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Hi Brian,
From what I understand you look like someone who has accomplised a lot... and not only in trading. As a personal piece of wisdom I really believe in the virtue of establishing goals and doing whatever one has to do to reach those goals. And the important thing is that the path to reach those goals must be nearly as enjoyable as the goal itself.
That was how it was for chess to me. As you said about programming, a big puzzle. I had so much fun looking at all those games, learning every move and every variation of a particular opening up to the 16th move, or learning all the possibilities of an Endgame, etc. I really like to play with concepts and to adapt them to create something new. Somehow, I always played chess like it was an art; an art of perfection where the mind created something that didn't exist before. This is how I got a draw at my second tournament game at 21 against an expert, and this is how I defeated several masters and won some tournaments. I always tried to surprise myself and get that "ahah!" that made the game look beautiful to me. I think I enjoyed the aesthetic of the game.
I see trading in the same way. My girlfriend's sister husband is a professional trader, trading with a 35% gain per year for over 10 years, and he used to play chess. However, how he trades is not possible for me; he is a day trader and I want to trade on slightly longer time frame because I have other occupations and it's too much energy. This is why I am lookingt at a system.
Are you serious it is possible to get 50% profit a year with such system?
You are right about the possibility of been too focused on the code itself to forget the trading activity. I compare this again to ches when I lost some games because I didn't want to give the fatal blow because I was so amazed that my opponent had nothing to play because my position was so strong... Or some games I lost because I wanted so hard to punish my opponent for getting out of theory, etc. Sometimes I forgot that the goal was to win the game.
You said you do some code but you prefer to work with programmers as they need you and you need them. Could you develop a bit on that? Do you mean that those programmers lack the intuition and talent you have to recognize profitable indicators and patterns and that you lack the ability to program as well as they do?
What I really would like to do, for me, is to build a system that would allow me to simply scan and buy/sell/short/cover when I have to, and that's it. On a daily basis and maybe later on a hourly basis. But it seems like a long way and I wonder how far I can go without having to become a programmer and wasting too much time on this instead of winning the trade.
Thanks,
Louis
2008/2/25, brian_z111 <brian_z111@xxxxxxxxx>:
Louis,
I guessed you were special - that is why I took some extra time to
help you.
You have a lot of good qualities that will hold you in good steed,
anywhere. I tried to help you focus on your weaker spots (I find that
we can make faster gains by improving our weaknesses, since our good
points are already close to maximized).
When you play a lot of chess like that one aspect of your mind
becomes highly developed at the expense of other parts (intense
academic study also does that).
The other side of life is also nice (art, music, daydreaming, al
fresco dining, a glass of wine etc).
>I still don't
> understand if I should use ATR or StDev and what is the difference
>between
> them,
Don't worry.
That is normal.
My teacher taught me that an apple doesn't ripen overnight.
Patience is a virtue.
Sometimes I just leave it a while and move on - later I go back to it
or it suddenly starts to click all by itself.
The stockchart site at the end of Thomas Ludwigs post is a very good
free site for indicator definitions - it has survived for quite a
while also.
Standard Deviation, and the bell curve, are intrinsic to trading
evaluation, although lots of successful traders don't know the first
thing about it. It is quite difficult to understand without pictures
and a good deal of contemplation over time.
This won't mean anything to you now but in the shortest possible
terms:
StDev and ATR are similar - they measure the movement in the stock -
the main difference is that StDev tells us how SIGNIFICANT the
movement is (significance is an important concept that you will come
across later).
> Tell me, what is your experience with programming in AFL and did
> you start from scratch?
Yes, I started from scratch.
I virtually had no programming experience before buying AB approx two
years ago.
I had a good laymans knowledge of Excel, and Excel functions, and
that helped me a lot (AmiBroker is array programming and
arrays 'look' just like a row in Excel).
The example, on automating relative performance plots, that I gave
you is simple enough. The top programmers can go a lot further than
that. After the simple methods I use run out they can go on and
virtually automate anything they care to (assuming it is worth the
effort).
You don't have to be a programmer, as such, to be a good trader.
