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<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?>
"Whole Market" means the universe of tradable stocks that existed
within the Quotes Plus Database at any given point and time. I do
filter based upon liquidity, along with some other metrics that
measure the 'radical' nature of the pullbacks.
I remember that in late 1999, early 2000 there were about 10,500
tradable stocks. And now there are approx. 8,000 'more or less'. (I've
watched the number decrease steadly for the past four years with the
implosion of the 'bubble'.
While I have accurately reported the backtest results, I will admit
that the last month that I actually traded "every" setup was Feburary
of 2000. As you all know, that was the 'blowoff' month. And during
that month, I had three different stock trades that more than doubled
in a five to seven day period.
>From one perspective, I was fortunate to recognize the 'blowoff' for
what it was... but from another perspective, I was so suspicious of
the market (not to mention my own trading system) that I have since
failed to consistantly trade my system to its' full potential. But my
'pullback' system has continued to perform. I would have been much
better off to have continued to trade it rather than just stand by and
observe...
This speaks volumes about the foibles of Traders who second guess
their trading systems.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> MessageI 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.
>
> 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?
>
> I look forward to hearing more about your "grail".
>
> Cheers
> -----Original Message-----
> From: Lionel Issen [mailto:lissen@x...]
> Sent: Thursday, March 27, 2003 8:48 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: TRENDING vs. RANGING markets
>
>
> Please post an outline of this system
>
> Lionel
>
>
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Wednesday, March 26, 2003 10:15 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TRENDING vs. RANGING markets
>
>
> Gosub states:
>
> <<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.>>
>
> That is a fair question and I'll be happy to share my own experience
> with backtesting (and trading) trend detection systems.
>
> In the book Street Smarts co-authored by Linda Raschke, she outlined a
> trading 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 than
> me, I developed a backtest system based upon a slight derivitive of
> Linda's 'Holy Grail' and hit paydirt.
>
> The 'Holy Grail' system is a classic pullback system that Linda
> primarily trades futures with. My friend and I adapted it to stock
> trading.
>
> In my own software, I calculated an Annual Percentate Rate of
return of
> 189.59% for the past 10 or 11 years on the whole market. I recently
> adapted my 'Holy Grail' system to Amibroker and achieved silimar
> results but with improvements using the Optimize function. AB
> calculates the APR differently and reports a RAR of 142.21%, but with
> even greater monatery return amounts. While I don't know for sure, I
> think the difference in calculated percentage returns is that in my
> own system calculates returns based upon calendar days of exposure to
> the market, while AB might use Bars of exposure to the market. But
> that is a subject for another discussion.
>
> A few weeks ago, I believe that Jayson stated that pullback systems
> stopped working after the 1999 blowoff, buy my system has shown a
> profit every year for the past 11 years.
>
> As an aside... I'd encourage others to post backtest results on the
> whole market for the past 10 or 11 years of their favorite systems
> just to see how good other trading systems can be using a RAR or APR
> measurement.
>
> But anyway, back to this thread:
>
> In developing other trading systems, I can generally improve results
> by incorporating the ADX, PDI, MDI indicators to implement trend
> detection in my system development efforts.
>
> Also, I use a Quotes Plus database which has a historical QRS
> indicator which emulates Investors Business Daily's proprietary
> Relative Strength indicator. And my experience has been that by also
> filtering with the QRS indicator, my backtesting results are improved
> even more. The only problem is that Quotes Plus apparently
> incorporated the QRS measurement in 1995, so when using that
> indicator, you cut into the amount of historical data that you can use
> to backtest.
>
> Hope this is what you were asking for. And I hope that others will
> share their 'favorite' trend detection indicators with the metrics
> they use to measure system trade improvements. Whenever I need a trend
> indicator, the ADX, PDI, MDI are the first indicators I grab for. How
> about 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! ^_-
> > >
> > > Yuki
>
>
>
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