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Chuck,
it would be interesting to share, from time to time, your vast
experience.
I live in Athens, Greece. The first computing machines arrived here
late 60s [military/university use]
We paid 2500$ for the first 386 back in 1987, with the super modern
DOS5 !!![DOS4 was the regular for this period, but, my dealer loaded
for me the illegal DOS5 !!!]
Have a nice day
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 1. I don't trade mutual funds, so I can't answer your first
question.
>
> 2. Of course there were computers in the 60's. You weren't around
then, so
> you wouldn't have any way of knowing. I've been using computers
since 1961
> to trade stocks and futures. In 1961, I developed systems to read
the
> ticker tape directly from my stock brokers trash can. I bought my
first
> computer from my employer at the time for more than $100,000. It
cost the
> insurance company I worked for more than $1 million two years
earlier. That
> computer only had 4k of memory and ran at one millionth of the
speed of my
> fastest PC.
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Tuesday, April 15, 2003 2:12 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Real-world trading (specifics for DT)
>
>
> Chuck,
> May I ask you some technical questions:
> 1.how do you apply Stochastics on MF, since it is HLC function
> 2.how did you do it back in 60s without any computerised
facility ?
> Was it paper calculation ? [!!]
> 3.I read some stories about Lane´s %K and %D names. Do you
remember
> anything about this great T/A step ?
> 4. As for the Stochastic, CCI and RSI, the most interesting use is
> through their composites, not the indicators alone. If you have
some
> time, you will find the relatively new ideas in the AFL Library.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > Fred,
> >
> > I really hate to sound coy about my systems, as I know the
various
> ways that
> > such a response can be interpreted. However, I am trading
several
> hedge
> > funds using my systems and it would be a disservice to my
clients
> to divulge
> > my exact methods. Having said that, I will try to answer your
> questions.
> >
> > Let me start by telling you what I don't use. I'm not looking
for
> a debate
> > here, but I've tried all of these things and I cannot get value
> from them.
> > Indicators such as Stochastics, DMI, ADX, RSI, CCI, etc. have
> proven to be
> > useless to me, over 40 years of trading. I know many of the
> members in
> > this group use some or all of those things and many people use
them
> > successfully. I have not been able to do so. I've spent a
month
> trading
> > with George Lane (inventor of stochastics), for instance, and
I've
> written
> > hundreds of systems that use stochastics in various forms to no
> avail. I've
> > spent time with Don Lambert (creator of CCI) and couldn't find
> value in that
> > indicator either. I have every book and article written about
> DMI, ADX,
> > RSI and have a disk folder full of discarded systems using those
> indicators.
> >
> > I have to tell you (if you already aren't aware) that I approach
> system
> > development quite differently from most people. Of course,
that
> could very
> > well mean that I'm doing it "wrong". I endeavour to create
system
> (s) that
> > work across all stocks at all times. Many system developers
create
> a
> > system, using stochastics for instance, and then apply that
system
> to stocks
> > that have worked well with that system in the past. If that
> approach works
> > for others, fine. I'm of the opinion that a stock that has
worked
> well
> > with stochastics for the last 27 years could stop doing so
> tomorrow. I
> > have stochastic systems, for instance, that work extremely well
if
> I decide
> > which stocks to feed them. So, it's not that I am unable to
> develop
> > systems that use these indicators. As you are aware, such
systems
> are easy
> > to write and test. I feel that is equally easy to fool
yourself
> into
> > believing that they will work in the future.
> >
> > As to what I do use... this is a bit more difficult for me to
> discuss. I
> > can tell you that my systems are aware of where the current
price
> is in
> > relationship to some moving average. My systems look at
> (something similar
> > to) the Sharpe ratio of returns over the recent past and the
slope
> of a
> > linear regression line and/or momentum. Other functions you
will
> find
> > being heavily used in my systems include things like standard
> deviation and
> > standard error (both based on the close). Another hint for
you
> would be
> > best stated in a question: "Who says that standard deviation
can
> only be
> > useful in powers of two?". Many of my systems that use
standard
> > deviation, in some form, use powers of three, four and even
seven
> when
> > calculating standard deviation. I guess a mathematician would
say
> that
> > using a power other then two makes it non standard. That's
> exactly why I
> > call the function "NonStandardDeviation".
> >
> > Relative strength (not RSI) is also a powerful tool that I use
> extensively.
> > I've done over 15 years of research using relative strength in
> conjunction
> > with two very large ($300 billion) hedge funds in the States.
One
> of the
> > hedge funds I manage uses only a relative strength approach
while
> always
> > being beta neutral. I use a method similar to that used by IBD,
> but IBD
> > hasn't changed their methodology (IMO) for too many years.
It's
> basically
> > a multi-period relative strength, weighting each lookback period
> > differently. I can give you another clue here that took many
> years for me
> > to discover. However you weight the various lookback periods,
> performance
> > can be increased by treating the most recent period negatively.
> The idea
> > being that a recent, strong, positive relative strength can very
> well mean a
> > pull-back is in order.
