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Howard,
Experience I am short on, but I'm making up for it with putting in long hours and having no life.
I've found best bang for the buck with McClellan Summation divergences for pointing out risk in the intermediate term trend. Couple that with some E-Wave projections of say 62% of previous move, and for me it's time to either pass on new entries or tighten up on existing positions.
Still trying to get my arms around the short term trend, but Vol up/dn ratio and the recently posted Twiggs seem good for addressing the short term trend in the same way the summation addresses the int-term.
Here's the vol up/dn ratio code straight from the amibroker website. I've just cleaned it up a bit.
Howard, thanks for all the value-added posts. If you have any thoughts on swing-trading, day trading methods I'd love to hear them as I'm trying to push in that direction as I get my intermediate term house in order.
Kind Regards,
Gary
// Up Down Volume Ratios
upvol = IIf ( C > Ref ( C , -1 ) , Volume , 0 ) ;
dnvol = IIf ( C < Ref ( C , -1 ) , Volume , 0 ) ;
udvr50 = Sum ( upvol , 50 ) / Sum ( dnvol , 50 ) ;
udvr20 = Sum ( upvol , 20 ) / Sum ( dnvol , 20 ) ;
udvr30 = Sum ( upvol , 30 ) / Sum ( dnvol , 30 ) ;
Title= EncodeColor(colorBlack) + "Volume Up/Dn Ratio" + " " + "20-DAY RATIO: "+ WriteVal(udvr20,3.2) +
EncodeColor(colorDarkGreen) + "\nAbove > 1 is BULLISH" + " " +EncodeColor(colorDarkRed) + "Below < 1 is BEARISH";
Plot(udvr20,"UDVR20",IIf(UDVR20 > 1, colorBrightGreen,colorDarkRed),styleLine|styleThick|styleDots);
Plot(1," ",colorYellow,styleLine);Howard Bandy <howardbandy@xxxxxxxxx> wrote:
Hi Gary –
You’ll get no criticism from me about whatever works well for you. Are there specific techniques you use, or is it the accumulation of years of experience?
Howard
-----Original Message-----From: Gary A. Serkhoshian [mailto:serkhoshian777@xxxxxxxxx] Sent: Sunday, October 19, 2003 9:39 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: Objective functions (was RE: [amibroker] Re: Optimization -- again)
Hate to open this can of worms, but this has been an educational thread.
On the PT board a couple of months ago, I asked about blending of discretionary analysis withsystems trading, and if it should be done at all.
The conclusion, which I now espouse, is discretionary analysis has a place, but there needs to be some reliable, global risk measurements that can objectively tell you if it's a better idea to exit earlier than a system normally would or perhaps opt out of a system entry altogether. Anther idea is take all the entries, but use discretion on exits.
Will you miss moves? Absolutely. Rather than cry over the spilled-milk, I re-evaluate my risk measures until I find things that prevent fewer missed moves. I may even decide that the missed move is a non-issue as the market soon-after rolls over. What I've been working on is something like green risk = system exits, yellow risk = apply some type of trail stop, red risk level = slap a trendline on the last move as a trailer. Just food for thought.
Unfortunately, I know a lot of people that would have a coronary if their system test didn't squeeze out that last bit of profit. As such, I imagine many could not apply discretion consistently. Fortunately, I can.
I know this post will infuriate the hard-core system traders, and stands in stark contrast to all the high-brow optimization discussion. However, I found this realization helpful, and wanted to share it with ya'll.
Regards,
Gary
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