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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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