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Al,
I've got to get Stephan's most recent version of
rembuy.dll , the older version is giving me some errors. I'll try a few things
and then get back to you. I read from the turtles site that AMZN would be agood
candidate stock, maybe we can compare our codes using AMZN from 03/01/1998 to
21/06/2002.
Why set Buy/Short delay to 0 ??
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Avcinci
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 9:13 PM
Subject: Re: [amibroker] Turtle Trading
System was QQQ Individual Analysis thread
Greg,
See attached afl file. It does not contain the code for the last
theoretical trade. And I haven't debugged it, so there might be errors. You
might want to try optimizing the buy and sell days. You need to use Stephane's
rembuy.dll plugin at the Amibroker files section of Yahoo. Your buy/short
delay should be set to 0, and your sell/cover delay should be set to 1. Your
initial equity should be set to 100,000. If you test this on a watchlist of
lots of stocks, it won't do well. I'm still trying to find a way to filter the
universe of stocks down to a reasonable number. Let me know how it works out
for you. Maybe you can suggest a way of filtering.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=greg.bean@xxxx
href="">greg
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 7:42
PM
Subject: [amibroker] Turtle Trading
System was QQQ Individual Analysis thread
Hi,
I've tried to construct The Turtle System you talk
about here. Could you check my afl and tell me if I've got it right.
I'm not getting very good results and I am unable to get rid of multiple
arrows. Here's what I have coded so far;
// Turtle Trading //<FONT face="Courier New" color=#000000
size=1>
/*Yes, the time-proven Turtle breakout system. They go long when the
Highest High of the last 55 days is exceeded (breakout) OR go Short when the
Lowest Low of the last 55 days is exceeded. They exit the long positionwhen
the Lowest Low of the last 20 days is exceeded OR the Short position when
the Highest High for the last 20 days is exceeded. That's it. No indicators,
no moving averages, no stochastics, no oscillators, only the High AND Low. I
don't know of any simpler system than that (although, there are other
nuances, like NOT taking the Signal if the last theoretical trade was A
winner). The thing about that system is that it makes logical sense. It's
easy to understand AND picture in the mind. The idea is that if A security
(stock OR commodity) breaks out of A trading range, there is likely to be A
continuing momentum that will carry it into A long term trend. There are
lots of False signals, but when it is NOT False, the profits are reallybig.
Lots of people who follow the Turtle system have made lots of money with it
over the years.*/
EnterLongs=H>=<FONT face="Courier New" color=#0000ff
size=1>HHV<FONT face="Courier New" color=#000000
size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>55);
exitLongs=L>=<FONT face="Courier New" color=#0000ff
size=1>LLV<FONT face="Courier New" color=#000000
size=1>(L,<FONT face="Courier New" color=#ff00ff
size=1>20);
EnterShorts=L<=<FONT face="Courier New" color=#0000ff
size=1>LLV<FONT face="Courier New" color=#000000
size=1>(L,<FONT face="Courier New" color=#ff00ff
size=1>20);
ExitShorts=H<=<FONT face="Courier New" color=#0000ff
size=1>HHV<FONT face="Courier New" color=#000000
size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>20);
Buy=EnterLongs;
Sell=exitLongs;
Short=EnterShorts;
Cover=ExitShorts;
Buy=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Buy,Sell);
Sell=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Sell,Buy);
Short=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Short,Cover);
Cover=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Cover,Short);
Filter=<FONT face="Courier New" color=#ff00ff
size=1>1<FONT face="Courier New" color=#000000
size=1>;
AddColumn<FONT face="Courier New" color=#000000
size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>"High"<FONT face="Courier New" color=#000000
size=1>,1.2<FONT
face="Courier New" color=#000000 size=1>);<FONT
face="Courier New" color=#0000ff size=1>
AddColumn<FONT face="Courier New" color=#000000
size=1>(HHV<FONT
face="Courier New" color=#000000 size=1>(H,<FONT
face="Courier New" color=#ff00ff size=1>55<FONT face="Courier New"
color=#000000 size=1>),<FONT face="Courier New" color=#ff00ff
size=1>"HHV(H,55)"<FONT face="Courier New" color=#000000
size=1>,1.2<FONT
face="Courier New" color=#000000 size=1>);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Avcinci
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 7:06
PM
Subject: Re: [amibroker] Re: QQQ
Individual Analysis
Dimitris,
>>When i give EXACTLY individual
analysis, you ask "why use it ONLY on the QQQ? ". It is strange, isnt
it?>>
In your very first post on this subject, it appeared, at least to me,
you were suggesting it for the QQQ. You made no mention of it being used
for anything else. So, naturally, I had the impression you had developed
this system for QQQ only.
