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Thanks for your post...just curious with regards to the commodities
testing you are talking about. What kind of data did you test
CMO3/5/9 on...was it the contracts themselves or on a continuous
contract. If continuous, what kind of continuous contract....?
Thanks
--- In amibroker@xxxx, "Steve Karnish" <kernish@xxxx> wrote:
> Little Steve,
>
> Over the last six years, I have "invested" over 10,000 hours in
research. My "less random" issues continually surface as I test
different approaches. My previous CMO5 posts allude to a dozen of
these opportunity.
>
> Here's one for commodity traders: Soybean Meal
>
> Try testing the CMO5 on soybean meal with symmetrical triggers
between 15-85. Now try a CMO3 and a CMO8. How about spinning a
StoRSI on the same commodity. Something tells me that if stock or
commodity spits out profits at all trigger levels, with different
periods inserted into the formula and still produces profits using
completely different formulas...you might have an issue that has a
fairly good history of repeating it's general pattern of movement.
The CMO5 works well on one hour DJIA (CBOT) contracts, heating oil,
crude, the Canadian Dollar, Gold, and Bonds (to name a few). A
couple of stocks to look at for orderly supply and demand are:
> AET, BAC, BAX, CAH, FRE, KALC, KR, PCAR, PEP.
>
> This is a very superficial list...but, most traders (with system
testing software) spend the majority of their time trying to
get "something" to work on "everything". I'd prefer to
apply "anything" on issues that have a history of producing results
with "anything" that you throw at them.
>
> Give me issues that produce results with wide ranges of "triggers"
and a wide range of indicators.
>
> Take care,
>
> Stevie "No Wonder" Karnish, CTA
> Cedar Creek Trading
> www.cedarcreektrading.com
> 1-877-668-1125
> ----- Original Message -----
> From: Steve Dugas
> To: amibroker@xxxx
> Sent: Thursday, June 20, 2002 11:31 AM
> Subject: Re: [amibroker] Trends, random series
>
>
> Hi Steve,
>
> I usually try to concentrate to issues whose patterns seem to be
more "predictable" than others (maybe I should call it "less
random"). Would you mind sharing how you go about
determining "patterns of non-random accumulation and distribution",
and identifying which stocks have the patterns that you like to see?
Thanks very much!
>
> Best Wishes,
>
> "Little Steve" : - )
>
> ----- Original Message -----
> From: Steve Karnish
> To: amibroker@xxxx
> Sent: Thursday, June 20, 2002 12:07 PM
> Subject: Re: [amibroker] Trends, random series
>
>
> Bill, Al, Ken & all,
>
> One of my "golden rules": seek and trade only issues that have
patterns of "non-random" accumulation and distribution. Many issues
spew "random" numbers, month after month, year after year, and
traders insist on trying to unlock these difficult puzzles (created
by the "random walk" these issues march to).
>
> Doesn't it make more sense to concentrate on issues that have
demonstrated a "pattern" of supply and demand? The force behind
price movement, for all issues, can be debated (market maker
influence, commercial interest, fund participation, etc.). If
trader's allocate all of their time trying to apply approaches
to "random numbers"...I believe they might be disappointed.
>
> It's my opinion (for what it's worth), the markets you select
to trade are more important than the approach you apply. Why force
math on issues that continually change character or exhibit a very
random pattern?
>
> Take care,
>
> Steve Karnish, CTA
> Cedar Creek Trading
> www.cedarcreektrading.com
> 1-877-668-1125
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxx
> Sent: Thursday, June 20, 2002 9:31 AM
> Subject: Re: [amibroker] Trends, random series
>
>
> Al:
>
> It is difficult to understand how this approach can produce
patterns and harmonics (e.g., Elliott Wave, Fibonacci, Gann, etc.)
that relate to the past. If this is so, then either such analysis is
worthless, which would have to be convincingly demonstrated to
numerous users, or the Chande approach does not provide valid out of
sample data. One or the other, but not both.
