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Dave,
I think the analytic STORSI example just posted answers many of your
questions.
The system was an example how to use STORSI, it was not the best
STORSI system, it was not the best QQQ system and, finally, it was
not a trading suggestion.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> One further related question: You mention that this is "tuned to
the bearish
> environment". Do you have an indicator that helps you know
quantitatively
> when we're no longer in a bearish environment?
there is an interesting answer [among many others...]. Take a look at
the equity curve of this system. It is a very good trend indicator.
It goes up, when the market goes down and refuses to follow the
bullish mood of the last year or so !!
This is an interesting method for me.
I have designed some systems and watch their performance. They were
very interesting until Sept2002 and, since then, they have a slow but
constant loss rate. The first impression was ah ! this system is not
good, it is not an all-time blind profit machine, it will never be a
grail etc, etc. We often read similar comments in this list and I
really wonder if these comments are serious or not. Give a second
chance, take another closer look and you will probably see that
a "non-robust" system Equity may be an interesting trend indicator.
The more "non-robust" the better. In this way, you may find out a
really contrarian system, the pros here will post quick and sharp
comments about the validity of the system, but, they always sing the
same song, as if they press every member to post here an all-time
profitable system [what for ???] and it is better to look [and take
care] what you´ve got, except if you don´t agree that the systematic
anti-holy-grail is much better than the [non-existing] holy grail.
This STORSI variation [and not only this] have this charm to show you
the market changes through their [non-robust] Equity curve.
I hope it will throw a light in this untrodden area...
Dimitris Tsokakis
> Thanks,
>
> dave
> Dimitris, thanks for the ideas, I'll check it out. Besides a QQQ
trading
> vehicle, I'm interested in the smoothing method you chose, and also
your
> trend qualifier.
>
> Just out of curiosity, what commission settings do you use? I'm
at 1%,
> which is my usual, but if that's too stringent in this context,
maybe that's
> why my initial results with this, and other things I've tried,
aren't as
> spectacular.
>
> I know some of what I'm about to ask has been discussed here in
general,
> but let me ask it in this specific context anyway: There are a
number of
> parameters here, either adjustable or built into the code. If we
wanted to
> optimize for better performance in the current environment, what
test period
> would you think would translate well to the future? Going forward,
when
> would you think you'd want to optimize again? How would you suggest
we
> distinguish a beautiful curve fit over the test period from
settings likely
> to perform well in the future?
>
> Please don't take those questions as anything other than what
they are, a
> sincere desire to learn.
>
> Dave
> Dave,
> It would be interesting to make your own study on the STORSI.
> Here is an example for QQQ.
> It was tuned to the bearish environement, the peak of the
Equity is
> very close to the change of the trend.
>
> // A STORSI example for QQQ
> SetBarsRequired(1000,1000);
> function IIR2( input, f0, f1, f2 )
> {
> result[ 0 ] = input[ 0 ];result[ 1 ] = input[ 1 ];
> for( i = 100; i < BarCount; i++ )
> {
> result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2 *
result
> [ i - 2 ];
> }
> return result;
> }
> x=DEMA(RSI(10),10);t=20;
> C1=100*(x-LLV(x,t))/(HHV(x,t)-LLV(x,t));Plot(C1,"STORSI",1,1);
> K=0.4;
> RD=IIR2( C1, 0.3, 1.6, -0.9);// SMOOTHED STOCHRSI
> Plot(RD,"["+WriteVal(10*K,1.0)+"]",4+10*K,1);
> TREND=LinearReg(DEMA(C,20),30);// TREND QUALIFIER
> Plot(TREND,"TREND",4,styleOwnScale);
> BLEVEL=Optimize("BL",-19,-30,-10,1);Plot(BLEVEL,"BLEVEL",1,1);
> SLEVEL=Optimize("SL",49,40,60,1);Plot(SLEVEL,"SLEVEL",1,1);
> Buy=Cross(RD,BLEVEL);Sell=Cross(RD,SLEVEL);
> Short=Cross(RD,SLEVEL) ;Cover=Buy;
>
> It is a good point to start and tune it to the present
conditions,
> add trend characteristics [I have added a TREND function, you
may
> select yours] etc.
> From June2000 till now, no losing combinations, affordable
drawdowns
> [less than 40%] and very good behavior when the bears define the
> game...
> Better than +350%, winners/losers ~2/1, not bad at all for QQQ.
> Of course it is not the only QQQ vehicle, it is just an example
to
> begin with.
> Dimitris Tsokakis
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