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Yuki,
Let us see the last ^N225 decade.[1/1/1994-31/12/2003]
B&H is 6,033 [suppose initial equity 10,000]
The market could do [no matter if anybody did it] an 64,344 with the
ideal
perc=40;
z=Zig(C,perc);Plot(z,"Z",1,1);y10=Year()>=1994;
Buy=(Year()==1994 AND Ref(Year(),-1)==1993) OR y10*(TroughBars(C,perc)
==0);
Sell=y10*(PeakBars(C,perc)==0);
Short=Sell;Cover=Buy;
We speak for a potential market mover, who buy at troughs and sell at
peaks and has the ability to change the trend.
[No doubt he will short the market the very same day he sells all
long positions]
My effort would be to beat this 64,344, it sounds funny [at first
sight] to beat the 6,033 or a 7,000 from the results of an MF*, for a
very simple reason : My initial 10,000 are much better.
[*BTW, is there any info for the popular Tokyo MF results for the
last decade ?]
I will consider the 40,198 as interesting, as it comes from the
PERC=4;
N=100;
IN=Year()>=1994 AND Year()<=2003;
s1=RSIa(MA(StochD(N/2),N),N);
Z=Zig(S1,PERC);
RT=TroughBars(S1,PERC)==0;
RT1=ValueWhen(RT,S1);RT2=(1+0.01*PERC)*RT1;
Buy=IN*Cross(Z,RT2);
RP=PeakBars(S1,PERC)==0;
RP1=ValueWhen(RP,S1);RP2=(1-0.01*PERC)*RP1;
Sell=IN*Cross(RP2,Z);
Short=IN*Sell;
Cover=Buy;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
It is a relatively slow oscillator [add one more line
Plot(s1,"",1,1); to see it in IB], with 39 trades for the last
decade, 23 winners/16 losers, affordable drawdowns [max -25%].
Should I compare its performance with the 6,033 of the B&H for the
same period ?
I think not.
The 40,198, compared to the ideal 64,344 is a good starting point to
beat the [real] market and, IMO, a serious reason to trade instead of
buying MFs.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi DIMITRIS,
>
> Interesting subject, but I find the idea of beating a descending
> market kind of odd. Not the idea of beating it of course, but the
> idea that my positive return has to exceed the market's negative
> return. Shorting is just a different animal. Far fewer people
> participate on that side than on the long side, and it's against the
> normal bias anyway (at least normal for this past century).
>
> Yes, B&H is for inactive investors, but there should probably be a
> lot more of those than there are. ^^_^^ Every trader should
> probably take a look at the past 5 years. If you didn't beat
putting
> your money in an index fund over that period, maybe this isn't for
> you. Many probably would not want to hear that however, and I will
> admit that one great killing in the future could potentially reverse
> the numbers. But I think you know what I mean.
>
> To answer your question, all margin trades in Tokyo are for a
maximum
> term of 6 months. The position must be closed by the end of the
> term. You can immediately create a new position of course, if you
> like.
>
> One thing I have watched for in the past is a sudden spike in short
> interest. If I catch it quickly, and it holds, I start the timer
and
> start watching. But of course the subsequent covering action can be
> all intraday as they just cover and reshort immediately. From a
> practical standpoint however, few ever reach term on margin
> positions. I don't have stats on it, but there is an old saying
here
> to the effect that if you reach term on a margin trade, you are
> probably dead. Would not always be true of course, but I'll bet
it's
> true a lot.
>
> Yuki
>
> Wednesday, January 14, 2004, 2:59:40 PM, you wrote:
>
> DT> It would be more fair to speak about the S&H [Short & Hold]
> DT> technique also. Do you have any statistics about the average
time
> DT> interval the potential Short Sellers keep their Short position
> DT> in the Japanese market ? Is it a week, a month, 6 months or a
> DT> year perhaps ? In this sense, it would not be that easy to beat
> DT> the descending market, you should make Short profits better
than
> DT> the S&H for the last 5 years. This information would be quite
> DT> important and could form a crude basis for the ^N225
periodicity
> DT> [1Long/2 Short or even 1Long/3 Short periods] and then apply
> DT> timeseries analysis, a quite flexible statistical tool. Some
> DT> systems #buy every 20 days/sell every 24 days# are successful
> DT> because they immitate this behavior by dividing a time interval
> DT> into rolling unequal parts.
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