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Hello Big,
Yes, a volatility filter might improve the resilience of a system such as
this. Maybe another approach would be to use the daily signal as a
directional indicator for intraday trades?
Regards,
Kevin
At 01:15 PM 2/5/2009 Thursday, you wrote:
Kevin,
I tested the same setups back 2000 trading periods (Feb 20, 2001)
and came up with similar results. It worked well for about the first
two years, then fell off. Like you said, 2008 saw the account rise
back up from the ashes.
If one postulates that volitility is needed, one could factor in the
VIX somewhere into the equation. I.E. if VIX> some number, trade the
system. A little tough, though, because this fall saw VIX numbers
never seen before. But one could use it as a filter and see how it
fits.
I was excited when I saw the 2008 curve too, but also went right to
the backtesting module to see how it looked long term. I'd encourage
others to do the same with any system.
Your words of wisdom are spot on.
Big
--- In
equismetastock@xxxxxxxxxxxxxxx,
Kevin <kevin_barry@xxx> wrote:
>
> Firstly, many thanks to Steve Karnish for the Cedar Creek webinar.
As
> always, Steve is very generous with his time and trading systems
knowledge.
> I regularly trade the indices and FX on a short/very short
timeframe and so
> I was particularly interested in viewing this particular
webinar.
>
> I am sure that everybody was as impressed as I was with the 2008
equity
> curve of the CMO setup on the DJI as demonstrated by Steve.
However, I
> would suggest extreme caution to anybody tempted to actually trade
this
> strategy. 2008 saw a plunging stock market accompanied by very
high
> volatility. In such a market, practically any entry strategy, if
> accompanied by sound money management principles, will be
profitable.
>
> If the CMO strategy had been traded as described between 2002 and
the
> beginning of 2008, in a rising market with generally low
volatility, it
> would have barely broken even before commissions and slippage.
subtract
> several hundred commissions and this strategy would have levelled
most
> trading accounts.
>
> Considering the number of inexperienced traders on this board who
may be
> tempted to accept as read the conclusions drawn from demos such as
this, I
> feel that it is essential to add any necessary caveats to the
published
> system test results. In this case, the caveat must be that this
strategy
> will only return these kind of results in a highly volatile
market, the
> existence of which will only become apparent in retrospect.
>
> I would suggest that search for the Holy Grail is still very much
alive.
>
> Regards,
> Kevin
>
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