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Graham/Yuki,
Thanks for your responses... My takeaway from all of your answers
is two things -
1. You find your trading styles too dynamic and complex to
code. Like I said earlier, I'd probably agree on that part,
although not on the fact that it's impossible (with some
exceptions).
2. You have enough experience and confidence to not worry
about coding it, and can consistently make money with your
discretionary skills.
I suspect that many traders think that way, but end up busted,
and am glad that you're the lucky ones who have really turned
out to be smart enough to successfully do it. (No pun intended.)
I, for one, don't have #2 under my belt yet. May be someday I
will, although given my nature, I somehow think that I'll
always rely on system trading... :-)
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> Jitu
> I have a set of requirements for entry/exit. I have tried in the
past to put
> these into code, but as yet unsuccessful. I do use some
explorations to help
> with this, but they are not strictly mechanical signals to be
followed
> blindly.
> Intuitive, or descretionary, trading is by its very nature forward
looking
> and although I will do a type of backtest it is difficult to put
this into
> an automated system. By backtest I will attempt to view charts to
see if the
> pattern occurs with enough events to see if it is positive enough.
If I
> want to try anything new I will forward (real time) test before
applying it
> to real trading.
> I have tried many mechanical systems and still attempt to find
something,
> but like someone else stated the drawdowns are something I could
not be
> comfortable with. Plus I find that the mech systems seem to have
too many
> trades at one time and the expected positive returns require you to
be fully
> in the market at all times. I am hoping that the portfolio trading
system
> new to AB will work around this, but have not used to yet and
waiting for
> the official release.
>
> One important thing about discretionary is that you can never sit
back and
> just use the same things over and over. You must be very flexible to
> changing markets. Some patterns work very well at times, but then
not so
> well at others.
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: jtelang [mailto:jtelang@x...]
> Sent: Tuesday, 25 November 2003 11:11 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] StoRSI... was Re: Robustness
>
>
> All 3 answers to my question (by you, Graham, and Yuki) sound
similar... But
> what I feel is that although you don't like to call it system
trading, it's
> still a "system", no? It's just in 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) and
backtest it
> because you find it hard to program, or is it because there're just
too many
> different plays you make in the market (based on it's state) and
those plays
> keep constantly evolving year 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 do
this daily
> without any system and consistently make good money,
> so why bother", but it seems to me that backtesting a new thought
or a style
> based on certain condition would always be a better approach,
especially if
> you can find those patterns in the past.
>
> BTW, I'm not saying one is better than the other. I personally just
don't
> have a choice since I'm fairly new to active trading. And given my
> programming background, it just leaves me no choice but to test an
idea out
> first... Perhaps with experience that will change, but right now
that sounds
> like a safer approach to avoid 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@x...]
> > 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@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
> > > > > > > >
> > > > > > > >
> > > > > > > >Yahoo! Groups Sponsor
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> >
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