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Jim Dean

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Joined: 9/21/2006
Location: L'ville, GA

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 2:40 PM
Post #21146 - In reply to #21142

I think we've probably reached a good "intermission" point in this marathon. I'd like to clarify a few specifics re recent posts, but also lay out a 10,000-foot view of the additional "steps" that I will (eventually) cover, one way or t'other.


First, clarifications:

1. The last five OTS files I uploaded are CORRECT, for the purposes I outlined. I provided an explanation as to why. It *is truly confusing* if we start working on the basis of different strat-definitions - that's why I provided them. If you change them, then we're no longer working together ... and I've already, at that point, put in a lot of effort using the ones I uploaded.

2. To be absolutely clear ... and you can see for yourself ... the "reversing" checkbox **in the FB** has NO effect one way or the other on the strat performance. I've explained the "normal" purpose of the reversing block is for optimization ... we are not using that now.

3. I've explained (and "sermonized") enough about understanding overall structure first, before tweaking the details. That's why I've consistently steered the discussion away from changing parameters ... or, for instance, from playing with N=## values, or Lookback bars. There are other things that logically should be addressed, first. "Parameter-playtime" has an essential place in the process ... but not until the basics are fully understood. At least, not in my playbook. ;~)



Here are some additional overall-structure alternatives worth dealing with, BEFORE playing with parameters - this is how I'll gradually continue the process, via the AOTC video-based presentations:


a. Look at how the 2in1 system block would work in a strategy that ALSO contained either the Fast or Slow Filter block - that is, two MV2's in the SB, and also either a 5+20 or a 10+40 stacking in the filter ... or both.

b. Switch the Orders Block to a Next Pivot Point stop. This will occasion a lot of discussion about NPP's - their value and their dangers. We'll be able to use Backtesting to more usefully evaluate some of our earlier strategies at this point (with the arbitrary N=10 out of the picture).

c. Examine three alternative canned stops (using the Orders Block) that logically would "complement" the strategy thinking ... Moving Average Crossover Stop, Two Moving Average Stop, and Reversing Signals Stop. This will occasion a lot of discussion and investigations. Possibly will start looking at Portfolio Simulation at this point.

d. Extend investigation of Exits (which are btw MUCH more important than Entries) by looking at several other important "generic" Stops: Fixed Profit, Fixed Loss, Trailing Profit, Breakeven, and maybe Eighths. This will really open up discussions about the reasoning behind the uses of stops, and how MULTIPLE stops can be combined together interactively.

e. By now a more indepth look at PortSim would be appropriate, using what we've developed thus far. POSITION SIZING is even more important than Exits ... and FAR more important than Entries. A lot of investigation about the various reports and statistics, and what's safe to "shortcut" in the evaluation-process (sometimes).

f. From here the natural step is to hit the rudiments of Trade Plans, and what features they offer that Orders Blocks don't. Initially focus on different Order types, and on the structure of TP's (Steps, Rows, Conditions, Jumps, Long/Short). By this time, PortSim is in full use.

**g.** Now, finally, we'll have an adequate understanding of the OT engine and strategy, to start talking about "optimization". Duxx recently posted a question about this in the Pro forum ... it's a pretty involved topic. We'd start with a discussion about how it works, and what its strengths are, and what its weaknesses are. This will lead us into discussions about appropriate backtest/forwardtest procedures to avoid excessive "curve fitting". This is hugely important.

h. Our first exercises, for VERY GOOD REASON, WILL NOT use the "optimize" checkboxes and engines in the various blocks that we've been looking at. We will start with **Strategy Wizard** - a superb Add-on that any serious OT user should own. Any other approach would actually HURT our understanding and mislead us as to how to move forward.

i. After SW has carved a path for us, and has set reasonable boundaries for final-tweaking-optimization of parameters using the native features of the strategy blocks, we'll tie that process in to the mix and see the advantages and potential pitfalls of it.

j. Up till now, our doughty DoubleDualEMA core-systems have been our focus. The next natural step is to put together some alternative Systems and look at how the Performance Block works, and the Vote Block really starts "doing its thing". This is a powerful feature of OT ... it's not "held off" to this late because it's unimportant, but only to keep the prior activities as "clean" as possible.

k. Once the System-Voting methods are mastered and understood, then the only other major piece of the puzzle is to try out multiple-Strategy models with the voting process available to them.


******


This entire journey obviously CANNOT take place in this Thread 8~> ... and truly ... it is not sensible, practical or efficient to do it all in writing ... thus the AOTC-video approach. However, useful snippets of each major step can likely be dealt with, in a simplified way, within the OT Forum ...

So - I fully expect this to "wear thin" after a while ... hopefully this "big picture" will help you put the "tweak the parameters" urges into perspective - in light of the presumed goal of REALLY USING the broad capabilities of OT.

... and there is SO MUCH MORE ... OT Pro custom indicators, systems and stops, OmniScan, the new MTC Setups, Seasonality and Group Trader, many other Systems and Strategies, etc ... by the time all that we have now is really absorbed, Nirvana will have created a couple dozen MORE. Wheeee!


Maybe now is a good time to call a "rest stop". It will give time for anyone who's interested in this discussion to go back over it, and play with things as they choose. Besides, I need to focus a bit more time for a while on some AOTC work ;~)

About that - we've just gotten our brand-spanking new Forum in place, and I'm going to shift many of these kinds of extended presentations to that venue, since it's been **intentionally structured** for educational and knowledgebase use. As we "grow" its content, the entire N community is welcome to visit ... either to "lurk" or actively participate ... the more the merrier :~)) ... see the link, in my signature below.
Deleting message 21146 : RE: Two "Exponential" Moving Average Crossover


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