> As for me, I always achieve what I want to achieve. I am 28, and I
>started
> playing chess seriously at 21, and I wanted to be an expert. At
>age 25 I
> was expert. And now I want to build a nice working code and even
>if I knew
> nothing about coding one month ago I feel confident I will be able
>to do it
> before I turn 30. But you are right, this is a lot of work!
>
Trading is a huge field.
No one can conquer it all.
As time goes on you start to specialize.
I am now becoming an expert (I know more and more about less and
less).
I do set ambitious goals but I never put a time frame on achieving
them (I like to let the subjective mind decide what path to take and
when to take it. I also allow the subjective mind to suggest new
goals, or adjustments to my conscious objectives. I have trained
myself to trust my intuition because it always pays off).
Yes, the capacity to achieve goals and chess playing are a near
perfect background for a top trader (trading is a game and it is all
about strategies).
You should make an excellent programmer - look at the AFL Reference
manual - it is a kind of cryptic puzzle and the function definitions
are the clues - it is good fun and a challenge - you appear to have
the right wiring for the job.
Programming is like a puzzle - youi know the start and the end but
you have to put all of the pieces in place to create the picture.
I am actually not the ideal type for programming.
My primary psychic function is intuition, with logic as my secondary
function, so I tend to 'guess' the answer first and prove it later.
I can still program enough to get by.
I actually deliberately don't go all the way.
That is the coders turf.
I need them, and they need me, so I don't need to try to be what I am
not.
> But I have no background in programming; do you think it is
>possible with a
> lot of hard work to achieve something profitable? Did you build a
>system
> that is working for yourself?
Yes, it is.
Like anything, a lot of people try but only a few become brilliant at
it.
There is no guarantee for anyone.
A lot of people who think they should be good at it aren't.
My personal opinion is that anyone, with average intelligence, who
perseveres WITH SELF HONESTY will succeed - traders in the forum in
the past have said that >50% PA is the norm for them.
Certainly 20-30%PA is easily attainable.
IMO there is a catch to trading - it seems so hard but actually it is
quite easy once you can do it. It is so simple that people can't
believe that is possible and keep looking for the hard solutions.
When I first started I used Profit Factor as an easy catch all
measurement of a systems value. I read books by traders who said that
they won't trade any system with less than PF 2-3.
I couldn't believe this - I thought it was a lie because no matter
how hard I tried I couldn't get above 1.6.
It took me 3-4 years to start to find PF 3+ trades.
Yes, I have systems that work for me.
I think you have to be careful though because AmiBroker is a
seductive place - it can quickly start to turn you into a
programmer/developer rather than a trader.
Academics are obsessed with being published in a journal.
Mathmeticians are obsessed with solving equations.
Programmers are obsessed with writing code.
Brokers are obsessed with selling.
Investment professionals are obsessed with their careers.
Traders are obsessed with winning the game.
If you really want to be a programmer/developer fine - it would make
a great career and it would be a lot of fun.
One tip for you:
The rules of the game aren't what'they' (non-traders) say they are
(99% of them are just myths).
The real rules of the game are unwritten secrets that you have to
find out for yourself (like the Matrix - "How deep does the rabbit
hole go?)
A trader is a person who makes their living by buying and selling.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi Brian,
>
> Thanks for your last message. Somehow, it inspired me. I still
don't
> understand if I should use ATR or StDev and what is the difference
between
> them, but I feel confident I can learn how to write better codes in
the
> future. Tell me, what is your experience with programming in AFL
and did
> you start from scratch?
>
> As for me, I always achieve what I want to achieve. I am 28, and I
started
> playing chess seriously at 21, and I wanted to be an expert. At
age 25 I
> was expert. And now I want to build a nice working code and even
if I knew
> nothing about coding one month ago I feel confident I will be able
to do it
> before I turn 30. But you are right, this is a lot of work!
>
> I will buy Howard Bandy's book and I hope I will be able to build
something
> good.
>
> But I have no background in programming; do you think it is
possible with a
> lot of hard work to achieve something profitable? Did you build a
system
> that is working for yourself?
>
> Thanks,
>
>
> Louis
>
>
>
>
>
> 2008/2/24, brian_z111 <brian_z111@xxx>:
> >
> > > I think I might confuse ATR and StDev. What is the utility of
> > > each?
