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--- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx> wrote:
> Hi DT,
>
> I agree with you on these issues.
> I am getting a little of topic here but I think
> this is an interesting subject.(I realize that I am
> stating things that you already know, so I am just
> writing this for interesting conversation)
>
> Your example of the RSIobi never exeeding 50
> is a perfect example of how we intuatively apply
> a statistical measure to a data set. In our brain,
> we somehow "sense" that the RSIobi can be used as a
> boundry. We can't imperically prove the RSIobi is
> about to reverse because we don't think in numbers.
> Our "fuzzy" logic applies a loose rule to the data.
>
> A computer could not "think" of this by itself.
> The human looks at the data and the brain visually
> "scans" for anomolies and repetitive patterns.
> Then we get the idea .."Hey, perhaps if I study this
> data using math...I can find a pattern or a
> set of rules which work with some degree of repeatability."
> It is the intstinctive way that our brain asseses the "Picture".
> In your example, it would be a statistical anomoly
> (an outlier) if the RSIobi exceeds 50.
There is a VERY important note [from the traders point of view].On
March21, the N100 RSIobi was 48.5. One could have this info half an h
before the end of this session. Since RSIobi never exceeds 50, one
could SELL AT CLOSE or near the close. For many stocks the day was a
Doji, Closing prices were near Open and, in general, far from the
lowest of the session. See the great opportunity to avoid next
session gap down.
If RSIobi was exceeding 50 the next morning [the exception], you
could not enjoy higher profits, BUT, your 3/21 exit would still be a
very good choice.
This is the simple way to use this RSIobi property, 6 times the last
two years.
Of course, there were MANY additional signals to confirm this "sell
at close".
For example, MACDBULL was benting from its 3/20 value [99%, the
highest high of the last 40 months !!!] moving from 99% to 97%,
confirming its anticipator signal from 3/18.
since we are not lucky to meet such signals everyday, it is good to
pay attention and be there.
All these rules for composite tickers are not subjective estimations.
The market behaves in this mode and the market SHOULD verify itself
[not me...]
DT
Therefore we
> assign an intuative statistcal probability to the
> chance of RSIobi going above 50 and use it as a possible
> reversal sign. Sometimes, we will be wrong as you know.
> Having said that, I still prefer to put these
> intutions into hard code because it removes one of the prime
> weaknesses thet we humans have (some more than others)which
> is EMOTION. My emotions have screwed up a trade far too often.
> I now try to rely totally on my system signals.
>
> To quote a famous system trader:
> Sometimes I don't use my system and try a trade on my own.
> Fortunately, I don't loose enought to cause any great damage.
> The I go back to my system. :-)
>
> Have a great day,
> Gosub283
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
>
> >
> > Let us make something more clear: When a person looks at a chart,
> he
> > describes that the market WAS trending the last x bars. Nothing
> more,
> > nothing less. It does not give ANY guarantee that the market will
> > keep on for the next y bars. Even if you work with target prices,
> you
> > never know the time to reach the target.
> > On the other side, it is interesting to estimate the end of a
trend.
> > On this sensitive subject I have some solutions, see the recent
> > messages for the 6 or 12 SELL signals, they appeared on critical
> N100
> > points. Of course, nobody knows if someday the RSIobi will exceed
> 50.
> > It just never did it in the last 40 months. Thatīs why I speak
for
> > partial profit taking . If you were already long, it would be
nice
> to
> > take some profits. In some cases the trend was not over, another
> Sell
> > signal appeared some bars later. This repetition is VERY
important
> > and it would be better to Sell the rest open longs.
> > I hope it is more clear now.
> > DT
> >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > <TSOKAKIS@xxxx>
> > > wrote:
> > > > Look for example at this 5-min ^NDX session chart.
> > > > It is very close to the ideal sinusoidal, it could be the
> > academic
> > > > definition or a non-trendy session.
> > > > We know it now. We did not have any idea 8 h ago,only guesses
> > > perhaps.
> > > > At the peaks of the 10-12 units range, some people buy [to
> catch
> > > > the "trend"] and some people sell [to define the "range"].
> > > > This is the whole story [and this will be].
> > > > If we characterise the session as "trading", we refer always
to
> > the
> > > > past and we have no guarantee at all if the next session will
> be
> > > > extra trendy or not. We can only guess and, believe me, it is
a
> > > hard
> > > > job that needs a lot of study...
> > > > DT
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx>
> > wrote:
> > > > > Hi everyone,
> > > > >
> > > > > I think this issue will become more important
> > > > > over the next year or two.....
> > > > >
> > > > > When a human looks at a chart, he/she can
> > > > > immediately determine if a market is in
> > > > > a TRENDING mode or a RANGING mode.
> > > > > It is a most amazing feat of human visual
> > > > > data analysis that takes place in a matter
> > > > > of seconds. Trying to get computers to "visually"
> > > > > analize anything takes major computing power.
> > > > > Unfotunately computers and trading system have
> > > > > a much more difficult time of determining these
> > > > > market modes than us humans.
> > > > > Things become very "fuzzy" when trying to
> > > > > put the question of "Ranging vs. Trending" into
> > > > > mathamatical algorithms. And...of course.. the
> > > > > trading timeframe (long term vs. short term),
> > > > > make things even fuzzier. (is "fuzzier" a word ??)
> > > > >
> > > > > For those of us who program automated systems,
> > > > > this is especialy important because it means
> > > > > that we can design systems that adjust effortlessly
> > > > > between ranging and trending markets. If correctly
> > > > > identified, a system can use a particular set
> > > > > of indicators for Ranging markets and then switch
> > > > > to other indicators when a trend is determined.
> > > > > Allowing for a truly autonomous system.
> > > > >
> > > > > Has anyone found a way to mathamatically (reliably!)
> > > > > determine if a market is Trending or Ranging ???
> > > > > (An AFL algorithm perhaps)
> > > > > In other words, an indicator which can give direction
> > > > > as to which set of indicators to use.
> > > > > (A hypothetical example of such an indicator would
> > > > > have a response from 0=ranging to 10=Trending )
> > > > >
> > > > > Cheers,
> > > > > Gosub283
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