
size=2>
If
system trading suites you then great. I wish you the very best......It scares
the living bejesus out of me.
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: jtelang
[mailto:jtelang@xxxxxxxxx]Sent: Monday, November 24, 2003 11:30
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
StoRSI... was Re: RobustnessHi Jayson,May I ask
a potentially controversial question withoutoffending you? I'm always
mystified by the confidence level of you discretionary traders... How
exactly doyou guys estimate your Max System % DD for next year?Is it
purely based on what you've been experiencingover 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@xxxx]> 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@xxxx]> 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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