>>[have you seen anything more simple
than this ?]>>
Yes, the time-proven Turtle breakout system. They go long when the
highest high of the last 55 days is exceeded (breakout) or go short when
the lowest low of the last 55 days is exceeded. They exit the long
position when the lowest low of the last 20 days is exceeded or the short
position when the highest high for the last 20 days is exceeded. That's
it. No indicators, no moving averages, no stochastics, no oscillators,
only the high and low. I don't know of any simpler system than that
(although, there are other nuances, like not taking the signal if thelast
theoretical trade was a winner). The thing about that system is
that it makes logical sense. It's easy to understand and picturein
the mind. The idea is that if a security (stock or commodity) breaks out
of a trading range, there is likely to be a continuing momentum that will
carry it into a long term trend. There are lots of false signals, butwhen
it is not false, the profits are really big. Lots of people who follow the
Turtle system have made lots of money with it over the years.
When I read your code with no explanatory notes, I was puzzled as to
the meaning of the lines, and frankly I still am. The coefficiet 0.001 is
likely good only for the QQQ. True? I suppose it has to be different if a
$200 stock is being used, right? What's the fundamental basis of the
0.001? The H+L? The other parameter coefficients? If the H/L spread
shrinks at the peak in price, then adding the high to the low value and
multiplying it by a bigger number compensates for when the H/L spread
increases at the trough, where you multiply the sum of the H and L bya
lower number. You buy when the range is greater than the product of
H+L*0.001*43. It's all completely and totally empirical. Again, as I said
for the 0.001 coefficient, I suspect each stock would have to have its own
d1 and d2 parameter values, right? If that's true, it would be too
complicated, at least for my feeble mind, to keep track of all those
different parameter values.
>>Do you understand the same question
for the indicators you use ? Do you "see" the meaning of StochD()<30
for example?>>
This may come as a surprise to you, Dimitris, but I try to avoiduse
of indicators as much as possible, and most especially if I don't
understand the indicator. I like ADX as a trigger for the beginning of a
trend. I can go into a long explanation as to why, but that would be
counterproductive on this board. I use simple trailing stops. I don'tuse
Stochastics, RSI, DEMA, TEMA, etc., etc. All I was saying was when
you suggest and post a trading system on the board, it would be nice to
have a short explanatory dialogue for its use or in support of its basis.
That's all. You said Stoch()<30 is much more complicated than a simple
H/L relation. You are right. But, I didn't understand the particular
H/L relation you were proposing. Thanks for your contribution.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=TSOKAKIS@xxxx
href="">dtsokakis
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 4:06
PM
Subject: [amibroker] Re: QQQ
Individual Analysis
Well,I try to respond as fast as possible, as you
see.Different questions from different points of view.It isnot
only QQQ, we have had the same discussion with Don today for
MSFT.QQQ was an example. Just an example.This excellent forum is
strange.When I give Trade the Market systems, many people ask for
individual analysis. When i give EXACTLY individual analysis, you
ask "why use it ONLY on the QQQ? ".It is strange, isnt
it?Many people ask for a "copy/paste" formula without
explanations.When I give a SIMPLE, PRE-INDICATOR formula with Hand
L only,[have you seen anything more simple than this ?], nobodyis
satisfied, because they want to learn something "behind" the
formula.Please, do not make simple things to look as
complicated.When the stock is near the peak the H/L spred shrinks,
when it is near the trough the spread widens and thats all.It is
just an observation and it may be translated to some trading rules.
