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Hi, Nate. Long time, no hear. I'm not sure your post is about the CMO5 system or the Turtle system. Can you elaborate a little on what you are talking about? What are you setting to 0? How do you use TRIX to evaluate preformance of a system? I'm at work right now, so I cannot go back and review past posts. Thanks.Al Venosa
>From: "Dr. S. Nathan Berger"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: amibroker@xxxxxxxxxxxxxxx
>Subject: [amibroker] Stocks for Turtle (Was ] Re: QQQ Individual Analysis)
>Date: Mon, 24 Jun 2002 09:49:52 -0400
>
>Al-
>
>After resetting to Zero as per previous posts, I optimized
>individually and
>used the TRIX to evaluate its performance over the stocks in Steve's
>CMO50
>stable. Virtually all of them optimized at 5, 3. I include here only
>those
>returning a performance of OVER 1500%:
>AMTL, BEAS, CEFT, AHIR, CHKP, CMVT, CTX, DYN, KLAC, MERQ, NVDA,
>SEBL.
>
>Of these, MERQ is 4800% and NVDA is 4900%
>
>Either I have done something terribly wrong- or I have died and gone
>to heaven!
>
>Nate
>
>
>
>
>
>At 09:03 AM 6/24/02 -0400, you wrote:
>
>>Thanks for the explanations and clarifications, Dimitris. Regarding
>>the
>>Turtles, several years ago I plunked down big money to buy the
>>manual from
>>the www.turtletrader.com site. It is a
>>huge
>>document, but there are only 46 pertinent pages in it that describe
>>the
>>methods. It is so poorly written that I found it too difficult to
>>understand. The English is atrocious, and the examples given, of
>>which
>>there are very few, are all different, so it is very confusing to
>>follow
>>the logic. The money management tables are the key to success, not
>>the
>>entries and exits (which are well known, so I really haven't given
>>anything away on the boards here. Tharp presents the basic Turtle
>>system
>>in his book). You don't even need to use their entries and exits if
>>you
>>don't want to as long as you use consistent triggers that recognize
>>the
>>beginning and end of a trend. The Holy Grail part of the system is
>>the
>>complicated money management and pyramiding scheme presented in
>>tables on
>>several pages of the document. Very little explanatory text
>>accompanies
>>those tables, which I found exceedingly difficult to comprehend.
>>So, I
>>laid the book down and forgot about it until I discovered Amibroker
>>and
>>read other books on trading. Now, my interest is piqued again, but
>>I still
>>find the document confusing to read. I've begun coding the system
>>(which I
>>posted last night), but so far it hasn't given satisfactory results
>>in
>>backtesting. There's probably something I'm doing wrong, and I
>>think it
>>has a lot to do with filtering the proper stocks to trade.
>>
>>Al Venosa
>>
>> >From: "dtsokakis"
>> >Reply-To: amibroker@xxxxxxxxxxxxxxx
>> >To: amibroker@xxxxxxxxxxxxxxx
>> >Subject: [amibroker] Re: QQQ Individual Analysis
>> >Date: Mon, 24 Jun 2002 06:11:57 -0000
>> >
>> >--- In amibroker@xxxx, "Avcinci" 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" 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@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" 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 #
>> > > > > http://groups.yahoo.com/group/amibroker/message/20095
>> > > > > DT
>> > > > > --- In amibroker@xxxx, "bluesinvestor"
>> > > 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
>> > > > > >
>> > > > > >
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