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Al,
You may find more details now.
The values of D-ratio are common for various stocks.
The multiplier 500 or 1000 is for scaling purposes.
D1, D2 levels vary from stock to stock.
I prefer the fast smoothed DEMA(D-ratio,5) to avoid sudden [and
useless spikes]
As for Turtles, I think it is propriatary, please check it out.
DT
--- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> --- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> > 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 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 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?
> No, this is not true. The D-ratio=(H-L)/(H+L) has similar range for
> all stocks, see the suggested explorations or wait for the detailed
> examples later today.
> I suppose it has to be different if a $200 stock is being used,
> right?
> Negative again, the D-ratio is a relative quantity, not an absolute
> one.
> What's the fundamental basis of the 0.001?
> It is a coefficient to arrange D-ratio values in the scale 0-100
> 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
by
> a lower number.
> H+L is used as an "average" of intraday values instead of C.
> In MANY indicators we use (H+L)/2 or (H+L+C)/3 or (H+L+2*C)/4
instead
> of C.
> You buy when the range is greater than the product of H+L*0.001*43.
> It's all completely and totally empirical.
> I do not see any problem to use empirical relations. If, someday,
> they will be replaced by more "scientific" ones, I will be glad,
but
> they will be much more complicated and there is no doubt about it.
> 14 and 43 were the optimal values for QQQ, nothing more, nothing
> less. I did not speak for something universal, it was just an
> individual study.
> 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.
> I agree with you but what can I do ?
> >
> > >>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 avoid
> use 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't use Stochastics, RSI, DEMA, TEMA, etc., etc.
> I consider the analytic RSI formula by far more complicated than
the
> H/L relations. As for DEMA and TEMA, I will not discuss it at all.
> If you really have a "common" understanding for TEMA, please, do
not
> hesitate to post it, everybody will read it.
> 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.
> I will post the D-ratio study today. After reading it, please ask
> anything you want and I will try to respond.
> DT
> PS: Shall we open a new thread re:Turtles ?
> Do you Have any experience ? Any recent backtesting results ?
> Have you coded the system ?
> >
> > AV
> >
> >
> > ----- Original Message -----
> > From: dtsokakis
> > To: amibroker@xxxx
> > 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 is not 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 H and L only,
> [have
> > you seen anything more simple than this ?], nobody is
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 complicated than 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 have not 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@x...]
> > > 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@x...]
> > > > 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 #
> > > > 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@x...]
> > > > > 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
> > > > >
> > > > >
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