--- In
amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <bilbod@xxx> wrote:
>
> "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@> 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();
> > > >>
> > >
> >
>