Re: [amibroker] Re: Philosophical question, AmiBroker Email List Archive

2008/3/26, tinga_tinga <brent.neill@xxxxxxxxxxx>:

Louis,

You are welcome, I am very happy to be of assistence.

As far as backtesting sentiment data, it is pretty straightforward.
Download the data off the internet, and import it into Ami as a
textfile. You can then use it in backtests as you would any other
instrument. Do a google search on 'sentiment data' and you will find
a wealth of information.

If you are interested in trading forex, I forgot to mention that
OANDA offers near real-time snapshots of aggregate client positions.
I experimented with this data at one point and found to my suprise
(well not really) that the small OANDA traders are pretty bad as a
group. You can use this data as another source of research ideas if
that interests you (I shelved the project myself to focus on
equities). I remember I tested something like either buying or
fading breakouts based on which way the small-money was leaning, and
found pretty good if preliminary results from that. It is definitely
an interesting avenue for you or someone else out there, I believe.

I can share with you a few of my models, so if you want send me an
email we can talk more. However, I highly recommend you spend a few
days (or more) googling on your own for the resources I discussed in
my last post. You should really want to take ownership of this
process as much as you can. It won't be easy at first, but once you
build a foundation, hopefully a certain type of trader's intuition
will start to kick in for you. You'll know it when you feel it, is
how I can best describe it.

--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Thank you tinga_tinga for your answer. This is like gold to me.
This is
> really what I have been hoping for. Just one little question: how
do you do
> to backtest data like market sentiment, bull-bear type investor
> surveys?
>
> Thanks a lot for the tips; I will work on that!
>
> Thank you to you Howard too. I am reading your book and it helps
me to get
> the maximum out of Amibroker!
>
> Louis
>
> 2008/3/25, tinga_tinga <brent.neill@xxx>:

> >
> > Louis,
> >
> > I have been an Amibroker user for over 2 years now, and wanted to
> > offer a few ideas for you to think about. I trade equities almost
> > exlusively, so my indicators are geared towards stocks more than
> > commodities. Here is one trader's brain dump :)
> >
> > 1. Moving averages work well for me. If you backtest pullbacks
> > (defined however you wish, by % change or by RSI level or whatever
> > other indicator you wish to use, not important) you will see how
> > stocks act differently whether they are trading above or below
> > certain moving averages, say a 200 day SMA, for instance. I think
> > this in itself will give you something to build upon, and open up
a
> > world of trading ideas. Larry Connors has some good research in
this
> > area, while I find his offerings a little too promotional for my
> > liking, you can use his ideas and backtest them yourself as I
have.
> >
> > 2. Don't resrict yourself to an individual instrument or index,
think
> > about intermarket relationships. To that end, try to get your
hands
> > on ANY Ned Davis Research charts you can find in the public
domain.
> > It will open another world of ideas in regards to things such as
> > moving averages of breadth indicators, to give just one example.
> > Also grab "The Quantification Predicament" which earned NDR
analyst
> > Timothy Hayes the 1996 Charles H. Dow Award.
> >
> > 3. Backtest and use moving averages in relation to sentiment
> > indicators such as put/call ratios and the bull-bear type investor
> > surveys.
> >
> > 4. If you want to trade breakouts, think and backtest whether it
> > makes more sense to buy at the point of a breakout, or after a
> > pullback to the point of a breakout (or thereabouts). I have found
> > my success with the later method.
> >
> > 5. You can combine both a trend following and a mean reversion
system
> > using moving averages and/or breakouts and achieve great results.
It
> > is just a matter of timeframes. Alexander Elder talks about this
in
> > his books. This trend/reversion fusion is the core of my
individual
> > stock selection method.
> >
> > 6. Get on the Social Science Research Network and find what you
can
> > in regards to earnings estimate revisions, momentum, and industry
> > momentum (aka - does the group explain the stock momentum
anomaly???).
> >
> > 7. Be curious, persistent, enthusiastic, and above all never stop
> > imagining new research paths (highs/lows, advancers/decliners, %
> > changes, sentiment, analyst revisions, insider buying, COT
reports)
> > it's all out there waiting for you to backtest :)
> >
> > Good luck!
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > Thank you Brian for your reply and thank you all for your
replies.
> > I was
> > > not looking for an easy answer, but rather what people thought
about
> > > Breakouts and moving averages as main indicators. Of course I
will
> > build my
> > > own system, but I believe knowing what people with more
experience
> > are doing
> > > can help.
> > >
> > > Louis
> > >
> > > 2008/3/24, brian_z111 <brian_z111@>:
> >
> > > >
> > > > Louis,
> > > >
> > > > As long as you understand I don't deal (intentionally) in the
base
> > > > human emotions (they have no value to me).
> > > >
> > > > My philosphical points were addressed 'To Whom It May
Concern'.
> > > >
> > > > People are totally mistaken if they think there is no
relevance to
> > > > trading in my 'philosphical' post, however few are interested
and
> > I
> > > > don't have the time to do the subject justice anyway.
> > > >
> > > > My 'easy' answer to you was c) none of the above, but, IMO the
> > > > problem is that you don't have the experience to make the
> > necessary
> > > > distinctions for yourself (is it my fault that you are in
such a
> > > > hurry?). Also, it is not a good thing to 'lift' your trades
from
> > > > others. People trade best wnen they develop their own
> > systems/styles
> > > > etc so that is why I gave you that answer - it is in your best
> > > > interests. As well as that, good opinion on this subject
abounds
> > in
> > > > the forum and the books you have purchased e.g. Howard has
given
> > his
> > > > opinion on the importance of people choosing their own
Objective
> > > > Function and the fact that his recommended approach sidelines
> > trading
> > > > pyschology, so it is not as if the question went unanswered.
(I
> > > > understand that my esoteric answers are not to everyones
taste,
> > > > perhaps not yours, but there are plenty of other people
prepared
> > to
> > > > give an opinion.
> > > >
> > > > However that is just my answer - there are another 7000+
people
> > who
> > > > can give you any answer they like.
> > > >
> > > > Cheers,
> > > >
> > > > brian_z
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%

