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