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[amibroker] Re: Short system advice?



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"Historic price pattern confirms why fading the bear (buy low) is 
tougher than fading the bull (sell high)."

Sorry about the typo, I meant fading the bear (buy low) is EASIER 
than fading the bull (sell high)

Sursod

--- In amibroker@xxxxxxxxxxxxxxx, "sursod" <sursod@xxx> wrote:
>
> 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@> 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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