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"I will stick to my prediction that around 30%PA EOD trading is a
limit for indicators that use lookback periods and that to achieve
more than this requires a different approach (as I say you are both
correct except I believe that Steve is talking about >30%PA returns)."
Is this just your opinion or do you have something that approaches
'scientific proof' of this allegation?
In "The Profit Magic of Stock Transaction Timing" by J M Hurst, the
author claims the theoretical maximum annual ROI for stock trading is
2400%. ROI is directly related to the holding period for each trade
and being fully invested at all times (the 'Magic' is in the power of
compounding).
Hurst recorded the results of a 6 week real time trading experiment in
which his performance trading high beta stocks approached his
theoretical maximum annual ROI.
Hurst waited until the dominant cycles in his trading instrument were
in alignment before trading (this is also called multiple time frame
or multiple fractal alignment). He primarily used daily and weekly charts.
The theoretical maximum ROI is actually much higher than 2400% if you
use intraday charts and leveraged trading instruments.
If you look in the Amibroker Trading System Yahoo group, you will find
a poll of results of people's mechanical trading systems. IIRC, the
best ones listed returned over 400% per year.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 20 - (- 9.3_ == approx delta 30% PA in my books.
>
> Thanks Yuki for confirming this.
> Now I don't have to post a 30% system (as I promised Louis) to prove
> my benchmark is correct.
>
> Actually I agree with both you and Steve (the real problem is
> semantics since IMO close analysis would show that most of us are
> moementum traders and also that most of us are using a kind of S/R in
> some way - the difference is how we perceive and define these things).
>
> I will stick to my prediction that around 30%PA EOD trading is a
> limit for indicators that use lookback periods and that to achieve
> more than this requires a different approach (as I say you are both
> correct except I believe that Steve is talking about >30%PA returns).
>
> (Steve - care to confirm?)
>
> brian_z
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@> wrote:
> >
> > Gee, then I guess I should give back my ~20 percent a year that is
> > largely based on short-term momentum swings, yes? (I'm sitting plus
> > 13 percent YTD this year already, as of yesterday, versus -9.3
> > percent for my Nikkei 225 benchmark.)
> >
> > You do have to be agile however. And you cannot overstay your
> > welcome. But the money is there for momentum systems if designed
> > and tested properly.
> >
> > "Support" exists, but everyone knows where it is. Exactly where it
> > is. And somebody (I'll leave it to you to guess who) is going to
> > ring the bell and tell you that (resistance failed) or (support
> > failed). What are you going to do, then? You're going to stop
> > yourself out of course. With a loser.
> >
> > Which is likely to be more profitable, and for a longer period of
> > time? Systems that compel you to do the psychologically difficult,
> > or systems that suggest that you do the patently obvious?
> >
> > Is there anyone beyond 7th grade that doesn't know where support and
> > resistance is? Are there great systems that rely on widely known
> > community knowledge?
> >
> > Look for a system that has good metrics, but a system that also
> > suggests that what you need to do will be psychologically difficult
> > for you to do, in spite of having back-tested results indicating
> that
> > you are foolish if you *don't* do it. Then you are good to go, as
> > they say. Good to go as long as you do it, of course.
> >
> > If your system is easy to follow (by that, I mean that it's
> > psychologically easy for you to make the trades), it's probably a
> > loser. And vice-versa. The best systems have good metrics, yet
> > despite that they almost defy the trader (psychologically) to make
> > the trades. There is no free lunch.
> >
> > Yuki
> >
> > Thursday, May 8, 2008, 11:50:01 AM, you wrote:
> >
> >
> > s> Anthony,
> >
> > s> Do yourself a big favor. Don't waste your precious time on this
> > s> earth with this kind of drivel. Chasing price with momentum
> > s> indicators is not going to get you where you want to be.
> >
> > s> Coming up with a support/resistance system is all you need to
> make
> > s> whatever you want from the markets.
> >
> > s> I've seen hundreds of traders get wiped out trying to go on the
> path
> > s> you're following and all of the successful traders I've been
> around
> > s> in the e-mini futures have used S/R as the foundation of their
> > s> trading methodology.
> >
> > s> And, above all, embrace your emotions in trading because they
> teach
> > s> you what you should and shouldn't do going forward. Computers
> learn
> > s> nothing while you learn from every win and loss you make.
> >
> > s> Finding an edge in trading is easy. It's only hard if you're
> using a
> > s> computer to find a needle in a haystack because you didn't make
> a
> > s> good enough investment in real-time observations of the markets
> while
> > s> researching an edge you'd like to trade.. That makes all the
> > s> difference in the world for knowing what works and what doesn't.
> >
> > s> You'll come up with 10 edges to trade if you put the time in to
> > s> experience a live market on a regular basis without trying so
> hard.
> > s> It will bring out your imagination and creativity to find what
> you're
> > s> looking for.
> >
> > s> I wish someone had told me that 4.5 years ago when I started
> trading
> > s> the ER2 e-mini. It would have saved me a lot of time chasing
> > s> nonsense.
> >
> >
> > s> --- In amibroker@xxxxxxxxxxxxxxx, "ihsaham" <ihsaham@> wrote:
> > >>
> > >> Hai Tomasz,
> > >>
> > >> This is simple Jake Bernstein Momentum Formula for chart and
> > s> scanner.
> > >> Please help me give arrow buy and sell. Buy arrow is Green
> colour
> > s> and
> > >> Sell Arrow is Red Colour.
> > >>
> > >> I really appreciate and thanks for you in advance.
> > >>
> > >> Best Regards,
> > >> Anthony Idic
> > >>
> > >>
> > >>
> > >> _SECTION_BEGIN(" $ Momentum ");
> > >>
> > >>
> > >> /* Bernstein Momentum Indicator */
> > >> /* Set Scaling to Automatic, Show dates On, Percent On, Middle
> On */
> > >>
> > >> Title = "Bernstein MOM Close - Ref(Close,-7)";
> > >> GraphXSpace = 5;
> > >> Graph0 = MA(Close - Ref(Close,-7),1);
> > >> Graph0Style = 5;
> > >> Graph0Color = 29;
> > >> Graph1 = MA(Graph0,5);
> > >> Graph1Style = 1;
> > >> Graph1Color = 32;
> > >>
> > >>
> > >> DaysAgo =Optimize("DaysAgo",-28,-40,-16,4);
> > >> Fast = Optimize("Fast", 1, 1,5,1);
> > >> Slow = Optimize("Slow",28,16,40,4);
> > >> /* Note: It is merely a coincidence that DaysAgo and Slow use
> the
> > >> same parameter set. */
> > >>
> > >> Buy = Cross( MA(Close - Ref(Close,DaysAgo),Fast),
> > >> MA(Close - Ref(Close,DaysAgo),Slow) );
> > >>
> > >> Sell = Cross( MA(Close - Ref(Close,DaysAgo),Slow),
> > >> MA(Close - Ref(Close,DaysAgo),Fast) );
> > >>
> > >>
> > >> Short = Cross( MA(Close - Ref(Close,DaysAgo),Slow),
> > >> MA(Close - Ref(Close,DaysAgo),Fast) );
> > >>
> > >> Cover = Cross( MA(Close - Ref(Close,DaysAgo),Fast),
> > >> MA(Close - Ref(Close,DaysAgo),Slow) );
> > >> _SECTION_END();
> > >>
> >
>
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