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Hi DIMITRIS,
Friday, February 27, 2004, 4:52:04 PM, you wrote:
DT> Yuki, the question is : Could we collect all these interesting
DT> comments, code them and add their wisdom into the new 2004timing
DT> ? We have 3 more months untill the end of May2004 when this code
DT> will be activated. There are some factors closely related to the
DT> timing of this market, seasonal or not. How many are known in
DT> advance ? We may [and we should] code them. Just think about if
DT> we could prepare a list of events/factors.
That is the rub, isn't it? I can say with fair certainly on the
stocks that I trade that there is a beginning of the month bias
toward the main trend. This is a measurable bias, on calendar days 1
through 4, and it is even stronger given that our market here never
opens on January 1, 2, or 3, nor on November 3. So the bias is even
stronger given that those days are missing from the sample data. (I
am not sure exactly how to code the first 4 *trading* days of a
month, rather than the first 4 calendar days.)
As you may have gathered, while I was stunned at the initial success
of this timing model in the second half of last year, I am not sure I
could ever actually commit money on such a model. It is *very*
interesting, but somehow predetermined buy and sell points seem
destined to fail after some period of time. Probably, some external
events (like unwinding cross share holdings, or a yen correction)
cause them to fail eventually -- they just interrupt the cycle.
Perhaps what is needed is a more frequent update to the timing model.
You suggested that after one year, it probably gets stale. Maybe it
gets stale more quickly.
How does a timing model test on in-sample data, where the timing is
adjusted more frequently? For example, you ran a baseline from 1/1
through May last year to get the current model. What if, as the
current model is running, another baseline is being established from
June through November, for use this year? Maybe it doesn't change
anything; maybe it does.
Another suggestion: How does the system do if we do not initiate a
trade until we have both a H and L in the direction we are going? For
example, Thursday morning was the short signal. But, instead of
taking it on the open we wait to see if Thursday's H takes out
Wednesday's H. It did, so we don't enter the short until we have a
lower H and a lower L. I have used some other intermediate trend
indicators in this manner, and it seems to be a decent fail safe.
This short may end up working (really, it looks bad, but then I've
seen it all come to pass, including that which I thought impossible),
but taking it on Thursday morning right now would have you popping
lots of pain medication by now. One would have to have *extreme*
confidence to stay with the trade here, so a delayed entry might be
something to consider. For a good call, the entry would be delayed
only by one day, which should not matter much. In a bad call, it
could save a lot of cash and grief.
Yuki
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