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Bullish market price pattern has made it tougher for shorts
historically. Look at NDX from 1986 and 2005:
FLIP A COIN:
Of a total 5047 days (of 5 no-change days 3 are counted as
continuation and 2 as reversal in hindsight) there are 2731 up and
2316 down days, that is up:dn 54:46. Flip a coin it would give
better odds on the long side
But the trend has shifted somewhat post 2000, up:down is 51:49.
For the 3 bear years (00-02) up:dn is 49:51 (better for short).
For the 3 bull years (03-05) up:dn is 54:46, in line with the larger
sample.
TREND FOLLOWING:
Long is more "trending" than short, if we enter long at some zig
point signalled by trend following systems we have better odds of
letting profit run. The trend has shifted somewhat post 2000 (stats
in brackests)
up / dn
Incidence of min 2 consecutive days 689 (198) / 589 (184)
Incidence of min 3 consecutive days 376 (95) / 296 (92)
Incidence of min 4 consecutive days 212 (44) / 138 (40)
Incidence of min 5 consecutive days 108 (21) / 59 (17)
Incidence of min 6 consecutive days 67 (13) / 26 (5)
Incidence of min 7 consecutive days 37 (6) / 10 (2)
Incidence of min 8 consecutive days 18 (2) / 3 (1)
Incidence of min 9 consecutive days 9 (0) / 2 (1)
Incidence of min 10 consecutive days 7 / 0
Incidence of min 11 consecutive days 5 / 0
Incidence of min 12 consecutive days 3 / 0
Incidence of min 13 consecutive days 2 / 0
Incidence of min 14 consecutive days 1 / 0
------------
Incidence of 19 consecutive moves 1 / 0
FADING (SELL OB BUY OS):
Whether we use single indicator or voting / synchronization among a
flock, OB signals are generally less reliable and more difficult to
use than OS signals. Historic price pattern confirms why fading the
bear (buy low) is tougher than fading the bull (sell high).
(2000-2005 numbers in first bracket)
[2003-2005 numbers in square beacket]
Fade the bull odds:
Fade after 1. day up 42% (50%) [48%]
Fade after 2. day up 45% (52%) [56%]
Fade after 3. day up 44% (54%) [55%]
Fade after 4. day up 49% (52%) [52%]
Fade after 5. day up 38% (38% ) [20%]
Fade after 6. day up 45% (54% ) [38%]
Fade after 7. day up 51% (67% ) [60%]
Odds for shorts are in general under 50:50 historically but over
50:50 post 2000. This is the general tendency although some of the
consecutive zigzag samples are too few for statistic confidence,
Historically odds decrease again as we go higher into strong bull
territory.
At any rate shorting NDX is less unfavorable post 2000
Sursod
I hope the tables are readable, formatting is usually messed up when
posting from web browser
--- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brianrichard99@xxx> wrote:
>
> Thanks for all the great advice, everyone -- much appreciated ;-)
>
> Something in return, since this last post touches on it... sector
> correlations...
>
> ProFunds offers a sector correlation matrix on their web site that
> is quite interesting -- find it at
> http://staging.profunds.com/usermedia/pdf/Matrix-1001.pdf
>
> And, I agree with the importance of money management. Scaling in
and
> out and using small "feeler" trades has helped me control my
> emotions, which from my perspective is the most important aspect
of
> trading successfully.
>
> Enjoy!
>
> Brian
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, dimension@ wrote:
> >
> > I have a couple of systems that work very well with giving buy
and
> > sell/short signals (although I need to alter some parameters
> slightly
> > depending on if I am testing for long vs short). They
absolutely
> shine with
> > the indices or etfs, but are HORRIBLE with individual stocks. I
> think that
> > is to be expected...every security has its own psychology behind
> it and
> > hence the need for software like AmiBroker in helping to
identify
> that
> > psychology. That said, what works for a given security may also
> work well
> > for other stocks that fall within the same sector. I have also
> found that
> > just about every system can be improved upon with a good money
> management
> > policy applied to it. It would be a mistake I think to implement
a
> system
> > with out a sound exit/stop/loss policy.
> >
> > Those are the quick advice I can give...they may be common sense
> to most I
> > suppose.
> >
> > -----Original Message-----
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of Brian
> > Sent: Thursday, March 09, 2006 2:12 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Short system advice?
> >
> > I have some nice, well-tested long systems in place. I was
> surprised
> > when testing my discretionary systems, to find that none of my
> short
> > signals performed nearly as well as the long signals, in the
> > optimization/backtest/monte carlo simulations.
> >
> > Is this common?
> >
> > In addition, I am looking for some ideas around what indicators
to
> use
> > as the foundation for building an adequate short system. Any
> ideas? I
> > did some searches on previous messages here, and did not find
> anything
> > of value. General rules of thumb, and bits of experiential
wisdom,
> are
> > also welcome -- as they apply to short systems.
> >
> > Thanks in advance,
> >
> > Brian
> >
> >
> >
> >
> >
> >
> > 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
> >
>
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