|
PureBytes Links
Trading Reference Links
|
I agree ... Good T & A is one of my favorite methodologies ... but
what does that or THIS have to do with AB ?
--- In amibroker@xxxxxxxxxxxxxxx, "brpnw1" <tradermail@xxx> wrote:
>
> There are really three analysis methods for trading... fundamental
> analysis (FA), technical analysis (TA), and decision analysis (DA).
>
> For example, I would classify money management techniques under
DA,
> though things such as scaled trades, stop losses and profit stops
> may be optimized in the same way as a TA indicator -- so there
> is "some" crossover between DA and TA.
>
> The DA helps form the command system for how FA and TA operate.
> Knowing that overall market conditions are poor/good due to a
market
> breadth analysis, using sector analysis to determine which sectors
> to trade at any given time, kowing which watchlist to trade, or
> knowing which FA data and TA indicator combinations to use in
> specific market environments -- could all be classified as DA.
>
> DA is where trading experience is hard-coded, which means any
newbie
> trying to code DA will be relying heavily on the wisdom handed to
> them by other traders.
>
> IMO, DA is the weak spot for most traders. Amibroker is a
wonderful
> tool for going very deep into sophisticated TA, and I often see
> heavy focus on TA instead of DA -- although TA is nearly useless
> without good DA. Fortunately, there are some decent DA methods
> readily available in AFL -- although they are a definite minority.
>
> The composite indice creation functionality in AB was a massive
> breakthrough in DA, IMO. I have been surprised to see few examples
> of how to seriously exploit this for profits, though -- other than
> old-school TA applied to the indices. Applying smart DA to
determine
> which tickers are used to create an indice, as a quick example...
> something that has been overlooked by many. There are many other
DA
> approaches that may be applied to this. This is just a quick
example
> so people have an idea of what I am talking about. DA is very open-
> ended and is not specific to composite indice creation.
>
> Namaste,
>
> ~Bman
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sursod" <sursod@> wrote:
> >
> > Am I glad to hear I am not the only one who feels this way! Not
> only
> > is TA no Holy Grail I do not think of them as much better than
> > broken clocks that chime twice a day. I decided to do things my
> way -
> > teach the robot to trade like a discretionary trader. In a very
> > crude manner, for sure. But despite the crudeness the robot
trader
> > (mechanical system) has an edge because of it's consistency. We
> > cannot measure the odds of our decision making unless we are
> > consistent, at the same time we do not learn efficiently without
> > reliable feedbacks, this I feel is the problem with
discretionary
> > trading.
> >
> > Using a combination of indicators does not necessarily improve
the
> > resulting accuracy - a set of 5, 10 or 20 that agree, among
> hundreds
> > and thousands of broken clocks, is no more guarantee of accuracy
> > than one indicator alone. However "decision making" based on
> > multiple TA does "smooth the accuracy curve" which is important
> for
> > me. I would rather my TA accuracy swing between 45% - 55% and
not
> > between 30% - 70%, if I am confident of that the Average Win:
> > Average Loss ratio will take care of the rest. Assuming 40% win
> the
> > AW:AL ratio needs to be 1.5 to break even and if through exit
> design
> > I can achieve an AW:AL ratio of 2.5 I will have some cushion
for
> > Walk Forward degradation. The AW:AL ratio is easier to control
and
> > degrades less than the %win ratio because it is more money
> > management than TA dependent.
> >
> > I stick with a few simple indicators and won't use anything I do
> not
> > understand. My favorites are RSI, SRSI, Bollinger Band and
> > candlesticks, not because I think they are better but because I
> know
> > them better.
> > Sursod
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brpnw1" <tradermail@> wrote:
> > >
> > > I feel I led some people here astray. I want to say that no
> single
> > > indicator may be used to predict the market 100% of the time.
If
> > it
> > > existed, we would know about it, because it would be our holy
> > grail
> > > and it's all we would talk about here.
> > >
> > > What I have been trying to say is that a number of different
TA
> > > systems are required to make an "uber" system that contains
them
> > > all. The "uber" system contains decision-making code that taps
> > into
> > > such things as market breadth, open interest, and trend
> detection -
> > -
> > > all for the purpose of emulating the human decision-making
> process
> > > regarding which technical indicators to use.
