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Bill,
I am happy to take 30%PA anyday and anyone who consistently gets
that, anyway at all, is a qualified trader in my eyes (respect to
them).
My own favourite style is more aligned to yours, except I am not
discretionary.
Yes, I am interested in the alingment of cycles across timeframes (I
call it timeframe stacking) and it would be worth a deeper discussion
on another day.
Thanks for your input and I will have a look at Hurst.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <wjdandreta@xxx> wrote:
>
> >>I'm referring to systems designed by optimising lookback
periods.<<
>
> Let me start by saying I am primarily a discretionary trader and I
> don't do much in the way of optimizing, I consider it curve fitting.
> When your data set changes character your optimization breaks down.
>
> Using a fixed look back period is a very crude way of trading market
> cycles. For example, if you have a simple MA crossover system that
> does well in a trending market (longer term cycle is dominant) it
will
> do poorly in a sideways choppy market (shorter term cycle is
> dominant). A more refined approach is to use a variable period that
> adapts to the current dominant cycle.
>
> >>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).<<
>
> IMO, trying to optimize a look back period is not the best approach
> but if you reoptimize frequently enough so your look back period is
> tuned to the current dominant cycle you likely can achieve better
than
> 30%.
>
> I think a more productive approach is to align your trading signals
on
> multiple time frames (e.g., daily and weekly).
>
> Bill
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > If your trading system rules are based on things like "buy when
the
> > short term moving ave crosses the long term moving ave".
> >
> > The MA is looking back so many periods to make its calculation
e.g. MA
> > (C,15) is looking back 15 periods.
> >
> > If you test a range of MA periods, to select your best MA
crossover
> > system, then you are optimising the lookback period (at least
that is
> > what I mean).
> >
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > 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@>:
> > >
> > > > 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 <amibroker%
40yahoogroups.com>,
> > > > "bilbo0211" <bilbod@> 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 <amibroker%
40yahoogroups.com>,
> > > > "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 <amibroker%
> > 40yahoogroups.com>, 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 <amibroker%
> > 40yahoogroups.com>,
> > > > "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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