>
> Bill
> ----- Original Message -----
> From: Avcinci
> To: amibroker@xxxx
> Sent: Wednesday, June 19, 2002 8:12 PM
> Subject: Re: [amibroker] Trends, random series
>
>
> William (and Richard),
>
>
>
> Let me try to explain Leo's scrambler. It was developed by
Tushar Chande from his book Beyond Technical Analysis, 2nd ed. Chande
randomly rearranges the data of a ticker to create new sequences. He
does this as follows: he observes the relationship between the O, H,
L, and C of the 2nd bar by using the C of the 1st bar as reference.
So, he writes the relationship as:
>
>
>
> DeltaO = O - ref(C,-1);
>
> DeltaH = H - ref(C,-1);
>
> DeltaL = L - ref(L,-1);
>
> DeltaC = C - ref(C,-1);
>
>
>
> He samples with replacement with these formulas and creates
patterns that bear the market's signature as defined by relative
price relationships. The next step is to use a random number
generator to scramble the bars. When you have a new sequence, you
need a starting point, which is usually the prior C. The new bar is
derived from the prior C as follows (where the Syn prefix stands for
the new synthetic values):
>
>
>
> Syn-C = ref(C,-1) + deltaC;
>
> Syn-H = ref(C,-1) + deltaH;
>
> Syn-L = ref(C,-1) +deltaL;
>
> Syn-O=ref(C,-1) + deltaO;
>
>
>
> He calculates the interbar relationships as defined above
for a ticker of your choice. He uses a random number generator to
pick a number from 1 to x (x determined by the no. of bars you want
to scramble). That number is the next bar of the sequence. Suppose on
the 10th pick, you pick bar 5. Then the original bar 5 becomes bar 10
of the new sequence. The bars may repeat. You can generate as long a
sequence as desired. You use the synthetic values determined by the
equations above to establish the next bar's appearance. Thus, what
you wind up doing is encapsulating the market behavior in the
original bar 10 and reproducing it in another sequence to create new
synthetic data. You can generate a variety of chart patterns of any
length using data scrambling. According to Chande, you can generate
100 years of data and test your system against a variety of market
conditions. Since these are the types of patterns you are likely to
see in the future, this is the most rigorous out-of-sample testing
you can achieve.
>
>
>
> The above commentary was partly plagiarized from Chande's
book, and it is merely a synopsis. To get a clearer understanding of
the methodology with spreadsheet examples, you should read his
chapter devoted to scrambling.
>
>
>
> I have attached 2 gifs showing what scrambled data look
like on 2 different tickers. Note that the patterns are not any more
unusual than those of normal chart patterns, and you can see definite
trends developing. In fact, if you look at recent real charts of the
market indices, you will see many instances of V-tops and V-bottoms,
which is what William was concerned about earlier today. Hope this
helps. Many thanks to Leo Timmermans for programming Chande's
scrambler for Amibroker. I asked him recently if he could program it
in such a way to create synthetic data for an entire watch list at
one time. That might be tricky, but he said he would look into it.
>
>
>
> Al V.
>
> ----- Original Message -----
> From: wpeters_1
> To: amibroker@xxxx
> Sent: Wednesday, June 19, 2002 1:22 PM
> Subject: RE: [amibroker] Trends, random series, etc : was
MetaStock and AmiBroker
>
>
> AL,
>
> With randomised data isn't there a chance that the so-
called 'trend' can reverse on the next tick 'more-so' than data based
on human intervention. And that includes mechnical systems (ie. if
enough traders started using a certain indicator).
> The obvious predictability in human behaviour is what can
give you the little advantage and this is not in totally randomised
data.
>
> Surely if so your 'randomised' data 'trend' does not have
an equal chance of reversing on each and every tick then its not
randomised.
>
> Very interesting topic.
>
> William
> -----Original Message-----
> From: Al Venosa [mailto:avcinci@x...]