40yahoogroups.com><amibroker%

> > 40yahoogroups.com>, "Louis
> > > > Préfontaine"
> > > > <rockprog80@> wrote:
> > > > >
> > > > > Ok I was naive; I thought I could simply ask and get some
easy
> > > > answers which
> > > > > would get me right on track to get new ideas on how to
build a
> > > > hourly
> > > > > system...
> > > > >
> > > > > I'll stick around and try to get some piece of wisdom and
maybe
> > I
> > > > will be
> > > > > able to build something with those that will eventually
allow
> > me to
> > > > build
> > > > > the system I want to build!
> > > > >
> > > > > Louis
> > > > >
> > > > >
> > > > > 2008/3/21, brian_z111 <brian_z111@>:
> > > >
> > > > > >
> > > > > > (Subjective) investigations into the 'human condition'
have
> > been
> > > > > > going on, in parallel with our search for objective
truths, as
> > > > long
> > > > > > as humanity has been around.
> > > > > >
> > > > > > This body of information has been collected and
preserved, by
> > the
> > > > > > few, for the benefit of mankind (the many) and consitutes
a
> > > > SCIENCE
> > > > > > to its guardians, adherents and students.
> > > > > >
> > > > > > From that body of WISDOM two principles can be extracted
that
> > are
> > > > > > relevant to your comments:
> > > > > >
> > > > > > holism is universally persistent (all things are made in
the
> > > > IMAGE of
> > > > > > the creator)
> > > > > >
> > > > > > and,
> > > > > >
> > > > > > flowing from that, we derive the principle of
CORRESPONDENCE
> > > > > > (operating principles in one sphere, have their
corresponding
> > > > > > principle in another)...
> > > > > >
> > > > > > ...but that is going to far OT.
> > > > > >
> > > > > > Over to trading (OR how the above relates to trading):
> > > > > >
> > > > > > Over the long term the bias of the (stock) market is a
> > function of
> > > > > > the earnings performance of the component companies.
> > > > > >
> > > > > > This is skewed by the behaviour of market participants,
which
> > > > > > introduces randomness to the markets.
> > > > > >
> > > > > > The shorter the timeframe the more dominant
is 'randomness'
> > > > (which of
> > > > > > course is not true randomness).
> > > > > >
> > > > > > (If you are interested in the subject of organising
> > principles and
> > > > > > holism Carl Jung's work on Psychological Archetypes is a
> > wonderful
> > > > > > example of how the universal paradigms play out in the
> > affairs of
> > > > > > wo/mankind).
> > > > > >
> > > > > > brian_z *:-)
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com>, "Ronald
> > > > > > Davis" <xokie7@> wrote:
> > > > > > >
> > > > > > > I maintain the view that algorithms exist in nature, and
> > that
> > > > > > people who develop algorighms are only discovering another
> > one of
> > > > > > nature's secrets.
> > > > > > >
> > > > > > > When my son first showed me Amibroker several years
ago, I
> > > > looked
> > > > > > at charts with Stochastics, and RSI, and I became
convinced
> > that
> > > > > > mother nature has algorithms that can find the central
core of
> > > > all of
> > > > > > that volatility.
> > > > > > >
> > > > > > > I have yet to discover mother nature's algorighms, but
my
> > > > attempts
> > > > > > have led me to some conclusions.
> > > > > > >
> > > > > > > --------------------------------------------------------