> >
> > Yes, I think you are confusing them a little.
> >
> > I'm sorry but there is no way for any of us to avoid the humdrum
of
> > getting out the textbooks and doing our homework.
> >
> > Genius is 99% perspiration and 1% inspiration.
> >
> > Mark Knopfler (Dire Staits) was a genuius rock musician - he was
self
> > taught and couldn't read music - he was an exception.
> >
> > On the other hand, Mozart, the greatest musician composer who ever
> > lived, was tutored in the rudiments of music by his expert father
> > from the time he was an infant.
> >
> > Understanding is a mysterious quality.
> >
> > Can we buy it?
> >
> > I don't know any short cut to understanding, for the average
person.
> > Only theory followed by practice followed by performance and then
> > (repetitively) back to theory again brings understanding
(fortunately
> > at a point we somehow make a quantum leap - no one knows how that
> > happens).
> >
> > Isn't StDev more flexible because you can modify it by
> > > changing it to 1, 2 or 3, etc.?
> >
> > Yes, to me it is but I don't want to put you off ATR - ATR is also
> > good when used in the right time and place.
> >
> > It is more flexible because it is portable and also because it is
the
> > basis of volatility as used in other places in trading e.g.
options
> > pricing.
> >
> > How can I profit from each?
> > >
> > See my previous post on stops for examples on ways to use it.
> >
> > Sorry but I am not a trading commentator and I don't give advice
on
> > making profit as such - only on how to use AB and the
> > theory/philosophy behind trading etc (I only post educational and
> > resource material or enjoy friendly discussion with other
traders).
> >
> > > Thanks fvor the suggestion about Howard Bandy's book. Is it
really
> > > worth that 62$ I would spend to get it? I mean: I looked at some
> > > extract and it looks interesting but is it only another
amibroker
> > > tutorial or would it actually help me to build my system?
> > >
> >
> > No one can answer this question except you.
> > It is a question of values - what we value is different for us
all.
> >
> > I like the philosophy of Carlos Castaneda (Tales of Don Juan) very
> > much.
> >
> > He said:
> >
> > "For me there is only the travelling on PATHS that have heart, on
any
> > PATH that may have heart.
> >
> > There I travel, and the only worthwhile challenge is to tranverse
its
> > full length.....
> >
> > .....and there I travel looking, looking, breathlessly".
> >
> > For me Howard's book is cheap.
> >
> > I always assumed he wasn't making a lot of money out of it
(there's
> > no money in books and training because the returns, for the hours
> > that go into it, are a pittance).
> >
> > The value is beyond money.
> >
> > It is not the Holy Grail of trading, AB or system design.
> > Howard wouldn't say that it is either.
> >
> > You have to learn your evaluation somewhere.
> >
> > When I started trading I made the mistake of playing around on my
own
> > too much (you need a balance).
> >
> > I haven't been to school/college, as such, since I was 16 (40
years
> > ago) and I had forgotten how to 'learn hard' (in Australia we say
> > that I went to the 'University of Hard Knocks').
> >
> > When I started 'trading' I wasted years, and a few thousand
dollars,
> > that I could have saved by reading three good trading books
> > thoroughly and carefully.
> >
> > At the UKB I give a short list of the 3-4 best system design and
> > trading books that I have read so far.
> >
> > refer to "Statistics Resources for Traders".
> >
> > > BTW, what is the UKB?
> >
> > http://www.amibroker.org/userkb/
> >
> > > p.s. I saw your answer about comparing the market but I wasn't
sure
> > > I understood what you meant. So far I can say I am somehow
> > > satisfied having NYSE as the reference index since TSX and comp^
> > > follows it anyway, but sure it would be nice to be able to have
tsx
> > > for canadian stocks and comp for stocks on the nasdaq.
> >
> > You 'saw' my answer but you didn't understand it (to understand we
> > have to move it from the eyes to the forebrain and then from the
> > forebrain to the HEART).
> >
> > It is very easy if you understand that basic example.
> >
> > Then you can change the code to get anything you want (within
reason
> > for a 'middle of the road' coder like me).
