|
PureBytes Links
Trading Reference Links
|
Hi Pal,
that WAS helpful...
Do you have an opinion on Wilder's Commodity Selection Index, which, like
the Random Walk Index, combines price(via an 'averaged' ADX) and
volatility(via ATR) (as well as margin requirement, and commissions)? (It
looks interesting, but in his first book, he speaks of it only for
commodities, which I don't trade.)
BTW, it was kind of funny when I went to tradingsolutions.com...a Java chat
session(with a sales rep) automatically opened!
thanks
-john
----- Original Message -----
From: "palsanand" <palsanand@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, December 14, 2003 9:47 PM
Subject: [amibroker] Re: An effective stopping methodology - 3BSMA and
powerSAR stops
> I was hoping somebody like you would have converted TradeStation code
> into AFL. Actually I use TradingSolutions code downloaded from their
> site. I found AB and TradingSolutions to be killer combo. Ideally,
> I would like all my systems to be in both of these platforms.
> TradeStation code seems to be the ideal one to use to convert it to
> AFL, though.
>
> Here's what experts do with ADX ( I don't have the full S& C article,
> only excerpts)
>
> How The Pros Use Average Directional Index
>
> ----------------------------------------------------------------------
> ----------
> by Barbara Star, Ph.D.
> ----------------------------------------------------------------------
> ----------
> Here's how technicians Charles LeBeau, Paul Rabbitt, and Linda
> Bradford Raschke integrate the average directional index into their
> trading plans.
>
> ----------------------------------------------------------------------
> ----------
>
> How would you like to look over the shoulders of professional traders
> using one of your favorite indicators? Here's your chance. I spoke
> with three well-known traders who put their own money at risk daily.
> I asked them to show me what they do with the average directional
> index (ADX), one of the longest-lived and most popular trend
> indicators around.
>
>
>
>
>
>
>
> FIGURE 1: RABBITT TEMPLATE, XOI OIL AND GAS INDEX. Paul Rabbitt's
> screen template shows both the overall price action and the
> indicators at the same time. The original template consists of a
> black background, white price bars, and yellow trendlines. Those
> colors were changed for this article to provide better contrast.
> I asked Charles LeBeau, Paul Rabbitt, and Linda Raschke how they
> integrate ADX into their own trading analysis and trading tactics.
> Here, largely in their own words, these traders explain the thinking
> that guides their decision-making. Hopefully, some of their
> strategies might make you think about how this indicator can improve
> your trading.
> PAUL RABBITT
>
> Paul Rabbitt is a well-known quantitative strategist. During his 20-
> year affiliation with the Oppenheimer Co., he created and ran their
> quantitative department. He also developed the "Q" stock ranking
> system, a 12-factor stock risk/return model. He was a senior
> portfolio strategist when he left the firm in 1998 to form his own
> company. Currently, he advises institutional clients and provides
> sector and industry forecasts. Rabbitt's analyses and investments
> include stocks, bonds, various financial indices, and Spyder sectors.
> Market comments and quantitative rankings on individual stocks are
> available on his Website. (For the URL see "Related resources" at the
> end of this article.)
>
> Rabbitt uses a 14-unit ADX with end-of-day data as a rough gauge of
> momentum. "I use a very simplistic interpretation of ADX. If I have a
> rising ADX, but it is only at the 15 or 20 level, I consider it a
> weak momentum situation. If it is above 30, I consider it a stronger
> momentum situation. Even if ADX changes direction, as long as it
> remains above 30, I regard it as a momentum situation. And the higher
> the level, the greater the strength of the momentum. I don' t try to
> refine ADX too much," he comments.
>
> Entries and exits: Given his background, Rabbitt relies on
> fundamentals, such as earnings announcements, earnings surprises, or
> company developments to form the basis for selecting buy or sell
> candidates. Then he looks at his technical tools. ADX helps determine
> entry and exit points on preselected securities. "ADX is the
> accelerator/decelerator in the trading process. ADX does not dictate
> whether I stay in or out of a trade," he goes on to say. "ADX only
> postpones a sale or accelerates a sale or postpones a purchase or
> accelerates a purchase.
>
> "My goal is to invest rather than trade, so I try to slow my activity
> as much as I can and stay in situations as long as I can," he
> explains. "What I am trying to do is create what I call tax-efficient
> investment calls. I am trying to create long-term capital gains."
>
>
> ----------------------------------------------------------------------
> ----------
> Barbara Star, Ph.D., university professor and part-time trader,
> provides individual instruction and consultation to those interested
> in technical analysis. She leads a MetaStock users group and is a
> past vice president of the Market Analysts of Southern California.
>
> The best time to enter a trade with ADX/DI/DMI/RWI/VHF/TII type
> indicators is when it generates the signal, but if the signal is
> several weeks into a trend, watchout because most trends don't last
> that long. Random Walk Index (RWI) considered the modern day ADX
> calculates trend using 2 variables: price and volatility.
> Essentially, this indicator will tell you if the price move is
> significant relative to the current daily range. But, I find these
> indicators a bit difficult to interpret.
