[no subject]

To: <A title=amibroker@xxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 22, 2002 10:14 
PM
Subject: RE: [amibroker] StoRSI - 
Getting Closer.. But Need Help
Here's my latest attempt:/*StochRSI on the QQQ's 
with EMA   Courtesy: Steve Karnish   
Optimized for 3/24/2000 - 7/22/2002      Settings: 
Buy/Sell/Short/Cover = Next Day Open     Longand 
Short     Commissions = 
0     Stops and Targets = 
disabled*/StochRsi=EMA((RSI(8 )-LLV(RSI(8 ),8 ))/(HHV(RSI(8 ),8 
)-LLV(RSI(8 ),8)),3)*100; slope = ( MA(C,21) - Ref( MA(C,21) 
,-1))/2;Buy=Cross(17,StochRsi) AND MA(C,21) < C AND slope > 0; 
Sell=Cross(StochRsi,83);  Short=Cross(StochRsi,83)AND 
MA(C,21 ) > C AND slope < 0;  
Cover=Cross(17,StochRsi);I'm missing some signals when 
compared to Steve's latest graph.Can someone give me a 
pointer?-----Original Message-----From: Steve Karnish 
[mailto:kernish@xxxx] Sent: Monday, July 22, 2002 9:47 PMTo: 
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] 
StoRSIYuki,As usual, you are very perceptive and 
wise.  I was waiting for someonetocomment on the last six 
months of buy signals.  Unfortunately, the firstcomment I received 
was someone noticing that the trading system did "areally good job 
picking the tops (sell signals), but not so good withthebuy 
signals...can you tell me why that might be"?  Sometimes you 
justhaveto smile.  As Elvis sings (Costello, not the 
King):  "I used to bedisgusted, now I just amused..."Since 
you have hit the mark with your comments, here's a little 
filterforimproving the QQQ approach.  Only take trades in the 
direction oftoday's 21day SMA.  If you trigger a "buy signal" 
(indicator closes below theStoRSIlevel of 17), then today's SMAmust 
be larger than yesterdays.  Exitrulesare the same (sell the 
following day the StoRSI closes above 83), exceptwhen the SMA has turned 
negative and then you simply reverse theposition.Attached is the 
same StoRSI QQQ chart but with the 21 day SMA "filter.It'sprofited 
on 9 of the last 10 trades and has 17 winners in the last 
20trades.Take care,Steve Karnish, CTACedar Creek 
Tradingwww.cedarcreektrading.com1-877-668-1125----- Original 
Message -----From: Yuki Taga <yukitaga@xxxx>To: Steve 
Karnish <amibroker@xxxxxxxxxxxxxxx>Sent: Monday, July 22, 2002 
4:29 PMSubject: Re: [amibroker] QQQ/StoRSI> Hi 
Steve,>> Just to add a couple of things to your fine 
comments:>> Tuesday, July 23, 2002, 12:09:31 AM, you 
wrote:>> SK> A couple general comments on the StoRSI/QQQ 
approach:>> SK> Filter suggestions:  Try only taking 
an "opening" position in the> SK> QQQ when the 13 (21, or your 
number of choice) SMA is pointing in> SK> the direction of your 
trade.  Sounds too simple, right?  You can> SK> apply 
the same approach by using any number of linear regression> SK> 
tools.  Pick a "trend identifier" (and believe me, trend is the> 
SK> hardest thing to wrap your arms around), and only trade in 
the> SK> direction of the trend.  Yes, it's that easy.  
Eliminate the> SK> "stinkin" trades that were initiated against 
the trend.  A 13 day> SK> SMA is a starting point and with 
the ability to "optimize" using> SK> AB, you can identify many 
averages that should improve the> SK> overall performance andkeep 
you (most times) on the right side> SK> of the 
market.>> Another simple idea for improving percentage winners 
here is to NOT> take signals where price doesn't react to the signal 
itself.  You got> a buy signal, but prices opened sharply lower 
the next morning, and> you took the signal anyway?  Okay.  
It will work sometimes, but when> one does that one is saying that 
one's market genie is now smarter> than the market as a whole.  
And when one is trading a very short> term system (as I like to do), 
one needs to be very sensitive to> short term price, IMO.  Maybe 
one of you coders out there could run> some tests and figure outthe 
results for the following:>> 1) what percentage of tradeswent 
south (or had uncomfortably --> yeah, hard to agree on what that 
means for everyone -- large draw> downs before coming back) when 
price failed to exceed the high of the> signal day on the day you 
were supposed to pull the trigger>> 2) what is the optimal 
waiting period for price to exceed the high of> the signal day (next 
bar only?  two bars?  four bars?)  IOW, when> does the 
signal become null and void when price fails to follow> through, 
based on a back test>> Finally, Steve and I both yearn for 
complete hands-off automation.> But there's clearly a trade 
off.  On the plus side, if you really> have a good system, 
keeping hands off keeps you from mucking it up.> On the down side, 
you have to live with situations from time to time> that are probably 
pretty easy to second guess.  Specifically, taking> counter 
trend signals on a short term oscillator when there is no> nearby 
reasonable price support (the place where you cut and run if> it 
fails) can lead to some pain. And the obvious exit is, to me,> rather 
obvious. :)>> A couple of comments on my attached cut of 
Steve's gif.>> Best,>> Yuki>> 
mailto:yukitaga@xxxx>>>> Your use of 
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