Is it more complicated than RSI mechanism ?I think no.I would
like to read what you do not understand, but, before posting your
[interesting] question just think : Do you understand the same
question for the indicators you use ?Do you "see" the meaning of
StochD()<30 for example ?I think it is much more complicatedthan
a simple H/L relation ?I would like to have your
opinion.DT--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx>
wrote:> DT,> > Several people have asked you to
explain the rationale behind your latest "system", but you havenot
responded. I think it would be very helpful that, whenever someone
submits a trading idea to the group, he/she at least includes a
short paragraph with some brief explanation or support for the
rationale behind the system or idea. I look at the code and it
baffles me what it is trying to say. You buy when the today's range
exceeds 0.1% of a fudge factor multiplying the sum of the high and
low, and you sell when today's range is less than this product.What
the heck does that mean? And, why use it ONLY on the QQQ? Very
baffling. > > Al V.> ----- Original
Message ----- > From: Nurudin Kaba
> To: amibroker@xxxx > Sent:
Sunday, June 23, 2002 6:18 PM> Subject: RE:
[amibroker] Re: QQQ Individual Analysis> >
> 14,43 happen to be the optimum numbers...though it
does form an island using Herman's 3D graphing via excel...>
> Interesting...but still don't understand the
rational behind the system. > >
Thanks> -----Original
Message-----> From: dtsokakis
[mailto:TSOKAKIS@xxxx]> Sent: Sunday,
June 23, 2002 12:10 PM> To:
amibroker@xxxx> Subject: [amibroker]Re:
QQQ Individual Analysis> >
> As you see in settings, the final
result is for Long & short
trades.> If you select Long only, or
Short only, you get the respective
results> ///QQQ [14,43]=+177% [LONG]
> ///QQQ [14,43]=+359% [SHORT] AND
> ///QQQ [14,43]=+1175% [LONG &
SHORT] > for parameters values 14,
43> DT>
--- In amibroker@xxxx, "Nurudin Kaba" <n.kaba@xxxx>
wrote:> > DT, what is the premise
behind HL.afl.> >
> >
Thanks> > -----Original
Message-----> > From:
dtsokakis [mailto:TSOKAKIS@xxxx]>
> Sent: Sunday, June 23, 2002 11:16
AM> > To:
amibroker@xxxx> > Subject:
[amibroker] Re: QQQ Individual Analysis>
> > >
> >
Peter,> > My data begin on
3/1/2000.> > See analytic
#> > <A
href="">http://groups.yahoo.com/group/amibroker/message/20095>
> DT> > ---
In amibroker@xxxx, "bluesinvestor" <investor@xxxx>
wrote:> > >
Dimitris,> > >
> > > Again great
performance and yet not the same trades or
> results ...
> > does
your> > > history go
back further than Jan 2000?>
> > > >
> Peter> >
> -----Original
Message-----> >
> From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]> >
> Sent: Sunday, June 23, 2002 11:59
AM> > > To:
amibroker@xxxx> >
> Subject: [amibroker] QQQ Individual
Analysis> > >
> > >
> > > If
you are fed up from my Composite Analysis, let us make a
> break >
> with an>
> > individual one.>
> > Simple logic, simple profits,
pre-indicator era.[High, Low > and
> > thats
all> > >
!!]> > >
Dimitris Tsokakis> > >
> > >
> >
> Yahoo! Groups
Sponsor> >
>
ADVERTISEMENT> > >
> > >
> > >
> > >
> > > Your
use of Yahoo! Groups is subject to the Yahoo! Terms of
> >
Service.> >
> > >
> Your use of Yahoo! Groups is subject to the Yahoo!
Terms of > Service.> >
> Your use of Yahoo! Groups is subject to
the Yahoo! Terms of Service. > > >
Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.Your use of Yahoo! Groups is
subject to the Yahoo!Terms
of Service. Your use of Yahoo!
Groups is subject to the <A
href="">Yahoo! Terms of Service.
Your use of Yahoo! Groups is subject to the <A
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