> > >
> > > The key is not in the depth of the indicator code complexity.
> It's
> > > in emulating the human decision-making process regarding which
> > > indicators to use at any given time.
> > >
> > > There should even, perhaps, be a separate AFL library or
library
> > > section that focuses strictly on code that emulates the
decision-
> > > making process. It would do everyone well to stop pursuing the
> > math
> > > and engineering skills, and begin pursuing the ability to
break
> > down
> > > the decision-making process regarding which TA indicator
> > > combinations to use for different situations.
> > >
> > > After testing thousands of indicators and combinations of
> > indicators
> > > over the last 6 years, I can now say my best indicators are
the
> > > simplest ones, some of which are ones that were handed to me
in
> my
> > > first month or two of playing with Amibroker. The hard part
has
> > been
> > > in getting the trading experience under my belt so that I can
> code
> > > the decision-making process mentioned above.
> > >
> > > Thanks for reading,
> > >
> > > Namaste,
> > >
> > > ~Bman
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@>
> wrote:
> > > >
> > > > Although I very much hate to say it, I am indeed skeptical
> that
> > > there are
> > > > any technical systems that work consistently. I am also
> > convinced
> > > (see Ly's
> > > > argument) that if technical analysis ever did work, it works
> > less
> > > well now
> > > > than it did in the past.
> > > >
> > > > I would like to hear from any technical trader who can
provide
> a
> > > complete
> > > > and independently verified list (for instance on
> > > www.timertrac.com) of his
> > > > or her trades that show a profit that beats some benchmark
> (say
> > > sp500) over
> > > > a consecutive period of 3 recent years.
> > > >
> > > > Ly, can you explain why volatility analysis is different
than
> > > technical
> > > > analysis? Can you give examples of volatility systems that
> > might
> > > be
> > > > useful? Also, can you explain your statement regarding
> > > the "correlation
> > > > between volumes and prices?"
> > > >
> > > > One example of a volatility-based system that may be
> successful
> > is
> > > the
> > > > "fasttrack" approach (see for instance
> > > > http://www.greenmountainaccess.net/~wwgansz/.
> > > >
> > > > really enjoying the thread!
> > > >
> > > > chuck
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: "Tom Tom" <michel_b_g@>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Saturday, December 02, 2006 12:50 PM
> > > > Subject: Re: [amibroker] Re: Random Walk - step 2 - :
> > > Predicitable ?
> > > >
> > > >
> > > > > Hi Bman,
> > > > >
> > > > > Sure there is psychological and human behaviour in this
> game,
> > > and it has
> > > > > to
> > > > > be considered.
> > > > >
> > > > > But the financial instition should say us "yes it is
> > > predictable"... so we
> > > > > put all our money on the market for them. If they say, "it
> is
> > > random walk"
> > > > > people will leave the market and give less money to it.
> > > > > It need to be balanced i think...maybe yes maybe not, so
> > mystery
> > > is keep
> > > > > and
> > > > > financial institution have maximum cards to play in their
> hand.
> > > > >
> > > > > I aggree 100% with Chuck about this line "technical
analysis
> > has
> > > not been
> > > > > validated in controlled studies"...
> > > > > It is true, i have never read (if someone know where to
> find,
> > i
> > > am very
> > > > > interrested, thx) a clean scientific demonstration about
> > winning
> > > trading
> > > > > system... nor an old mechanical trader publish any trading
> > > reconstruction
> > > > > based on real trade winned by his trading system and
showing
> > > precise
> > > > > reports
> > > > > and indicator used... and it frighten me sometimes,
because
> > > maybe after
> > > > > all
> > > > > the winner we show us are only a small part of the people
> > which
> > > take a big
> > > > > risk and win (big risk = big return if lucky = good
> trader ?).
> > > Those who
> > > > > take a big risk and did'nt win are no more here.
> > > > > Statically, on all the trader over the world, their is
some
> > who
> > > can be
> > > > > lucky
> > > > > and win 10 years , 20 or more consecutive years... few
> > people...
> > > but
> > > > > possible. Are their technics consistent ? Do they adapt
> their
> > > technics
> > > > > over
> > > > > the time ? (so profit cannot be consistent because we
cannot
> > for
> > > sure have
> > > > > a
> > > > > good trading system everytime).
