duke56468
683 posts
msg #100444
- Ignore duke56468 |
4/27/2011 10:20:05 AM
Kevin these 2 filters of yours produce impressive backtest results, do you feel one is superior to the other in most markets? Thanks for sharing your work, I would have never come up with those exit indicators, and like ewhiteman said even the entry seems counter intuitive.
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Kevin_in_GA
4,599 posts
msg #100614
- Ignore Kevin_in_GA |
5/6/2011 12:27:16 PM
These are a few filters that StrataSearch identified. I ran over 2 million different indicators settings/combinations on the S&P 500 for about a full year's worth of data (2009 - 2010). Long only filters, which weren't hard to find given the market uptrend during that time window.
I agree that both the entries and exits seem to defy common logic, but as you pointed out you can't argue with the results. As to which of the two RMI filters is better for a given period, I did not really look. These are part of a 10 filter system I put together late last year, which has done quite well. Unfortunately, most of them are not easily coded using SF as they require sector data and indictors that are not commonly shared between the two programs.
My suggestion - give StrataSearch a try for a few months and see if you like it (fee is $30/month, which you'll most likely make back in your first trade or two).
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einok
msg #100617
- Ignore einok |
5/6/2011 1:10:49 PM
Hey Kevin,
Are you familiar much with excel charting? Do you use skype? I
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RocketFetcher
59 posts
msg #115328
- Ignore RocketFetcher |
9/12/2013 6:42:55 PM
Didn't know whether to start a new thread, as this one is dated, but, it's on the topic and a lot of posts here, so...
Does anyone have the ConnorsRSI filter for StockFetcher?
At TradingMarkets, they have started publishing some code for TOS, and a couple of others,
Does anyone have it working here for StockFetcher?
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DMUNCASTER
34 posts
msg #115356
- Ignore DMUNCASTER |
9/13/2013 1:34:47 PM
Kevin_in_GA:
i also have been getting into StratySearch. Aren't you concerned that running all combinations of variables and arriving at something that works gangbusters for a particular period, is just a form of data mining? Doesn't it do a great job of predicting the past with minimal relevance to the future?
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DMUNCASTER
34 posts
msg #115357
- Ignore DMUNCASTER |
9/13/2013 1:38:28 PM
Kevin_in_GA:
i also have been getting into StratySearch. Aren't you concerned that running all combinations of variables and arriving at something that works gangbusters for a particular period, is just a form of data mining? Doesn't it do a great job of predicting the past with minimal relevance to the future?
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DMUNCASTER
34 posts
msg #115358
- Ignore DMUNCASTER |
9/13/2013 1:39:19 PM
OOPs. I might have sent this twice.
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Kevin_in_GA
4,599 posts
msg #115359
- Ignore Kevin_in_GA |
9/13/2013 1:46:02 PM
Possibly, but several of the systems I have developed using SS are still doing quite well years after the system was optimized.
There is a risk of overfitting on any system, especially one that can do brute force calculations as fast as SS can. The key (for me at least) is two keep the complexity of the system as low as possible, and develop it from basic principles that inherently make sense. The Z-score system and the "BUY THE DIP" threads here at SF are examples of what I mean. Both started from a single basic premise, and were tweaked minimally to get to the versions I posted here.
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DMUNCASTER
34 posts
msg #115365
- Ignore DMUNCASTER |
9/13/2013 4:37:38 PM
Just read through buying the dip thread and I see what you mean. I'm going into SS and check it out for varying time periods starting in 2008. Looks like nice work. I prefer swing trading and momentum trading and use a buy stop on longs of high one day ago +.02 and for shorts low 1 day ago - .02. That way I only get in if the price after the open is heading my way. It's served me well, and i intend to start using it in SS. Just to be the devils advocate, I tested your recent post on this thread over varying time periods starting in 2008. In general, it almost always produces a great win/loss ratio, but loses some horrendous amounts of cash, 25 - 35% over some 4-month periods
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RocketFetcher
59 posts
msg #115373
- Ignore RocketFetcher
modified |
9/14/2013 8:14:58 PM
No one using or talking about Modified Connors RSI(s) filter in it's thread?
Does that mean no one using Connors RSI??
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