> >
> > brian_z *:-)
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "louisprefontaine" <rockprog80@>
> > wrote:
> >
> > >
> > > Hi Brian,
> > >
> > > I think I might confuse ATR and StDev. What is the utility of
> > > each? Isn't StDev more flexible because you can modify it by
> > > changing it to 1, 2 or 3, etc.? How can I profit from each?
> > >
> > > Thanks fvor the suggestion about Howard Bandy's book. Is it
really
> > > worth that 62$ I would spend to get it? I mean: I looked at some
> > > extract and it looks interesting but is it only another
amibroker
> > > tutorial or would it actually help me to build my system?
> > >
> > > BTW, what is the UKB?
> > >
> > > Thanks a lot!
> > >
> > > Louis
> > >
> > > p.s. I saw your answer about comparing the market but I wasn't
sure
> > > I understood what you meant. So far I can say I am somehow
> > > satisfied having NYSE as the reference index since TSX and comp^
> > > follows it anyway, but sure it would be nice to be able to have
tsx
> > > for canadian stocks and comp for stocks on the nasdaq.
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "brian_z111" <brian_z111@>
> > > wrote:
> > > >
> > > > Louis,
> > > >
> > > > > only thing I need to know is simply to set the STdev at 2
or 3
> > > (if
> > > > it's what
> > > > > I want to do) and then automatically ATR will be use that
new
> > > StDev?
> > > > >
> > > >
> > > > No.
> > > >
> > > > ATR and StDev are both measures of volatility but they
measure it
> > > in
> > > > different ways. Generally you would use one or the other.
> > > >
> > > > StDev has special uses.
> > > >
> > > > If you want to use them it would pay off to study them closely
> > > first.
> > > >
> > > >
> > > > > I like your idea to make two groups; one with high
volatility
> > > and
> > > > one with
> > > > > low volatility. Would you consider it would be possible to
> > > adjust
> > > > the
> > > > > stop-loss differently for each group?
> > > >
> > > > You could try it e.g. the stop loss can be the close - StDev
> > (C,20).
> > > > You can vary the stop loss for one group by using a
multiplier so
> > > the
> > > > stop loss could be close - StDev(C,20) * 1.5 for one group and
> > > close -
> > > > StDev(C,20) for the other.
> > > >
> > > >
> > > >
> > > > > And how do you filter the top
> > > > > performers?
> > > >
> > > > It depends on what you have chosen as your favourite metric
for
> > > > evaluating systems. As I said in an earlier post I like Power
> > > Factor
> > > > (I will be explaining this at the UKB soon) but you would be
> > > better
> > > > served choosing your own.
> > > >
> > > > If you are not sure on evaluation, and use of the metrics,
then
> > > > Howard Bandy's book is a good place to start.
> > > >
> > > > Sorry, I can't help you any further with this.
> > > > I have a couple of posts for the UKB I want to get finished.
> > > >
> > > > BTW did you see the answer I gave you yesterday on "Trying to
> > > compare
> > > > market and industry" ?. see message # 120270
> > > >
> > > > I hopoe that helps you a little and good luck with your
trading.
> > > >
> > > > brian_z
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > > > <rockprog80@> wrote:
> > > > >
> > > > > Hi Brian,
> > > > >
> > > > > Thanks for those explanation. I will experiment with this
> > > tonight
> > > > and
> > > > > tomorrow. However, I am not sure about something: are you
> > > saying
> > > > that the
> > > > > only thing I need to know is simply to set the STdev at 2
or 3
> > > (if
> > > > it's what
> > > > > I want to do) and then automatically ATR will be use that
new
> > > StDev?
> > > > >
> > > > > I like your idea to make two groups; one with high
volatility
> > > and
> > > > one with
> > > > > low volatility. Would you consider it would be possible to
> > > adjust
> > > > the
> > > > > stop-loss differently for each group? And how do you filter
> > the
> > > top
> > > > > performers?
> > > > >
> > > > > As always, thanks for your help!
> > > > >
> > > > > Louis
> > > > >
> > > > > 2008/2/24, brian_z111 <brian_z111@>:
> > > > > >
> > > > > > Sorry Louis, a mistake there.
> > > > > >
> > > > > > I am getting my standard deviations mixed up between
programs.