>
> Instead, I use Squelch functions to detect cyclic or trending
> mutually exclusive situations and accordingly modify my stopping
> methodology, specifically a 3BSMA stop (next session onwards after
> entry) in cyclic/trending reversal situations coupled with an initial
> (mental) ATR based stop on day of entry. I use a 3BSMA stop
> exclusively in cyclic situations. Once a clear trend is evdent,
> indicated by Squelch functions etc., I switch my ATR/3BSMA stop over
> to a powerSAR stop which I also use for continuation of trend
> situations exclusively.
>
> Hope this helps. Sorry, couldn't be of further help.
>
> rgds, Pal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> > Hi Pal,
> >
> > Can you share the AFL for the Ehler's Squelch function...i found the
> > TradeStation code here
> > http://trader.online.pl/ELZ/t-pb-Squelch_Indicator.html
> >
> > but hopefully you or someone else has converted it?
> >
> > BTW, have you used any other trend-or-not indicators like ADX/DMI?
> If so,
> > how did they compare to Squelch?
> >
> > thanks
> >
> > -john
> > ----- Original Message -----
> > From: "palsanand" <palsanand@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, December 13, 2003 5:11 PM
> > Subject: [amibroker] An effective stopping methodology - 3BSMA and
> powerSAR
> > stops
> >
> >
> > > Hi All,
> > >
> > > I have been searching for an effective stopping methodology for a
> > > very long time (since I began trading). I experimented with
> several,
> > > like all kinds of MA based stops, Gann's Rule of Eights stop, ATR
> > > based stops etc., I finally may have found a good one. It is
> based
> > > on the theory that there are essentially two types of markets:
> > > Trending and Trading Range. An instrument does not start a new
> trend
> > > immediately after ending the previous trend. It might go into a
> > > consolidation phase (Trading Range) before starting a new trend.
> The
> > > problem is to time this start of a new trend. Sometimes we have
> to
> > > wait for a long time indeed, thus if we enter the market too
> soon, we
> > > get whipsawed. To solve this problem, I came out with the
> > > following: Use a "mental stop" on day of entry at a reasonable
> > > distance from your entry point. Either an ATR based stop or a
> pivot
> > > point support/resistance based stop would suffice and exit only
> after
> > > 20 minutes has passed since your mental stop is exceeded and you
> are
> > > still losing. Use a 3BSMA stop during the initial stages (from
> next
> > > session after entry when the start of a new trend is still not yet
> > > confirmed) in accordance with the principle: Cut your losses
> short.
> > >
> > > Plot(MA(C,3),"MA3",colorWhite,1);
> > >
> > > Once, a new trend has started (confirmed by LinRegReveral
> Indicator
> > > and/or Zig-Zag trend indicator) and powerSAR has also confirmed
> the
> > > new trend, use the following stop in accordance with the
> principle:
> > > Let your profits run.
> > >
> > > Plot(scPowerSar(0.02,0.01,0.2),"PowerSAR",-16,8+16);
> > >
> > > (You need AB's dll's to use this function)
> > >
> > > SAR is the Stop and Reverse system developed by Welles Wilder.
> This
> > > system indicates where one should exit a trade and simultaneously
> > > reverse positions. It may also be coded to provide a stop for
> > > tomorrow's trading action. This function does not work with
> > > Equivolume chart.
> > >
> > > This provides a systematic way to set a stop order. The stops are
> > > changed daily and are adjusted to suit the market's conditions.
> It
> > > also keeps you constantly in the market. When one gets stopped
> out,
> > > you are also to initiate a trade in the opposite direction (In
> > > reality, you would already may have gotten a reversal signal and
> may
> > > be already trading it using a 3BSMA stop). This is generally
> used by
> > > futures and forex traders. Stock traders could of course short
> the
> > > stock however, one could also just buy stock and sell it without
> > > shorting it. Then when the next buy signal occurs, jump in again.
> > > This can be quite useful during trending markets however, it is
> > > practically useless in trendless conditions (I use Dr. John F.
> Ehlers
> > > Squelch functions to distinguish between trending and trading
> ranges)
> > > or when the price is consolidating. One can get whip-sawed and
> make
> > > several losing trades under these trendless conditions.
> > >
> > > This function is inherently a trend-following study. It increases
> > > the stop level each successive day until the 10th day that the
> market
> > > is still trending. At this point, it raises the stop level
> > > proportionally daily. This is due to the observed fact that 10-
> day
> > > runs are extremely rare. These long runs do occur however they
> only
> > > occur around 5% of the time. So this works magnificiently in
> trends
> > > and miserably in congestion or consolidation periods, but works
> well
> > > when combined with a 3BSMA stop during the initial stages (when
> the
> > > start of the new trend is not yet confirmed and you want a tight
> stop
> > > just in case the new trend did not start. Doesn't mean that you
> were
> > > wrong in trading it, just that sometimes it takes a long time for
> a
> > > new trend to develop and most people don't have the guts to buy
> when
> > > everybody else is selling and sell when everybody else is buying
> and
> > > that is one of the reason most traders lose and ofcourse they may
> > > also lack patience and also adequate capitalization, money-
> management
> > > (PositionSize, MaxOpenPos, MaxRisk, PositionScore etc.,))
> > >
> > > Any feedback appreciated. TIA.
> > >
> > > rgds, Pal
> > >
> > >
> > >
> > > 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/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|