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Graham - Ouch! that hurt. It is a "sales pitch" but not in the way
you probably think. I'm not 'selling' this system in the traditional
sense of trying to make money. Actually - I've no idea how to even
sell a system for money ?!! . The indicators were created by others
(with due credit given) and I just slapped it together. Perhaps the
only credit I can take is trying various buy/sell rules to come up
with one that gave me the highest profit for the lowest drawdown for
the biotech sector for the time period selected (isn't that what in-
sample testing is?). I put it on the forum for two reasons (1) I
hope the results generated on some volatile sectors will help create
a buzz that will interest enough folks to contribute to make this
system better or come up with their own ideas (that I hope they will
put on the group or in the AFL library). I get all my ideas by going
through TASC and AFL library and, sometimes, by posts on this group.
Also, I put together a funny story to explain the system because that
keeps eyeballs on the page....makes it more fun for me to write it
too (2) I don't own a computer at home and I use the one at work. I
carry my AB and some ticker lists on a flash drive. When I think of
a system, I can only test on some sectors and for a limited time
period (too much stock data eats up the storage space on my flash).
There is no 'underhand' reason for not testing it on earlier
periods. If you look at my earlier posts on other trading systems -
you will notice that I mention backtesting by 'taking a random sample
of stocks' or 'one sector'....never for entire stock database or for
long time periods. Again - no 'underhand' reason - just limitation
of storage space on flash drive. I hope others test the system on
other sectors and other time periods and post results on the group -
so I will know how successful the system is. Recently, one of the
readers on this forum (Mark Kietel) who has a complete stock database
agreed to help. He helps by running the code (or any other code) on
other sectors and for other time periods. I have asked Mark to run
the code on volatile sectors like Internet during the overall bear
market periods and will see what the results are.
You have helped me in the past and I follow your problem solving tips
with interest. I value your opinion and hope the above is
explanation enough on why I'm not "pushing" or "selling" a system to
make money. Also, I get quite a few pvt emails by folks who get very
excited about the results and I warn them of pitfalls (like not
enough testing done...they need to test over longer periods....during
various different mkt conditions....money mgmt...try other buy/sell
rules etc etc). No salesman trying to peddle a system would that.
Regards,
Dickie
P.S - Mark tested the code on wireless and IBD100 stocks and came up
with negative results. Results on telecom were very favorable for
one recent year but was a loss for another out-of-sample period.
Maybe, if I created a funny story for the "Flags and Pennants"
system - somebody might recognize any error I might have made in
it....
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> looked like straight sales pitch complete with correct "fantadtic"
responses
>
> sorry if offended, this is just what this loked liek to me4
>
> On 6/16/05, Dickie Paria <babui@xxxx> wrote:
> > Backtest produced 194% return on internet sector for Mar'04-Mar'05
> > and 40% return Mar'03-Mar'04 (same sector). 1 day delay in
buy/sell
> > on open and 50% margin was taken. Thanks to Mark for taking the
> > initiative to test this code on other sectors. He also reports
that
> > SmallCap600 test results were very good.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, l washington
<goldwing01_1999@xxxx>
> > wrote:
> > >
> > > First-rate code DParia thanks for sharing, at a glance it seems
to
> > be very responsive.
> > >
> > >
> > > Dickie Paria <babui@xxxx> wrote:How would like to trade a system
> > that will make you rich beyond your
> > > wildest dreams, lower your cholesterol and make you a better
lover
> > in
> > > bed ?!! Don't think such a system exists !! then read on - my
> > > sceptical friend........(afl code is below)
> > >
> > > This system was revealed to me, this morning, as I was crossing
5th
> > > Ave and 34th St...a bright white light shown down on me and I
heard
> > a
> > > Voice - "O' Grasshopper - combine a smart money flow indicator
with
> > a
> > > momemtum indicator". I asked - which indicators - there are so
> > many
> > > of them ? The Voice replied - "must you ask such stupid qts,
> > > Grasshopper. There is only the FVE smart money indicator by
Markos
> > > Katsanos and the TSI momemtum indicator by William Blau.