> > > > > Why not a book on a big trading looser ? : )) so trader
> (bad
> > or
> > > good)
> > > > > would
> > > > > make money not by trading but by publishing book héhé.
> > > > > YES we can make money on the market it is a fact, but we
> have
> > to
> > > be
> > > > > very...
> > > > > very... very carrefull i think if we want it to be
consitent
> > > over the
> > > > > time.
> > > > > The hard compromises we face is : Commission / Returns and
> > > Risk / Profit
> > > > > expected.
> > > > >
> > > > >
> > > > > Their is are two book on the subject, i find the title
> funny :
> > > > >
> > > > > 1- A random walk down wall street, by Burton G. Malkiel
> > > > > http://people.brandeis.edu/~yanzp/Study%20Notes/A%20Random%
> > > 20Walk%20down%20Wall%20Street.pdf
> > > > >
> > > > > 2- A non-random walk down wall street, bu Andrew W.Lo and
A.
> > > Craig
> > > > > MacKinlay
> > > > > http://www.amazon.com/Non-Random-Walk-Down-Wall-
> > > Street/dp/0691092567
> > > > >
> > > > > It show well the problem.
> > > > > I did'nt read the first one (just the abstract)
> > > > > I just read fastly thez second one. Very good, go deep in
> the
> > > problem with
> > > > > mathematic backgound to show assumption which are made
> inside.
> > > > >
> > > > > First one say from its abstarct : "this is random walk,
and
> > all
> > > that we
> > > > > can
> > > > > do is good managing of risk"
> > > > > Second one say : "this is not random walk because
volatility
> > > don't follow
> > > > > random walk model"
> > > > > All seems about volatility :
> > > > > First one : risk managment = manage portfolio gievn the
> > > volatility
> > > > > (=risk).
> > > > > Second one : volatility is not random
> > > > >
> > > > > So to go deep on the subject :
> > > > > Does someones here make pure volatility based trading
system
> > on
> > > Amibroker
> > > > > ?
> > > > > Can we have his feeling about that ?
> > > > >
> > > > > Cheers,
> > > > > Mich.
> > > > >
> > > > >
> > > > > ----- Original Message -----
> > > > > From: brpnw1
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Sent: Saturday, December 02, 2006 5:36 PM
> > > > > Subject: [amibroker] Re: Random Walk - step 2 - :
> > Predicitable ?
> > > > >
> > > > >
> > > > > The fact that people make consistent money off the stock
> > market
> > > is
> > > > > evidence that the markets are not random. It appears that
> self-
> > > > > purported "experts" who likely work for large financial
> firms
> > > will
> > > > > go to great lengths to use data to help people forget that
> the
> > > > > markets are not random -- of course it's not random,
because
> > > people
> > > > > are making consistent wins off the market, using technical
> > > analysis.
> > > > > People such as John Ehlers, for example, who have created
> > black
> > > box
> > > > > mehods that will always profit from the market, without
any
> > human
> > > > > intervention.
> > > > >
> > > > > These financial firms have everything to gain by
> demonstrating
> > > that
> > > > > technical analysis is an illusion. They want to handle
your
> > > money so
> > > > > they can make their profits. Don't ever believe them. They
> > want
> > > you
> > > > > to ride out the long-term dips in the market without ever
> > moving
> > > > > your money. They make more money if you don't move your
> money.
> > > The
> > > > > compliance portion of the financial industry goes to
greath
> > > lengths
> > > > > to make sure that once they have your money, very few
people
> > in
> > > the
> > > > > financial world can actually use technical analysis to
make
> you
> > > > > regular profits. Try getting a job as a financial planner,
> > based
> > > on
> > > > > your ability to make people money using technical
analysis --
>
> > > you'll
> > > > > never get near a desk at any firm. They don't want you to
> > > contradict
> > > > > the BS that they feed the masses.
> > > > >
> > > > > In order for financial firms to make money off you, they
> have
> > to
> > > > > make you lose money. Somebody always loses in the stock
> > market.
> > > They
> > > > > just want to make sure it's you.
> > > > >
> > > > > So continue to seek out technical analysis to make
> consistent
> > > gains
> > > > > in the market. Regularly read articles written by people
who
> > are
> > > > > already doing this successfully, so you don't lose track
of
> > > reality,
> > > > > since the financial firms are rich enough to produce a very
> > > > > convincing BS argument.