> Sent: Wednesday 19 June, 2002 10:54 AM
> To: amibroker@xxxx
> Subject: Re: [amibroker] Trends, random series, etc :
was MetaStock and AmiBroker
>
>
> Richard,
>
> I'm glad you took the liberty of changing the subject
line. I don't think you are being a pessimistic, grumpy old man
(sorry, don't know how old you are). Let me throw in another 2 cents
into the discussion of trends. You said in order to have a trend,
there must exist some information in the immediate past that would
cause the trend to persist for a long enough time to profit from the
move. I cannot agree more. That is absolutely true. A bad earnings
report comes out on INTC, and the market immediately reacts by
selling. This is further fueled by some nitwit analyst who changes
his buy recommendation to hold or sell (of course, always after the
fact!). Then, all the other individual "investors" climb aboard and
do more selling, driving the prices still further down. Then, the
company foretells that over the next several quarters there will be
more of the same in regards to diminished sales, inducing further
pessimism that drives the prices still further. All of this
information results in a downward trend. This does not nor cannot
happen with random events like coin tosses. So, technically speaking,
you are perfectly correct in your assertions .
>
> Now, the trend follower comes in. He couldn't care less
what is driving the prices down. In fact, he purposefully never pays
attention to news events and announcements that may drive prices in
one direction or another. He doesn't care about the cause of the
trend. All he does is climb aboard the resulting trend, using
whatever entry he has fashioned to enable him to take advantage of
this 'breakout' and whatever exit that enables him to exit when the
trend falters. Who was taking the other side of the market when
Neeson was loading up on Nikkei futures, driving the Barings Bank
into bankruptcy? The trend followers who recognized what was
happening and capitalized. What I'm saying is, the trend follower
buys or sells all breakouts (however you want to define the
term 'breakout') and hopes that the resulting price behavior
continues long into the future. With the scrambler, these 'trends'
can indeed take place even with randomized data, as you have already
pointed out. What I'm suggesting is that your system of entries and
exits doesn't have a clue what caused the breakout to occur because
it's nothing more than a mathematical algorithm that trades based on
certain signals programmed by the user when certain price behavior
occurs. I contend you can test your system on such price behavior
just to learn how well the system reacts to price breakouts and to
see if, indeed, it is effective in finding trends in the data, albeit
randomized data. By the way, these comments are not limited to trend
following systems. I chose that trading approach merely as an example
to make my point.
>
> Richard, I'm not trying to be argumentative on this
topic. I'm just pointing out why I think there might be value in
testing a fully optimized trading model on randomized data. Thanks
for the provocative discussion.
>
> Al V.
>
>
>
> >From: "Richard Alford"
> >Reply-To: amibroker@xxxx
> >To:
> >Subject: [amibroker] Trends, random series, etc : was
MetaStock and AmiBroker
> >Date: Wed, 19 Jun 2002 08:35:15 -0500
> >
> >I agree on the oxymoronic nature of so called random
series. The problem results from using very particular distributions
for the random numbers which allows the mathematicians to write books
and teach classes. The Gaussian functions are one of the most well-
behaved functions around.
> >
> >wrt trends in scrambler and other "random" time
series - simply stated if they are truly random there is absolutely
no information about the past in the next event. Your coin toss
observation is a great example: given the 1/1000 case of 10 heads in
a row the odds of another head are precisely 50% for the next toss.
> >
> >In order to discuss a "trend" there must be some
information that persists. One can generally, perhaps always, see
trends in a random series - in hindsight - however it contains no
predictive information. There are systems that seek to identify
trending vs. trading range behavior (I think Ehlers addresses this
issue - can't say with how much success), however, they are
inaccurate at the changes. A moving average on the coin toss series
will identify trends - but the lag in the moving average that we all
know of and try to remove is the "hindsight" problem.
> >
> >Trend scale is still another issue. The apparent
fractal behavior of the stock market suggests that one can find
trends, and/or search for trends, over any time scale desired. (The
inflationary or perhaps evolving nature of economies have placed a
long term upward bias on the trends that can confuse the issue.) Once
again a moving average of any length on a random series will display
periods of upward and downward "trends".
