|
PureBytes Links
Trading Reference Links
|
And so the debate rages on, year after year, system after system, without anyone going to the heart of the matter, to wit: Why does the system work in one time period and not in another? Why, gentlemen? The question is not whether, but WHY?
Stochastics based systems are money losing propositions? Is that the end of the study? Is that the depth of one's conclusions? Do I have to ask... WHY don't they work?
OM
P.S. - What if I use data back to 1971 and the Ronin/Ehlers system does work? Then what if you go back to 1951 and see that it doesn't? And then I go back to 1924....
---- you wrote:
> Not so fast, I ran this system on the S&P futures going back to 1982, and
> the results where dismal (way to many trades, and many whipsaws).
>
> I have attached the equity obliteration chart.
>
> No simple stochastic/detrend oscillator will make money trading the S&P.
>
> The code may help someone to improve on their coding though, but I would
> warn them against actually
> using it for trading.
>
> Many studies have been performed that show that most stochastics based
> systems are money losing propositions.
>
>
> Good luck and good trading,
> JT
>
>
>
>
>
>
> -----Original Message-----
> From: Andy [mailto:ronin@xxxxxxxxxxx]
> Sent: Wednesday, June 28, 2000 8:33 PM
> To: Code List; Omega List
> Cc: jimo@xxxxxxxxxx
> Subject: CL_Once in a while....
>
>
> ....you'd find something interesting in TASC. Most of the time it's fluff.
> But I got lucky with the July 2000 issue.
>
> John F. Ehlers wrote an article, "Optimal Detrending", in the July 2000
> issue. I took his indicators and used them as a filter in combination with
> my version of a smoothed stochastic. I've attached the ELA and a GIF file
> showing the equity curve. The equity curve can be smooth out further with
> the right set of money management and exit techniques. As it stands now, the
> equity curve is jerky but rising steadily at nearly a 45 degree angle.
>
> The 2 filters are 2 functions named Ehlers_MOEF and Ehlers_DT, with the
> Ehlers_MOEF calling on the Ehlers_DT to detrend the price series. If the DT
> is greater than the MOEF, then it's ok to go long. If the DT is below the
> MOEF, it's ok to go short. We then use the smooth stochastic to enter or
> exit the trade.
>
> $250 slippage, $20 commision.
>
> --------------------------------------------------------
>
> {Function: Ehlers_DT}
> Inputs: Lbck(Numeric);
> Vars: Price(0);
>
> Price=(H+L)/2;
> Value1=Price + 0.088*Value1[Lbck];
> Value2=Value1 - Value1[Lbck] + 1.2*Value2[Lbck] - 0.7*Value2[2*Lbck];
> Ehlers_DT=Value2[2*Lbck]-2*Value2[Lbck]+Value2;
>
> ---------------------------------------------------------
>
> {Function: Ehlers_MOEF}
> Inputs: Lbck(Numeric);
> Vars: DT(0);
>
> Dt=Ehlers_DT(Lbck);
> Ehlers_MOEF=0.13785*(2*DT-DT[1]) + 0.0007*(2*Dt[1]-Dt[2]) +
> 0.13785*(2*DT[2]-Dt[3]) + 1.2103*Ehlers_MOEF[1]-0.4867*Ehlers_MOEF[2];
>
> ---------------------------------------------------------
>
> {Function: AD_Stoch}
> Input: Lbck(NumericSeries),Len(NumericSeries);
> Vars: Upper(0),Lower(0),tot(0),Fac(0),Xavg(0);
>
> Upper=c-lowest(low,Lbck);
> Lower=Highest(H,Lbck)-Lowest(L,Lbck);
>
> If Lower<>0 then Tot=Upper/Lower;
>
> If Len+1<>0 then begin
> if CurrentBar<=1 then begin
> Fac=2/(Len+1);
> Xavg=Tot;
> end
> else
> Xavg=Fac*Tot+(1-Fac)*Xavg[1];
> end;
>
> AD_Stoch=Xavg;
>
> ---------------------------------------------------------
>
> {System: AD_Combine SPX}
> Inputs: Lbck(41),R(17),S(7),Q(6);
> Vars: Dt(0),Smth(0),Mo(0),Avg(0),Mp(0);
>
> Dt=Ehlers_DT(Lbck);
> Smth=Ehlers_Moef(Lbck);
> Mo=AD_Stoch(R,S);
> Avg=Xaverage(AD_Stoch(R,S),Q);
> Mp=MarketPosition;
>
> If MP<>1 and DT > Smth and Mo crosses above Avg then buy on close;
> If MP=1 and Mo crosses below Avg then exitlong on close;
> If MP<>-1 and DT < Smth and Mo crosses below Avg then sell on close;
> If MP=-1 and Mo crosses above Avg then exitshort on close;
>
>
|