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I find that indicators optimized for equity work just
fine especially when combined with experienced based discretionary input in re
patterns, volume, money management, etc. Fast and simple and
does as well as the backtesting stuff.
Bill
----- Original Message -----
Sent: Friday, March 14, 2008 1:18
PM
Subject: Re: [amibroker] Leading
indicators
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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