> >
> >Sorry to be such a pessimistic old grump.
> >
> >Cordially,
> >
> >Richard
> >
> > ----- Original Message -----
> > From: Avcinci
> > To: amibroker@xxxx
> > Sent: Tuesday, June 18, 2002 8:19 PM
> > Subject: Re: [amibroker] Re: MetaStock and AmiBroker
> >
> >
> > Richard,
> >
> > >>distribution of the trends is predictable for a
random series >> This sounds oxymoronic to me, i.e., predictable
distribution of random trends. But, I'll take your word for it. :-))
> >
> > Regarding the scale when speaking of trends, I was
referring to weeks to months, perhaps even a year or two at most
(stocks, not futures), but not decades. This brings us back to
discussing the Scrambler. You said you don't hold much if any value
in it, but can you elaborate just a little more on what you mean in
terms of the scale I am referring to, because in a period of 130
trading days, I noticed some pretty decent trends develop that lasted
long enough to be of value in system testing? Thanks, Richard. By the
way, I agree that this discussion, interesting as it is, has
absolutely nothing to do with Metastock!!
> >
> > AV
> >
> > ----- Original Message -----
> > From: Richard Alford
> > To: amibroker@xxxx
> > Sent: Tuesday, June 18, 2002 3:55 PM
> > Subject: Re: [amibroker] Re: MetaStock and AmiBroker
> >
> >
> > wrt rsi/stochastics/cmo/etc... my point was that they
attempt to identify a phenomenon that has been observed as an
indication of overbought/oversold. There is a reasonable belief that
the arithmetic created to identify that behavior can be a useful
indictor of that condition. The comment offered for Elliot wave and
Fibinacci behavior also points to a large community that believes
that there is a hidden structure to the market and human behavior - I
am not a devotee of that belief, but I also have my doubts about
Madam Cleo....
> >
> > wrt trends in random numbers: there is, of course, a
trend between any two non=equal numbers. Given a suitable sample, the
distribution of the trends is predictable for a random series -
probably also random and if the normal Gaussian (pardon the pun)
distribution is used, as the derivative (or instantaneous
slope/trend) is a skewed Gaussian. Interesting to the statisticians
but not very useful to the average investor.
> >
> > wrt: trending 30% - that really has to be a matter of
scale. If you chose a suitably long moving average you can probably
even consider today as part of a long time upward trend - not
particularly useful - although even my meager portfolio looks better
today than it did in 1970 - not saying much....
> >
> > Interesting discussion - don't have the faintest idea
what it has to do with MetaStock :)
> >
> > Cheers,
> >
> > Richard
> >
> >
> > ----- Original Message -----
> > From: Al Venosa
> > To: amibroker@xxxx
> > Sent: Tuesday, June 18, 2002 2:28 PM
> > Subject: Re: [amibroker] Re: MetaStock and AmiBroker
> >
> >
> > Thanks, Richard. I always enjoy your mathematical
insights. I hope you didn't get the impression I was
suggesting 'optimizing' on random bars. I was merely
suggesting 'testing' your already optimized system on the scrambled
data, seeing if it can detect those occasional occurrences of non-
random behavior of random numbers, that's all. Certainly if a trend-
following system can detect trends in random price bars, it ought to
be able to detect them in real, non-random price bars, too, don't you
think? Markets trend only about 30% of the time, as I am told, so
wouldn't you consider non-trending markets (i.e., sideways markets)
somewhat representative of random price behavior?
> >
> > I also get the impression you are not an advocate of
overbought/oversold oscillators, right?
> >
> > Al Venosa
> > avcinci@xxxx
> > >From: "Richard Alford"
> > >Reply-To: amibroker@xxxx
> > >To:
> > >Subject: Re: [amibroker] Re: MetaStock and AmiBroker
> > >Date: Tue, 18 Jun 2002 12:55:33 -0500
> > >
> > >The non-random appearance of random numbers is a
very well know phenomenon - probably accounts for the continued
enthusiasm in slot machines in Vegas...
