[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) <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 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, 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 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 for the 
following:>> 1) what percentage of trades went south (or 
had uncomfortably --> yeah, hard to agree on what that meansfor 
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 cutof 
Steve's gif.>> Best,>> Yuki>> 
mailto:yukitaga@xxxx>>>> Your use 
of Yahoo! Groups is subject to<A 
href="">http://docs.yahoo.com/info/terms/>>Your 
use of Yahoo! Groups is subject to<A 
href="">http://docs.yahoo.com/info/terms/ 
Your use of Yahoo! Groups is subject to the <A 
href="">Yahoo! Terms of 
Service. Your use of Yahoo! Groups 
is subject to the Yahoo! Terms 
of Service. Your use of Yahoo! Groups 
is subject to the Yahoo! Terms 
of Service. Your 
use of Yahoo! Groups is subject to the <A 
href="">Yahoo! Terms of Service.