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Hi Phsst,
Thanks again for your commentary on this subject.
One question regarding your last message. It's bit of
a dumb question, but here it is nonetheless...
What's a Pullback ?
I suspect I know it by a different name, but what is
a pullback as it relates to your system.
Is it perhaps a "retracement" ?
Thanks for you patience..
Gosub
Hey, you Plunge Protection Team guys !...leave the
NASDAQ alone !....let it fall.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> <Please post an outline of this system>
>
> I responded to a post asking what people found to be the best
> indicator to help identify the current situation (trend). I posted
> enough info to put anyone on a track to explore and backtest their
own
> 'pullback' system using ADX, PDI and MDI as the primary trend
> detection indicator.
>
> Use your imagination and backtest your own various 'pullback'
> scenerios. Play with simple moving average and exponential moving
> average crossover/pullbacks. Then play with Entry / Exit stradegies.
> Then, when you hit upon something promising, play with optimization
> and make it better.
>
> Here is my point..... I know from experience that any number of
> backtested pullback stradegies are profitable. And I figure that if
> you work hard enough at it that you can hit upon your own unique
setup
> and exit stradegy. That should be enough information to motivate you
> to work at it, and yet keep us from stepping all over each other in
> our real-life trading.
>
> I posted my own pullback system APR and RAR results. I'd like to
hear
> from others with RAR from their favorite trading systems along with
a
> **very** general description of their own trade setup criteria. I am
> not particularly creative, but I can take a concept and 'worry it to
> death' until I sculpt my own trading system from it.
>
> I'll share a backtesting Stop Loss stradegy that I have had to code
> around in my own backtesting code...
>
> When entering an actual 'next day' trade based upon EOD data, it is
> impossible to tell from database data whether the LOW of the next
day
> occurred BEFORE or AFTER the position is entered. THEREFORE, I
design
> my trading systems so that a Trailing Stop Loss Order is *NEVER*
> entered on the day that the trade is entered. But rather, I only
> implement my trailing stop loss system on the night after the trade
is
> executed, and I then adjust the StopPrice nightly thereafter.
>
> Regards,
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@xxxx>
wrote:
> >
> >
> > 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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