> > >
> > >I stand by my comments. In particular, the various
oversold/bought indicators rely on the observation that the close
tends to be higher in the l-h range in the overbought condition - the
persistence of such a trend is interpreted as buy-sell behavior.
> > >
> > >I personally see no use in random data. There is no
information in random data and no expectation of the past affecting
the future - the only reason for technical analysis (other than too
much time on one's hands) is to glean information about the near
future. There are, of course, degenerate uses for random numbers in
testing, but to test, build, or, heaven forbid - optimize, using
random time series is pointless at best.
> > >
> > >wrt coin tosses: the coin is a Markov process of
length 0 - no memory. If the market is the same, we may as well head
for Vegas and get free drinks as we go broke. (OK - the market MAY be
a fair game, but I doubt it.)
> > >
> > >Just some thoughts...
> > >
> > >Richard
> > > ----- Original Message -----
> > > From: Al Venosa
> > > To: amibroker@xxxx
> > > Sent: Tuesday, June 18, 2002 9:57 AM
> > > Subject: Re: [amibroker] Re: MetaStock and
AmiBroker
> > >
> > >
> > > Well, Richard, to be honest, I haven't yet done any
back (er, I mean forward) testing of the random time bars created by
Scrambler. However, I have looked at the results of randomly
scrambling the bars and watching them form on the screen, and you can
see definite trends develop that can last several months, much like
in real life. So, at least theoretically, it seems to me that, if you
are testing a short-term or intermediate-term trend-following system,
it ought to be able to pick up on those short, seemingly non-random
trends (even though they were developed from a random number
generator). Remember, if you flip an honest coin 1000 times, there is
a low but finite probability that it will come up heads 10 or 12 or
15 times in a row.
> > >
> > > AV
> > >
> > >
> > > >From: "Richard Alford"
> > >
> > > >Reply-To: amibroker@xxxx
> > > >To:
> > > >Subject: Re: [amibroker] Re: MetaStock and
AmiBroker
> > > >Date: Tue, 18 Jun 2002 09:48:35 -0500
> > > >
> > > >I understood that the underlying premise of
technical analysis was that there IS information in the price-volume
behavior. If you test against random data the results had better
result in random behavior - perhaps mean behavior is more accurate.
> > > >
> > > >Perhaps I am delusional, however, I would
appreciate insight into the value of random time bars?
> > > >
> > > >Cordially,
> > > >Richard
> > > > ----- Original Message -----
> > > > From: Al Venosa
> > > > To: amibroker@xxxx
> > > > Sent: Tuesday, June 18, 2002 9:23 AM
> > > > Subject: Re: [amibroker] Re: MetaStock and
AmiBroker
> > > >
> > > >
> > > > Sorry, Dimitris, I thought you knew about it. Go
to post 19331 and download it, following Leo Timmerman's
instructions. What he has done is created a VBscript tool based on
Tuchar Chande's price bar scrambler that scrambles all the bars of a
given ticker from the previous x bars (bars and ticker set by the
user) and then re-orders those bars randomly into the future, thus
creating a ticker that you can use in forward-testing. If you set the
no. of bars to, say, 130, you can generate 6 months worth of new data
for each ticker you do this on. Very, very cool. It differs from
William's Simulator in that it actually generates new data rather
than repeating existing data from the last x bars. Try it, you'll
like it.
> > > >
> > > > Al Venosa
> > > >
> > > > >From: "dtsokakis"
> > > >
> > > > >Reply-To: amibroker@xxxx
> > > > >To: amibroker@xxxx
> > > > >Subject: [amibroker] Re: MetaStock and AmiBroker
> > > > >Date: Tue, 18 Jun 2002 13:49:30 -0000
> > > > >
> > > > >What is Leo's scrambler ??
> > > > >DT
> > > > >--- In amibroker@xxxx, "Al Venosa" wrote:
> > > > > >
> > > > >
> > > >
> > > >
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