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<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..>
Yes, a pullback represents a "retracement".
Use ADX, PDI & MDI to determine the current trend, then look for a
"retracement" that you can use to Enter a positon consistant with the
prevailing trend.
Regards,
Phsst
- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx> wrote:
> 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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