--
> > > > > > ----------------------------------------------------------
> > > > > > ------
> > > > > > >
> > > > > > > My results WERE BEST when I "AVERAGED THE LAST SEVERAL
> > HUNDRED
> > > > DAYS
> > > > > > OF ACTIVITY"
> > > > > > >
> > > > > > > and watched the LAST 9 DAYS>of the performance of this
> > average
> > > > of
> > > > > > hundreds of days.
> > > > > > >
> > > > > > > --------------------------------------------------------
--
> > > > > > ----------------------------------------------------------
> > > > > > ------
> > > > > > >
> > > > > > > My results WERE LESS GOOD when I "AVERAGED OF LAST 9
DAYS OF
> > > > > > ACTIVITY"
> > > > > > >
> > > > > > > and watched the LAST 9 DAYS>of the performance of this
> > average
> > > > of
> > > > > > only 9 days.
> > > > > > >
> > > > > > > --------------------------------------------------------
--
> > > > > > ----------------------------------------------------------
> > > > > > -----
> > > > > > >
> > > > > > > Hope this helps someone. Ron D
> > > > > > >
> > > > > > > --------------------------------------------------------
--
> > > > > > ----------------------------
> > > > > > >
> > > > > > > ----- Original Message -----
> > > > > > > From: Louis Préfontaine
> > > > > > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%40yahoogroups.com>
> > > > > > > Sent: Thursday, March 20, 2008 10:25 PM
> > > > > > > Subject: [amibroker] Philosophical question
> > > > > > >
> > > > > > >
> > > > > > > Hi group,
> > > > > > >
> > > > > > > I just began reading Howard Bandy's book (even though I
did
> > not
> > > > > > finish Aronson's book yet...), and a somehow philosophical
> > > > question
> > > > > > came to my mind when he speaks about the market's
> > inefficiency and
> > > > > > how we must take advantage of it. He talks both about
moving
> > > > > > averages and breakout, and I was wondering which one of
the
> > two
> > > > > > techniques do you think is the more promising for such a
> > system?
> > > > > > >
> > > > > > > I ask this because as far as subjective technical
analysis
> > is
> > > > > > concerned, I am more used with breakout techniques. But
the
> > real
> > > > > > inefficiency in breakout techniques comes from time, that
is
> > if
> > > > one
> > > > > > can act quickly enough to make a profit from the sudden
> > change in
> > > > > > price. But from my experience it seems to be more
difficult
> > with
> > > > EOD
> > > > > > or hourly data. And it is less profitable for someone
(like
> > me)
> > > > who
> > > > > > is using options, which tend to anticipate the change
quicker
> > > > than it
> > > > > > really happens.
> > > > > > >
> > > > > > > Moving averages techniques, on the other side, seems a
bit
> > > > > > mystical to me, and maybe a bit too simple or too «
easy ». I
> > > > don't
> > > > > > know much about them...
> > > > > > >
> > > > > > > But anyway, my question is: which one of those two
> > techniques do
> > > > > > you prefer, or do you use both for entering a trade, or
> > shorting a
> > > > > > trade? What can be a good way to trade for someone (like
me)
> > who
> > > > > > wants to trade hourly data and can't always get the
beginning
> > of a
> > > > > > breakout?
> > > > > > >
> > > > > > > Thanks!
> > > > > > >
> > > > > > > Louis
> > > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>