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Re: [amibroker] Re: Jake Bernstein Momentum formula



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Hi Brian and everyone,

What exactly do you mean by "optimisation of lookback period"?

I had a lot of fun reading this thread.  I wonder what is better: support/resistance breakout or reversion to mean.  Worked with both; don't know yet what works better.  I've seen people been sure of their opinions, but I'd like to read some arguments...

Louis

2008/5/8 brian_z111 <brian_z111@xxxxxxxxx>:

It's just an opinion, but it is based on observation.

I'm referring to systems designed by optimising lookback periods.

I'm happy to be proved wrong ...so you are saying we can achieve
better than 30-40%PA, on long term average (through various market
cycles) using 'optimisation of lookback period' techniques? (EOD, no
leveraging).

brian_z



--- 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();
> > > >>
> > >
> >
>


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