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Hi Kethek --
You are describing a search for a special case of an entry method that leads to profitable trades -- indicators.
There are many ways to enter a trade: indicators, seasonality, patterns, cycles, and so forth. Due to the uncertainty and variability in the price series, none work all the time. Some do not work at all.
To focus on indicators --
There are two ways to investigate indicators.
One -- Select an indicator to work with. Try various combinations of logic and parameter values to select the condition that will cause a Buy signal. Sell a short time later. If your entry was a good one, a short holding period should be profitable. If you are swing trading using end-of-day data, Sell = BarsSince(Buy) >=2; will test the efficiency of the entry.
Two -- Select good entry points. You can do this in AmiBroker by using the Ref function and looking ahead. Pick entries that you would like to take. These will be different for different trading styles -- swing versus trend-following, etc. Then look for indicators that correlate well with those desired entries -- again working with logic rules and parameter values.
Most, but not all, indicators have lag that causes them to be late. If an indicator is late, it might be improved by making it react faster -- shortening the lookback lengths and so forth. Making it faster is likely to increase the number of false signals -- whipsaws.
Another method of improving the efficiency of a system is taking the entry as soon as possible after receiving the data that gives the signal. If you are using end-of-day data, try buying on the close of the bar that gives the signal. Settradedelays(0,0,0,0); BuyPrice = Close;
Or, try indicators that do not have much lag. Examples include some statistical measures (z-score), the adaptive moving average (dema), the predicted point of a regression line or curve.
Best of luck.
Please report back to us all on what you find.
Thanks,
Howard
www.quantitativetradingsystems.com
On Fri, Mar 14, 2008 at 12:55 AM, Kethek Ogleng < budheng0402@xxxxxxxxx> wrote:
Dear Thomasz and Brian,
I have explored indicators that I am aware of, but I have not found single leading indicator. Eventhough I hv changed the parameters, , the indicators were all lagged. The fastest indicator that I am aware of is Heikin-Ashi, but still it is not leading indicator. In the best of your knowledge and experience, what are leading indicators available for AB users (or at least faster that Heikin-Ashi)? Logically (for non-IT guy like me), the leading indicator must contain price linear regression and volume components.
I am aware that if someone had it, he or she must be a multibillioner and wouldnt share with us. Ha ha ha
Regards,
Kethek
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