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I too
would dearly like to hear more about this system. You talk about tripple
digit returns "on the whole market for 10 to 11 years". That would
be at least double the best RAR that I've ever seen using one system, one set of
parameters across all stocks.
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size=2>
Can
you explain what you mean by the "whole market"? Are you applying
your system across all 7,500 (or so) U.S. stocks? Any
filtering? Do you include extinct stocks? Is your
filtering based on real volume and price on the day or are you using
backadjusted prices/volumes?
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size=2>
I look
forward to hearing more about your "grail".
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Lionel Issen
[mailto:lissen@xxxxxxxxxxxxxx]Sent: Thursday, March 27, 2003 8:48
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: TRENDING vs. RANGING markets
Please post an
outline of this system
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Lionel
<FONT
face=Tahoma size=2>-----Original Message-----From: phsst
[mailto:phsst@xxxxxxxxx] Sent: Wednesday, March 26, 2003 10:15
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TRENDING vs. RANGING marketsGosub
states:<<However.... What I'm really looking for is what people
foundto be the best indicator to help identify the current situation
(notthe future). I was basicaly throwing out a question to everyone
tosee if anyone has had better success than me when developing
atransitional system that identifies when it is necessary to change
toa different indicator.>>That is a fair question and I'll
be happy to share my own experiencewith backtesting (and trading) trend
detection systems.In the book Street Smarts co-authored by Linda
Raschke, she outlined atrading methodology named the 'Holy Grail' which
uses the ADX, PDI,MDI indicators to determine trend direction.With
the help of a friend who has more 'instinctive' abilities thanme, I
developed a backtest system based upon a slight derivitive ofLinda's 'Holy
Grail' and hit paydirt. The 'Holy Grail' system is a classic pullback
system that Lindaprimarily trades futures with. My friend and I adapted it
to stocktrading.In my own software, I calculated an Annual
Percentate Rate of return of189.59% for the past 10 or 11 years on the
whole market. I recentlyadapted my 'Holy Grail' system to Amibroker and
achieved silimarresults but with improvements using the Optimize function.
ABcalculates the APR differently and reports a RAR of 142.21%, but
witheven greater monatery return amounts. While I don't know for sure,
Ithink the difference in calculated percentage returns is that in
myown system calculates returns based upon calendar days of exposure
tothe market, while AB might use Bars of exposure to the market.
Butthat is a subject for another discussion.A few weeks ago, I
believe that Jayson stated that pullback systemsstopped working after the
1999 blowoff, buy my system has shown aprofit every year for the past 11
years.As an aside... I'd encourage others to post backtest results on
thewhole market for the past 10 or 11 years of their favorite
systemsjust to see how good other trading systems can be using a RAR or
APRmeasurement.But anyway, back to this thread: In
developing other trading systems, I can generally improve resultsby
incorporating the ADX, PDI, MDI indicators to implement trenddetection in
my system development efforts.Also, I use a Quotes Plus database which
has a historical QRSindicator which emulates Investors Business Daily's
proprietaryRelative Strength indicator. And my experience has been that by
alsofiltering with the QRS indicator, my backtesting results are
improvedeven more. The only problem is that Quotes Plus
apparentlyincorporated the QRS measurement in 1995, so when using
thatindicator, you cut into the amount of historical data that you can
useto backtest.Hope this is what you were asking for. And I hope
that others willshare their 'favorite' trend detection indicators with the
metricsthey use to measure system trade improvements. Whenever I need a
trendindicator, the ADX, PDI, MDI are the first indicators I grab for.
Howabout the rest of you?Phsst--- In
amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx> wrote:> Hi
Yuki,> > Thanks for your comments.> I agree with you
completely. However....> What I'm really looking for is what people
found> to be the best indicator to help identify the> current
situation (not the future).> I was basicaly throwing out a question to
everyone to> see if anyone has had better success than me when>
developing a transitional system that identifies> when it is necessary
to change to a different indicator.> I have had success with such a
system. The problems> arise during the transition phase from Trading to
Trending.> (Some losses due to ambiguity/confusion.)> Once the
transition is completed and the system automatically> changes to the
appropriat indicator, it works fine.> I was trying to see if anyone
else had played with this> and perhaps found a better way.> I am
familiar with many indicators which can help with this> but I'm always
open to others.> Jayson was very helpfull in pointing out the R-Squared
and> Twiggs-Money Flow.> > Thanks again,>
gosub283> > > --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga
<yukitaga@xxxx> wrote:> > Hi gosub283,> > >
> Thursday, March 27, 2003, 2:08:16 AM, you wrote:> > >
> g> When a human looks at a chart, he/she can immediately determine
> if> > g> a market is in a TRENDING mode or a RANGING
mode. It is a most> > g> amazing feat of human visual data
analysis that takes place in a> > g> matter of seconds. Trying to
get computers to "visually" analize> > g> anything takes major
computing power. Unfotunately computers and> > g> trading system
have a much more difficult time of determining> > g> these market
modes than us humans.> > > > I am not so sure humans do a
much better job of this analysis than > do> >
computers. When we look at charts, we are looking at 100 percent>
> history. It is indeed rather easy to "segment" this history
into> > trending and ranging periods using analytical
abilities. Yes, it> > does happen in seconds, and seems almost
effortless.> > > > However, the most important time period
for any trader is that > period> > of time which is NOT
VISIBLE on the chart -- namely, the future. We> > can "see"
the ranging and trending periods, but only in retrospect,> > where
our minds make nice, neat visual categories for us based on> > what
we *see*. But at the "real time" turning points, when the> >
actual transition is in the future, out of sight, I doubt if either>
> human or computer can reliably identify these transitions in >
advance.> > (Reliably to me would be with some statistical edge that
clearly> > beats random guessing.)> > > > In
hindsight, it is all so clear of course -- so clear that it is> >
tempting to believe that one can find some mathematical formula that>
> will reveal all. But this is a sect in the cult of "Holy
Grail-ism"> > in my opinion. To test my theory that human beings are
not any > better> > at identifying the transitions in "real
time" than computers, scroll> > a chart very slowly (bar by bar)
from left to right, with the future> > always off the screen, just
as in real life. Make sure the chart is> > a completely
unknown issue or index, and preferably one with the> > dates
entirely removed or obscured (to do this test correctly >
someone> > else will probably need to set up a blind test for you, I
don't > think> > you can truly set up a valid blind test
yourself). Now see > how "good"> > your human brain is at
identifying the transitions in "real time".> > And good luck!
^_-> > > > YukiSend BUG REPORTS
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