|
PureBytes Links
Trading Reference Links
|
He does have a Yahoo group ... but you won't find free stuff there
that he charges for on his site ...
However, If you look at the doc on his site at
http://www.theswingmachine.com you'll see a variety of doc behind
some of the pattern recognition that he does ... These are the kinds
of things I have referred to that are sort of at the next level that
IO was built to investigate i.e. data mining; pattern recognition;
rule creation, selection & combination as opposed to throwing it a
system with 50 parameters and having it curve fit a solution.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi Paul,
>
> Re Clyde Lee, are you referring to the systems for sale at
SwingMachine or has he made some stuff available for free somewhere?
Thank you!
>
> Steve
> ----- Original Message -----
> From: Paul Ho
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, February 08, 2006 7:32 AM
> Subject: RE: [amibroker] Swing Trading - Strategy Performance
>
>
> As you probably know, it was Edwards and McGee that poparlised
chart patterns like head and shoulders, triangles, double bottoms.
But they are usually subjective and doesnt lend itself well in
conversion to mechanical systems. But some modern, and sometimes
less well know patterns have defintions that can be coded. One such
example is the NR4 pattern defined in the Nqoos.com site. Clyde Lee
also defined a number of swing patterns and listed on his web site.
When you code them, you'll find that you wont need any oscillators
or any cyclical indicators as a general rule. Zig Zag can be used to
defined patterns but itself is not a pattern. If you do use Zig Zag,
you got to be aware that it looks into the future. so you 're only
safe to use it to mark the second to last swing point. For example,
if you're long, you can only use zig zag to find the last high, but
not the last low. Take a look at those sites and see if that becomes
clearer for you.
> I optimize my systems over the period of 3.5 years. I then
backward test for another 8 years and forward test it another 9
months. I test my sytems over about a thousand symbols and have
generated thousands of signal and at least several hundred signals
ended up in trades. I didnt paper trade my system initially. but I
examine a hundred of these trade visually over time before I go
pilot. In pilot, I use only some of the signals and I checked every
trade visually before committing myself. When I was happy, I went
live. Today I'm still refining it using real trading results as
feedback. I also find it extremely useful to have a trading buddy,
not one that you necessarily share you systems with. but one that
you can use to bounce your ideas around and discuss similar
problems or observation that you encounter in your development cycle.
>
> Paul
>
>
>
> -------------------------------------------------------------------
-----------
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Keith McCombs
> Sent: Wednesday, 8 February 2006 7:38 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Swing Trading - Strategy Performance
>
>
> Paul --
> I found your post very interesting.
>
> Could you expand a bit on "pattern based systems". Are you
referring to patterns such as zig-zag and candlestick formations or
to something else. I am not asking what you use but am instead
trying to understand your terminology.
>
> Also, over what period of time, and how broad a data base, did
you run your backtest before deciding to trade it for real? How
about walk forward testing?
>
> Thank you very much for your input.
> -- Keith
>
> Paul Ho wrote:
> Ara,
> I have been using my swing system for about 3 months . I have
tested thousands of variations.
> 1. the latests backtest
> has a RAR of 110% and CAR of 67% Avg Proit/loss of 12.4%,
61.5% winners Max Drawdown of 5.6% and expectancy of 40cents per 100
$ invested per day (this is my own definition) and profit factor of
6.64
> 2. Real performance is also very good with figures matching
backtest in terms of win/loss ratio, as well as Avg Profit (Avg
profit for each trade). Max drawndown is usually worse at around 8%.
I dont believe 5.6% is sustainable (you got to have a bad day
sometime).
> 3. Position Sizing is volatility based with a maximum cap of
5.7% of my initial capital. Volatility risk is at 0.6% of my
capital. Because I trade of a lot of smallcap stocks. I also pay
great attention to turnovers and capitalisations and have included
them in my position sizing. I dont compound my profit in my testing
all positions are sized based on initial capital. I have tested it
with compounding for interest but I think it is distorting to select
systems based on those figures.
> 4. I find that pattern based systems usually gives me better
results than purely indicator based systems. In pattern based system
I mean systems that evaluates the relative position of price bars to
form pattern. I find that volume is very useful but it was initially
difficult to incorporate it into my system but once I have
successfully incorporated it. I really turbo charge my system.
Generally I find swing systems are very good pattern system. but if
you use standard indicators to code your system. I find that it will
stop working all together at some point. This is when the market has
changed it rhythm and both tempo and the magnitude of the swing has
changed. Clyde Lee's ideas about swing is very good and its well
worth a read on his site. Unfortuntely he only uses tradestation.
> I dont scale in or out, stop is at 16%. scaling in and out
might be the next thing to consider.
>
>
> Paul
>
>
>
>
> -------------------------------------------------------------------
---------
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ara Kaloustian
> Sent: Monday, 6 February 2006 6:34 AM
> To: AB-Main
> Subject: [amibroker] Swing Trading - Strategy Performance
>
>
> Would like to get a poll of sorts ... for expected swing
trading performance. Maybe there is some information that can help
everyone regardless of specific system used.
>
> Primarily interested in the potential of a system, any
pitfalls / difficulties in implementing it after simulation studies
were completed...
>
> What would make good statistical info:
>
> 1. Backtest performance
> 2. Real performance / Any special considerations in
implementing
> 3. Money management - scaling in/out, stops, risk level...
> 4. Any issues and concerns
>
> My intent / desire is NOT to delve into anyone's specific
system as such, so if you feel it is appropriate to describe your
system, please keep it at a high level.
>
> I have toyed with several systems, including Relative
strength, combination of standard indicators (MACD, Stochastics and
CCI) with preliinary backtest results of 20% per year, +/- a little,
but have not really traded based on any system as such, certainly
not with any consistancy.... so no track record.
>
> I have not succesfully integrated market environment in
backtests yet. My next step.
>
> My hope is that I can make about 5% to 10% per month using
trades of 3 days to 2 weeks. I have been known to be too
optimistic ... at times ...
>
> Appreciate any feedback
>
> Ara
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
> SPONSORED LINKS Investment management software Real estate
investment software Investment property software
> Software support Real estate investment analysis
software Investment software
>
>
> -------------------------------------------------------------------
-----------
> YAHOO! GROUPS LINKS
>
> a.. Visit your group "amibroker" on the web.
>
> b.. To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
of Service.
>
>
> -------------------------------------------------------------------
-----------
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|