> > > > > >
> > > > > > In AB StDev is 1 by default and is in $values.
> > > > > > To use AB's StDev at 2,3 deviations etc just multiply
StDev
> > > (C,10)
> > > > * 2
> > > > > > etc
> > > > > > To use it as StDev%
> > > > > > StDevPercent = StDev(C,Periods)/MA(C,Periods) * 100;
> > > > > >
> > > > > > For STANDARD measures of deviation use StDev.
> > > > > > For relative measures of deviation use ATR as % or StDev
as %
> > > > > >
> > > > > > One example:
> > > > > >
> > > > > > Say you want to compare the performance of a fast horse
and a
> > > slow
> > > > > > horse. If they both travel 1 StDev in the same time
(number of
> > > > > > periods) their performance is equal but the VALUE
(QUALITY)
> > of
> > > the
> > > > > > fast horses performance is higher - it's a grade one horse
> > > > compared
> > > > > > to the other horse, which is a grade 2 (using speed as the
> > > > criteria).
> > > > > >
> > > > > > In practice - profit/loss stops might be set at +- 1
standard
> > > > > > devation and then filtered for the top performers. The top
> > > > performers
> > > > > > could then be segregated into two watchlists - those with
1
> > > stdev
> > > > >
> > > > > > 2% (high volatility stocks) and those with stdev <=2% (low
> > > > volatility
> > > > > > stocks) - this would allow a comparison of the
performance of
> > > that
> > > > > > trading signal/stop loss combination on high and low
> > volatility
> > > > > > stocks.
> > > > > >
> > > > > > brian_z
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
><amibroker%
> > 40yahoogroups.com>,
> > > > > > "brian_z111" <brian_z111@> wrote:
> > > > > > >
> > > > > > > Louis,
> > > > > > >
> > > > > > > >Does anyone know if it is possible to get an absolute
> > value
> > > > ATR?
> > > > > > >
> > > > > > > The Abs() function serves that purpose but I think you
mean
> > > > > > something
> > > > > > > else.
> > > > > > >
> > > > > > > ATR is a measure of volatility and it is specific for
each
> > > > stock (or
> > > > > > > instrument). The whole idea of it (AFAIK) is to use it
on an
> > > > > > > individual
> > > > > > > stock basis.
> > > > > > >
> > > > > > > It can be useful to compare volatility:
> > > > > > >
> > > > > > > 1) internally e.g. against an average of the last (x)
days
> > OR
> > > > > > against
> > > > > > > the StDev (standard deviation) of the volatility
measure OR
> > > > just use
> > > > > > > StDev of the Close etc on its own.
> > > > > > >
> > > > > > > StDev() function does allow to change the setting
between 1
> > > or
> > > > 2 etc
> > > > > > >
> > > > > > > 2) externally to the volatility of the market OR a
sector
> > > that
> > > > the
> > > > > > > stock is a member of OR compared to another stock in the
> > > same
> > > > sector
> > > > > > > etc.
> > > > > > >
> > > > > > > brian_z
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
><amibroker%
> > > 40yahoogroups.com>,
> > > > Graham
> > > > > > <kavemanperth@> wrote:
> > > > > > > >
> > > > > > > > you could try a percentage type
> > > > > > > >
> > > > > > > > ATR(10)/ref(c,-1)*100
> > > > > > > >
> > > > > > > > --
> > > > > > > > Cheers
> > > > > > > > Graham Kav
> > > > > > > > AFL Writing Service
> > > > > > > > http://www.aflwriting.com
> > > > > > > >
> > > > > > > >
> > > > > > > > On 24/02/2008, louisprefontaine <rockprog80@> wrote:
> > > > > > > > > Does anyone know if it is possible to get an
absolute
> > > value
> > > > > > ATR?
> > > > > > > I
> > > > > > > > > already use the ATR, but it changes from stock to
stock,
> > > > > > > depending on
> > > > > > > > > the value of the stock. Would it be possible to get
an
> > > > > > absolute
> > > > > > > value
> > > > > > > > > indicator, like CMF, RSI, etc.? Thanks!
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > 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
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
> >
> >
>
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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:
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For other support material please check also:
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