> > > > >
> > > > > ~Bman
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "cstrader" ...> wrote:
> > > > >>
> > > > >>Hi Tom Tom:
> > > > >>
> > > > >>Yes, an interesting article. I was particularly intrigued
by
> > this
> > > > > line:
> > > > >>
> > > > >>"technical analysis has not been validated in controlled
> > > studies "
> > > > >>
> > > > >>Is there any evidence that what we are trying to do might
> ever
> > > > > work? How
> > > > >>could we prove that it does?
> > > > >>
> > > > >>chuck
> > > > >>
> > > > >>----- Original Message ----- From: "Tom Tom" ...>
> > > > >>To: <amibroker@xxxxxxxxxxxxxxx>
> > > > >>Sent: Friday, December 01, 2006 5:12 PM
> > > > >>Subject: [amibroker] Random Walk - step 2 - :
Predicitable ?
> > > > >>
> > > > >>
> > > > >> > To go on dicussion about random walk, nice article at
the
> > > middle
> > > > > of this
> > > > >> > page :
> > > > >> >
> > > > >> > http://www.duke.edu/~rnau/411georw.htm
> > > > >> >
> > > > >> > Combine: Random Walk and Prediction.
> > > > >> > Technical analysis... usefull ? Financial
information ...
> > > > > usefull ? Even
> > > > >> > illegal information (hidden to public) .. usefull ?
Last
> one
> > > > > maybe.
> > > > >> > Others,
> > > > >> > humm....
> > > > >> > This is what about deals this article.
> > > > >> >
> > > > >> > For me, next theory could be a Chaotic Fractal Near-
Random
> > > > > Walk... : ))
> > > > >> > Chaotic : because spurious peak in the data wich can
> > initiate
> > > > > further
> > > > >> > mouvment
> > > > >> > Fractal : year, month, day, hour, minute, sec... same
> > patterns
> > > > >> > Near-Random Walk : Random Walk but predictable, because
i
> > > don't
> > > > > think
> > > > >> > price
> > > > >> > move randomly...
> > > > >> > If they move randomly... tehnical or fundamental
analysis
> > are
> > > > > useless, so
> > > > >> > there is no mean to try to trade at all, (only to give
> > > > > commission to the
> > > > >> > broker héhé).
> > > > >> >
> > > > >> > Seriously, from this article, what seems emerging from
> last
> > > > > years, is that
> > > > >> > price is random walk, but volatility maybe not... It is
> well
> > > > > explained in
> > > > >> > the article. Arch and Garch model are mentionned.
> > > > >> > Someone try this on AB ? Trade based only about
volatility
> > > > > prediction (so
> > > > >> > predict risk, and manage portfolio depending those
> > prediction
> > > > > about
> > > > >> > volatility)... and so don't bother with the price
random-
> > > walk ?
> > > > >> >
> > > > >> >
> > > > >> > Cheers,
> > > > >> > Mich
> > > > >> >
> > > > >> >
__________________________________________________________
> > > > >> > Les révélations de la starac 6 commentées par Jérémy!
> > > > >> > http://starac2006.spaces.live.com/
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >> > 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 NEW RELEASE ANNOUNCEMENTS and other news always
check
> > > DEVLOG:
> > > > >> > http://www.amibroker.com/devlog/
> > > > >> >
> > > > >> > For other support material please check also:
> > > > >> > http://www.amibroker.com/support.html
> > > > >> >
> > > > >> > Yahoo! Groups Links
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >>
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > _________________________________________________________________
> > > > > Windows Live Messenger sur i-modeT : dialoguez avec vos
amis
> > > depuis votre
> > > > > mobile comme sur PC !
> http://mobile.live.fr/messenger/bouygues/
> > > > >
> > > > >
> > > > >
> > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check
> > DEVLOG:
> > > > > http://www.amibroker.com/devlog/
> > > > >
> > > > > For other support material please check also:
> > > > > http://www.amibroker.com/support.html
> > > > >
> > > > > Yahoo! Groups Links
> > > > >
> > > > >
> > > > >
> > > >
> > >
> >
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.15.13/577 - Release Date: 12/6/2006 4:39 PM
|