> > And...test
> > > it only on volatile sectors".
> > >
> > > Such revelations come only once in a blue moon - so I put
together
> > > the system (after playing around with many buy/sell rules) and
> > tested
> > > it on all the stocks in the Biotech sector from Yahoo (I think
> > about
> > > a 100+ stocks) from 6/14/02 - 6/13/04. $10k equity, 50% margin,
> > Long
> > > only, $16 trade comm. Results - 25 trades, 15 winners and
annual
> > > return of 312%. Gotta be a fluke, I said. So, I tried it on
the
> > > same stocks from 6/14/04 - 6/13/05. Annual return 335% !!
> > >
> > > Ok. there is a catch. There always is ! The buy/sell delays
were
> > > set to '0' (meaning buy/sell happened as soon as the conditions
> > were
> > > met). This system would work only for those folks with fancy
> > > automated trading (through IB with AB).
> > >
> > > What about the rest of us Grasshoppers who buy and sell on the
open
> > > with a 1 day trade delay ? Well, I re-tested and 6/14/02 -
6/13/04
> > > and 6/14/04 - 6/13/05 showed annual returns of 28% and 26%
> > > respectively. Respectable....I guess.
> > >
> > > What about other volatile sectors - you say ? Sheeet ! O'
> > > Grasshoppers in training - must I do all the work ?
> > >
> > > [Ok. Ok. So, I did exaggerate on the 'lowering cholesterol and
> > being
> > > better lovers in bed' but - hey - you can't ask for everything]
> > >
> > > **************************************************************
> > >
> > > // Money Flow Indicator - FVE by Markos Katsanos - almost
identical
> > > to proprietary TSV money flow indicator by Worden
> > >
> > > Period = Param("Period for FVE", 22, 5, 80, 1 );
> > > Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
> > >
> > > intra=log(H)-log(L);
> > > Vintra = StDev(intra, period );
> > > inter = log(Avg)-log(Ref(Avg,-1));
> > > Vinter = StDev(inter,period);
> > > Cutoff = Coeff * (Vinter+Vintra)*C;
> > > MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
> > > VC = IIf( MF > Cutoff, V,
> > > IIf( MF < -Cutoff, -V, 0 ));
> > > FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
> > >
> > > // Momemtum Indicator by William Blau
> > >
> > > TSI = 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13)
> > > / EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );
> > >
> > > // Plots for money flow and momentum indicators
> > >
> > > Plot(TSI,"TSI",43,1); //Plots TSI line
> > >
> > > PlotGrid(25,55); // shows white grid line for black background
> > > PlotGrid(-25,-55); // same
> > >
> > > Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI
> > >
> > > Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line
is
> > > shown in red
> > > Plot (0,"",colorBlue,styleNoLabel); // shows a blue line
through 0
> > >
> > >
> > > RAD_TO_DEG = 180/3.1415926; // radians to degrees
> > > LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); //
> > > calculates angle of money flow indicator
> > >
> > > // Buy Rules
> > >
> > > Buy = FVE > -10 AND FVE < 10 AND
> > > LinRegAngleFVE > 30 AND
> > > FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
> > > LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
> > > LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI,
EMA
> > (
> > > TSI, 7 ) );
> > >
> > > // Sell Rules
> > >
> > > Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;
> > >
> > > ***************************************************************
> > >
> > >
> > >
> > >
> > > Please note that this group is for discussion between users
only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > >
> > >
> > >
> > > ---------------------------------
> > > Yahoo! Groups Links
> > >
> > > To visit your group on the web, go to:
> > > http://groups.yahoo.com/group/amibroker/
> > >
> > > To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > Service.
> > >
> > >
> > >
> > > __________________________________________________
> > > Do You Yahoo!?
> > > Tired of spam? Yahoo! Mail has the best spam protection around
> > > http://mail.yahoo.com
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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<*> To visit your group on the web, go to:
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