[no subject]

To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
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     Long and 
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) < CAND 
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 SMA must 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, July22, 
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 and keep 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 out the results forthe 
following:>> 1) what percentage of trades went 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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