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Kevin, I don't trade daily (some day....), so can't comment on that
one.
Here is a thought for you. If volatility is needed, you could use a
VIX filter or find a 2x or 3x leveraged ETF which should increase
volatility to the point one may need. Many of these offerings are
newer, the SDS & SSO (SPY 2X) are a bit over 2 years old, but may
offer some investigation points and further testing.
Big
--- In equismetastock@xxxxxxxxxxxxxxx, Kevin Barry <kevin_barry@xxx>
wrote:
>
> 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
> ><mailto:equismetastock%
40yahoogroups.com>equismetastock@xxxxxxxxxxxxxxx,
> >Kevin <kevin_barry@> 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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