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ROC of LinRegSlope
From: rudolf stricker <rst@xxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx
Subject: Re: CMO & Cocoa
Date: Saturday, April 10, 1999 12:53 AM

On Fri, 9 Apr 1999 09:28:03 -0700, you wrote:

There is no substitute for good old TA grunt work, but for the "TA impaired", here's the latest "auto-pilot" trade using Chnde's Momentum Oscillator on Cocoa.

When I did similar things as a basis of my "Know-how Recycling" work on DAX options, I found the result very sensitive to the number of days used in the CMO indicator. Seemingly, there has to be a "resonance" between the "frequency" of the CMO and the "main
frequency" of the price to make things working well.

To cover a range of years (with bullish & bearish periods and very different price "frequencies"), I was not successful using _one_ "CMO frequency". Even using several (up to 5) "CMO frequencies" in parallel was not satisfying (and could not be handled easily in MetaStock because of its stupid restrictions).

The way out I found, is a "variable frequency CMO" I constructed by interpolation. It seems to work reasonably, but I use this type of indicator only as a back-up at this time, because I found a more powerful and more flexible one, combining simple ROC and LinearRegressionSlope.

mfg rudolf stricker
| Disclaimer: The views of this user are strictly his own.

Re: CMO & Cocoa

· To: <metastock@xxxxxxxxxxxxx>
· Subject: Re: CMO & Cocoa
· From: "Steve Karnish" <kernish@xxxxxxxxxxxx>
· Date: Sat, 10 Apr 1999 08:34:32 -0700
· Reply-To: metastock@xxxxxxxxxxxxx
· Sender: owner-metastock@xxxxxxxxxxxxx


I couldn't agree more. I use a combination of LinReg, SMI, & TSI (Kaleidoscope) for the most of my studies. As for the CMO and cocoa: one look at the "perfectly" structured downtrend and one can discern that the parameters (variable periods and trigger levels) would not produce the same results if cocoa starts to trade above it's current channel. I have a more utilitarian formula for CMO studies. I call it the FibCMO (for obvious reasons):


All one really has to do to take advantage of the cocoa downtrend (or any trend), is to sell against the 13 day moving average put a stop in at the 34 day moving average. It would have resulted in a successful trade the last 20+ times in cocoa.

Neither the CMO nor the moving averages would show stunning results, in cocoa, if the nature of the market changes. I don't buy into the suggestions that one must be able to back test a system for 5 years with various samplings to validate an approach. It's been fairly obvious that cocoa has been in a well defined trend for quite sometime. For over six months, I have posted the signals for the CMO (and taken each signal) and fully expect it to continue to produce profits, providing cocoa doesn't break out of it's current channel.

Maybe it's just a coincidence that cocoa posted it's strongest "up day" in four weeks on Friday. After enjoying the profits from the last short position at 13.31 (2/19/99), it was sure fun (and profitable) to cover the position on the opening yesterday (10.74), see the market make a low, one tick below entry (10.73), and then carry a 24 point profit home for the weekend.

The markets are dynamic. To think that a universally applied approach (mechanical) would consistently work on a commodity or many commodities is not a very good premise to trade by. If that was the case, I would be "flashing" CMO results in everything that moves. The post was a simple demonstration of how a system can be applied to a specific situation.

In 1979, while working for Paine Webber, I traded cocoa 19 times in a row for a profit (I thought I was the second coming). At the time it was chopping sideways and I had a little moving average oscillator that was in tune with the market's nuances. Unbelievable? When the market stopped chopping around, it locked the limit, for three days, against my hefty position. I got crushed (lost tens of thousands).

Nothing last forever, but in the meantime, until cocoa demonstrates that it wants to trade out of it's channel, I will continue to take the signals that this little secular system provides.

Happy trades,

Steve Karnish


Re: CMO & Cocoa

· To: <metastock@xxxxxxxxxxxxx>
· Subject: Re: CMO & Cocoa
· From: "Adam Hefner" <VonHef@xxxxxxxxxxxxx>
· Date: Sat, 10 Apr 1999 12:30:54 -0500
· Organization: Microsoft Corporation
· References: <16291303100714@xxxxxxxxxxxx>
· Reply-To: metastock@xxxxxxxxxxxxx
· Sender: owner-metastock@xxxxxxxxxxxxx


Whew, I'll study what you shared with me and get back with you on any questions. I was looking more into combining the two "canned" indicators that came with MetaStock..... as an example:

ROC of LinRegSlope

Lb:=Input("Look-Back Periods?",3,100,13);
ROC( LinRegSlope(C,Lb),Lb,$)


Does this differ from your usage below? I will analyze what you have shared with me and perhaps some of it will soak in <g>.
Thank you!

Best wishes,
Adam Hefner.


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