> >
> > That's all I can tell you, at least in this group forum. I am
> very happy
> > to share concepts and I may, in the process, tell you enough
about
> what I'm
> > doing for you to replicate it. I'm sorry that I cannot simply
> give you
> > AFL code and I'm sorry if that sounds like I am building up my
> systems to be
> > the grail. They are not the grail, but they do produce
proven,
> > consistent, non-spectacular, returns.
> >
> > Cheers
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Sunday, April 13, 2003 5:08 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Real-world trading (specifics)
> >
> >
> > Chuck,
> >
> > You have filled things out somewhat, but I guess what I was
asking
> > more specifically was:
> >
> > 1. What other kinds of qualifiers do you use to decide how to
> limit
> > the universe of stocks that you'll even consider some signal
for
> > today ?
> >
> > and ...
> >
> > 2. Does the system you use employ some sort of pattern
matching
> > (Raschke's "grail" i.e ADX +/- DMI etc. plus a pullback etc.
> would be
> > an example of this sort of thing) or is it something that is
more
> > trend of momentum oriented (MACD, Stochastic, Linear
Regression
> would
> > be examples of this sort of thing)
> >
> > TIA, Fred
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > <chuck_rademacher@x> wrote:
> > > Re: Real-world tradingThanks, Fred Tonetti, for the
comments. I
> > will
> > > endeavour to answer your questions without "giving away the
> farm".
> > >
> > > First, I have to tell you that I think my approach is
different
> > from MOST of
> > > the people in this group. Of course, that could mean that
most
> of
> > the
> > > others have it right!
> > >
> > > I would NEVER optimize for a different set of parameters for
> each
> > stock.
> > > I'm of the opinion that MSFT can start looking like IBM
> tomorrow.
> > AOL can
> > > take on the look and feel of INTC next week. So, I want to
> have
> > one set of
> > > parameters that works on ALL stocks over at least six years
of
> data
> > > (preferably ten to twelve). I end up with a set of
parameters
> > that works
> > > over 13,000+ stocks (active and extinct) times however many
days
> > those
> > > stocks have traded. The number of trades can be between
15,000
> > and 50,000
> > > and gives me some feeling that the system(s) will be robust
in
> the
> > future.
> > >
> > > The next area I seem to treat differently than most as
well. I
> > trade fixed
> > > size positions all the time. My backtesting and realtime
> trading
> > is always
> > > based on fixed position size. If I have cash, I will take
as
> many
> > trades
> > > as I can take. If I don't have enough cash to take every
> trade, I
> > will sort
> > > the orders by "something". If I'm not getting enough
signals
> to
> > use all my
> > > cash, I will gradually increase the bet size. AB lends
itself
> to
> > this
> > > approach, although I would like to see it more automated.
I'll
> > give an
> > > example:
> > >
> > > Let's say I'm sitting on $100,000 cash, or will be after I
close
> > out some
> > > positions tomorrow. If I'm trading $10,000 per
transaction,
> > obviously I
> > > have enough cash to take ten new positions. My system may
> > generate 100
> > > orders for tomorrow. I will add a column to my
exploration so
> > that I can
> > > sort by it (or at least look at it). For simplicity,
let's say
> > that I know
> > > that my system works better on low price stocks; the lower
the
> > better.
> > > That's almost too easy, but I could sort my buy orders by
> closing
> > price and
> > > take the first ten. Obviously, I would have had to
backtest
> this
> > premise
> > > before trading in realtime.
> > >
> > > I sort by whatever I have found (via backtesting) gives me
the
> best
> > results.
> > > Since I have other information in my data (fundamentals,
etc.),
> I
> > can sort
> > > by just about anything you can imagine.
> > >
> > > You quoted me as saying that I use volume * price as one of
my
> > filters. I
> > > use something between a ten-day and fifty-day average volume
> times
> > the
> > > (actual) closing price to give me the turnover. If I'm
trading
> > $10,000, I
> > > want the turnover to be at least $200,000. That's not a
> science,
> > just a
> > > judgemental ratio of my order size to the average turnover
in
> order
> > to get
> > > an easy fill (in and out).
> > >
> > > I hope I have answered your questions. If not, hit me
again.
> > > -----Original Message-----
> > > From: Fred Tonetti [mailto:ftonetti@x...]
> > > Sent: Sunday, April 13, 2003 4:22 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Real-world trading
> > >
> > >
> > > Chuck,
> > >
> > > I can tell from messages that you've posted in the past
that
> you
> > are
> > > thorough in your testing ...
> > >
> > > Without giving away the farm as it were I am interested
in the
> > kinds of
> > > systems you develop and trade, do they in general look for
> certain
> > kinds of
> > > conditions like for example a Raschke "grail" set up or do
they
> > more belong
> > > to the timing of things with in the larger trend or ?
> > >
> > > I think you are far beyond most here or at least me in
terms
> of
> > how you go
> > > about selecting stocks to trade beyond whether or not they
match
> > some
> > > pattern in a generalized way. I've heard you speak of
volume >
> X
> > etc., but
> > > I think most here or at least I would benefit from any and
all
> > information
> > > you'd be willing to share about how you pare down 10,000
> tradable
> > issues
> > > into something more manageable on a real time basis.
> > >
> > > Regards, Fred
> > >
> > >
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