Take care,
Steve Karnish, CTA
List(s),
I will try to answer as many of the publicly posted messages later in the day. We are in the middle of the most exciting grain markets in ten years and my time is being "chewed up" by my grain producing traders.
A couple general comments on the StoRSI/QQQ approach:
1. This will not trade 1997, 1897, or any other distant history very well. The things that you read in most books are utter bullshit (pertaining to testing out of sample for 'x' number of years...going back to 1957). I'm not picking a fight and I refuse to discuss or defend my statement (we've been down that road before). It is what it is. Always concentrate on what has happened during the last two years and be flexible and inventive enough to monitor and understand how market dynamics are changing.
2. One way to improve on the results of this "skeleton system" is to apply a "filter". DT has provided excellent contributions on how one might accomplish this. I'm a very "simple-minded" guy who applies very basic approaches. I believe that makes my trading more robust than a lot approaches with a lot of "whistles and bells" added (over-optimizations).
Filter suggestions: Try only taking an "opening" position in the QQQ when the 13 (21, or your number of choice) SMA is pointing in the direction of your trade. Sounds too simple, right? You can apply the same approach by using any number of linear regression tools. Pick a "trend identifier" (and believe me, trend is the hardest thing to wrap your arms around), and only trade in the direction of the trend. Yes, it's that easy. Eliminate the "stinkin" trades that were initiated against the trend. A 13 day SMA is a starting point and with the ability to "optimize" using AB, you can identify many averages that should improve the overall performance and keep you (most times) on the right side of the market.
Sorry, must get back to the grains... they are cookin' in the fields and cookin' on the CBOT.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
