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Fred,
there are two types of history : Static and dynamic.
The static has a very poor and nebulous logic : Cycles, repetition,
destiny. I never use this type.
The dynamic is a bit painful, it reconsiders the situation everyday
and has no basic assumptions. It fits well with trends and this is my
main target. Thatīs why you frequently see my codes try to catch the
trend, or, much better, anticipate it.
In this way of thinking, 98-99 days do not exist at all.
Perhaps your point of view is totally different, but this is an
advantage for the dialogue.
As for the market, we are in a congestive phase, the violent decline
of the first 9 months of 2000 has come to an end, I will wait 3 more
months and I will erase 2000 from my data. I do not see any
reflection of this period the last 6 months, so it is useless for my
study and backtesting.
Dimitris Tsokakis
PS: I did not understand the comment for data providers. You may find
data many years before 1998, if you wish. I simply donīt need them.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Totally different then what ? the preceeeding year or ten ? the
> limits of your data provider ? It's certainly not different then
> market events of the past and as the saying goes ... those that
don't
> learn from history are doomed to repeat it ... just as they were in
> late 1999 with the "new economy" when bear markets and recessions
> were a thing of the past, remember ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > Fred,
> > thank you for your comments.
> > I have no reason to go pre-2000. This period does not exist in my
> > mind at all. I have NO signal for something similar, the
situation
> > the last 3 years is TOTALLY different.
> > As for the described system, it was just a realistic example for
> > Foreign("^VIX","C") use, nothing more.
> > DT
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > If you like that then try adding the short side component i.e.
> Buy
> > > above 32 short below 31, but if you don't want a shock don't go
> > > looking pre-2000 at either this system or the long only
version.
> > > Longer term VIX and VXN are clearly better at picking bottoms
> then
> > > tops as are other bottom oriented indicators like put/call
ratios
> > > etc.
> > >
> > > A suggestion for what it's worth ... Keep in mind that just
> because
> > > some particular indicator may be good at picking bottoms
doesn't
> > > necessarily mean it's good at picking tops and of course there
is
> > no
> > > constraint on the system developer / trader to force this to be
> > so.
> > > There ARE other indicators that are better at picking tops and
> > there
> > > is no particluar reason not to couple one indicator or group of
> > > indicators for picking bottoms and other totally different
> > indicators
> > > for picking tops.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > <TSOKAKIS@xxxx>
> > > wrote:
> > > > What a great idea !!
> > > >
> > > > ^VIX was one of the most reliable vehicles the last 3 years.
> > > > To use its data, simply write
> > > > F=Foreign("^VIX","C");
> > > > and then use this F according to your trading ideas.
> > > > Apply To current stock [your SPY] or a whole group of stocks.
> > > > 1. A simple example for the N100 database
> > > >
> > > > F=Foreign("^VIX","C");
> > > > Buy=Cross(F,35);
> > > > Sell=Cross(F,31);
> > > >
> > > > in words "Buy your stock when ^VIX crosses 35 and Sell it
when
> > ^VIX
> > > > crosses 31"
> > > >
> > > > The total net profit for the N100 market since Jan2000 was
> +150%.
> > > > It is more important that ONLY 4 stocks loose [SPOT -21%,
SBUX -
> > 6%,
> > > > SIAL -5%, FAST -3%]
> > > > All the rest 97 were profitable from +1% up to +600%.
> > > > 2. The system
> > > >
> > > > F=Foreign("^VIX","C");
> > > > Buy=Cross(F,35);
> > > > Sell=Cross(31,f);
> > > >
> > > > was even better : +186% for the market, ONLY 3 loosing stocks
> > > [FAST -
> > > > 13%, SIAL -3%, FHCC -0.3%] and
> > > > 2 golden candidates, NTAP [12trades/12winners/0losers, +675%]
> and
> > > > LLTC [12trades/12winners/0losers, +240%]
> > > > If you condider that we speak for Long systems in a quite
> bearish
> > > > period, you may agree that ^VIX data was one of the best
> > > consultants
> > > > for the market.
> > > > Of course there are more sophisticated uses of ^VIX data,
> through
> > > > ^VIX D_ratio or ^VIX D_sat, but,...this is another discussion.
> > > > For an extended description of your idea see also #33503,
> #33527
> > > > messages Re:The Transcendental use of Data.
> > > > I always look at ^VIX data and some ^VIX indicators, but I
made
> > > some
> > > > crazy money some time ago using the former TMPW data as a
> signal
> > > > generator to trade 5 stocks.
> > > > Dimitris Tsokakis
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "disciplinehedge"
> > > > <NelsonChang@xxxx> wrote:
> > > > > Wondering if I can get some help with the more experienced
> > folks
> > > > > here...
> > > > >
> > > > > Am I able to generate buy/sell signals from one symbol,
like
> > VIX,
> > > > for
> > > > > another symbol like SPY?
> > > > >
> > > > > I've been working with Amibroker for some time, and I'm a
bit
> > > > > frustrated at how little I've been able to get done.
> > > > >
> > > > > As the most basic example, how do I set up and test a
system
> to
> > > do:
> > > > >
> > > > > 1) Buy when VIX hits 40, sell when VIX hits 25.
> > > > > 2) The buy/sell signals would be tested on SPY.
> > > > >
> > > > > TIA...
> > > > >
> > > > > (or is Amibroker not capable of working with 2 symbols
> > > > > simultaneously?)
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