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Hi,
Is there any reason why you just go long on a pullback and not short
on a rally?
In my opinion, a system should be able to trade both sides of the
market with equal accuracy before I would consider it robust.
According to this Nasdaq pullback system, a speculator must buy when
the price is high to make it go higher (and sell when it is low to
make it go lower?). In this way the variations in prices will be
higher than they would otherwise be. But this means buying high (and
selling low for a robust system), which is a sure recipe for a quick
exit from any speculative game.
If speculators are to make a profit, they must buy when the price is
low and sell when the price is high, thereby forcing it to move
towards the average price and consequently forcing the volatality to
revert to mean. In this way speculators will dampen variations in
price and thereby stabilize the market.
To be destabilizing, speculation will, in general have to result in
losses.
With destabilizing speculation we expect variations in prices to be
larger than they would otherwise be. Profitable speculation
involving buying high and selling low should however, reduce
variability.
However, special circumstances can be established whereby
destabilizing speculation can be profitable. For account of these,
see Robert M. Stern, The Balance of Payments, Aldine Publishing
Company, Chicago, 1973.
Regards,
Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Alan Nouray" <alann@xxxx> wrote:
> Thanks Graham,
>
> I know the AFL code for the Filters and Exit Rules but anybody knows
> what is the code for the setup and Buy Rules?
>
> Alan
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> > Yes it is possible
> >
> > Cheers,
> > Graham
> > http://groups.msn.com/ASXShareTrading
> > http://groups.msn.com/FMSAustralia
> >
> >
> > -----Original Message-----
> > From: Alan Nouray [mailto:alann@x...]
> > Sent: Tuesday, 23 September 2003 6:28 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Nasdaq pullback system
> >
> >
> > The following system was discussed in another Yahoo group and I
want
> to know
> > if it is possible to write the AFL for this system:
> >
> > The system is comprised of 4 parts: (1) the setup, which is the
> > pullback, (2) the filters to identify the best time to go long,
(3)
> > buy rules, and (4) exit rules. Details for each part follow:
> >
> > Setup: A high occurs which is higher than the last 7 trading days
> > and higher than the next 2-4 trading days and is followed by a
close
> > that is 2% below the high occurring within 2-4 trading days.
> >
> > Filters: there are two filters to determine if the Nasdaq is in
an
> > uptrend. The 20 bar RSI must be greater than 50, and the 5 bar
> exponential
> > moving average (ema) of the close (cyan) must be greater than the
21
> bar ema
> > (red).
> >
> > Buy Rules: go long the Nasdaq on the close of the 6th or 7th day
of
> > a pullback if both filters are positive; use the 6th day close to
> > buy if the 2% decline occurs on the 1st through 3rd day close
> > following the high; use the 7th day close to buy if the 2%
decline
> > occurs on the 4th or 5th day close after the high. Take a second
> > long position if another pullback setup occurs within 12 days of
the
> > first long position and both filters are positive.
> >
> > Exit Rules: exit the long position on the close of the 12th
trading
> > day from the entry point or if the position reaches an 8% profit
> > target, whichever comes first. Use a 7% stop loss.
> >
> > The system was backtested using Nasdaq data from 1/6/1997 to
> > 7/1/2002. There were 71% profitable trades for a total of 2880
> > points - The system was also applied to out-of-sample data from
> 7/1/02 to
> > 8/29/03. There were 83% profitable trades for a total of 472
points
> Based on
> > out-of-sample testing the system appears to be robust.
> >
> > In the last two weeks, two more pullback setups occurred, which
> > generated buy signals. The system is currently holding 2 long
> > positions from the close of 9/02 and 9/16. The system will exit
both
> > positions at the close of 10/02 or at an 8% gain from the 9/16
> > close, whichever comes first.
> >
> > The system details are provided to this group for educational
> purposes ONLY,
> > and is not a recommendation to go long. Please feel free to shoot
> holes in
> > this system. I am here to learn, and all criticism will be viewed
as
> > constructive.
> >
> > Alan
> >
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
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> >
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> http://docs.yahoo.com/info/terms/
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