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<FONT face=Arial color=#0000ff
size=2>Jitu,
I
guess yes, a system in that I do use signals but no in the fact that I do not
always take my signals. Example; Perhaps I have a stock that tends to respect
raff channels. I hand draw the channel and fit it to the last trend. Could I
code a signal that shows a bounce off a line? Perhaps but does the code show the
best time frame to draw the study? Does 50 bars work best now and did 50 bars
work best 2 years ago. Is a width of .75 best now and was it best 5 years ago?
Now I see my stock bouncing off the lower band. In a system perhaps this would
be a signal but I notice a stock that is in the same sector is floundering a bit
at the open and I know that another stock is announcing earnings after the bell.
If that stock tanks it could perhaps bring down the whole sector and my stock as
well. Oh and consumer confidence reports today at 10:30 should I buy the open or
wait to see the markets reaction to that news?
<FONT face=Arial color=#0000ff
size=2>
The
point is that I am free to factor in all this information prior to pulling the
trigger. In a system, by definition, I am not. Do I test? Sure I may test and
optimize the simple StoRSI system that I posted to find if a: the signals
hold any promise over time, b: a particular stock respects the signals and
c: what settings it has been respecting most lately. If that indicator tests
well then I plop it down on a chart as well as other indicators that tell me
something different. I like SToRSI but I also like DMI to see if the
momentum has been consolidating and is now ramping up as well. I use Raff
channels daily but also look for flags, pennant and triangles. The chart
patterns may tell me something about the trader psycology currently affecting
the stock. A flag or pennant after a good run may be just a pause and an
opportunity to get back in or add to a position but what constitutes a "Good
run"? For me, at least, there are simply too many variables to factor in
to write a system that I could follow. I stare at charts every day, I know a few
charts very well. I can "Feel" when they are trying to fool me and I have no
clue how to code that feel...... I am not saying this is correct just that it
works for me. Many would find the flexibility crushing, find that the
alternatives lead to "Paralysis of analysis". To each his own
:)
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: jtelang
[mailto:jtelang@xxxxxxxxx]Sent: Tuesday, November 25, 2003 10:11
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
StoRSI... was Re: RobustnessAll 3 answers to my
question (by you, Graham, and Yuki) soundsimilar... But what I feel is that
although you don't like tocall it system trading, it's still a "system", no?
It's justin your mind, and may be dynamic. So couple of follow-up
q's... Do you not backtest, period?Do you not convert all your thoughts into
system (code) andbacktest it because you find it hard to program, or is it
becausethere're just too many different plays you make in the
market(based on it's state) and those plays keep constantly evolvingyear
after year? WRT latter part of the question, for example,did you make any
plays this year that were sort of "brand new",which you had never made
before? I realize your state being "I dothis daily without any system and
consistently make good money, so why bother", but it seems to me that
backtesting a new thoughtor a style based on certain condition would always
be a betterapproach, especially if you can find those patterns in the
past.BTW, I'm not saying one is better than the other. I
personallyjust don't have a choice since I'm fairly new to active
trading.And given my programming background, it just leaves me no
choicebut to test an idea out first... Perhaps with experience thatwill
change, but right now that sounds like a safer approach toavoid getting
busted in the game. :-)Jitu--- In amibroker@xxxxxxxxxxxxxxx,
"Jayson" <jcasavant@xxxx> wrote:> Jitu,> > 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...> > 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"> > If system
trading suites you then great. I wish you the very best......It>
scares the living bejesus out of me.> > Regards,>
Jayson> -----Original Message-----> From: jtelang
[mailto:jtelang@xxxx]> Sent: Monday, November 24, 2003 11:30 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@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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