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[amibroker] Re: Jake Bernstein Momentum formula



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Yes, the phone calls will come.
The first thing they will ask you is, what are your Sharpes ;-)

Re speculation:

The only argument I have with Aronson, from his EBTA book, is that he 
is rather dismissive of intuition (speculation as you call it).

This view is embedded in modern Western culture (it is a direct  
outcome of a 'science as religion' philosophy).

It isn't anyones fault.
It is a natural outcome of the fact that very few have any experience 
of it (it is a psychic faculty that will be the norm in future 
generations).

Intuition is actually a superior function to rationality (it sits 
overtop of it in the pshychological hierarchy) and can more correctly 
be described as super-rationality.

In lay terms it means intuitives are very good guessers.

Of course, we shouldn't throw out the baby with the bath water, so 
after we make our good guesses we then have to use poor old fashioned 
objective logic to make sure our guesses are correct (in the real 
world).

So, keep on speculating - it obviously works for you, as it does for 
anyone who has it built-in.

My experience is that exceptional outcomes can be achieved by 
consciously co-operating with the intuitive drive (which is self-
fulfilling adapative function).

P.S it takes one to know one and we always find our true friends in 
that group (birds of a feather flock together)

brian_z


--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxx> wrote:
>
> Thirty percent a year, compounded, is an incredible wealth-
generating
> rate of return.  It doubles money every 2.4 years.  Starting with
> just US$50K, you'd have more than 800K in a decade.  Needless to 
say,
> if you could continue just a handful of more years at that rate ...
> 
> It is a rate of return however, that few, few, and I mean few people
> can sustain.
> 
> If anyone can demonstrate 30% a year over any reasonable length of
> time (say 8 years, just to throw out a number), that person can
> probably make life-changing amounts of money at any number of hedge
> funds, and never need to trade for his or her own account again.
> Trust me, they are looking for people who can crank out 30 percent a
> year consistently.  That doubles money twice as fast as someone who
> "merely" (lol) beats the indices by cranking out 15 percent a year.
> 
> But if you think it's easy, think again.  Remember that most people
> who set out to trade for a living cannot even beat the indices.  So
> most people fail to get more than about 10 percent a year long-term.
> The number of people who generate 30 percent a year consistently is 
a
> small, small percentage of a large ocean of traders.
> 
> If there are more than about 10 people on this list who can document
> 30 percent CAR going back to May of 2000, I'd be in awe.  But we'll
> never know, so I'm only speculating, something I'm not too bad at.
> ^_^
> 
> Yuki
> 
> Friday, May 9, 2008, 9:03:33 AM, you wrote:
> 
> b> Bill,
> 
> b> I am happy to take 30%PA anyday and anyone who consistently gets 
> b> that, anyway at all, is a qualified trader in my eyes (respect 
to 
> b> them).
> 
> b> My own favourite style is more aligned to yours, except I am not 
> b> discretionary.
> 
> b> Yes, I am interested in the alingment of cycles across 
timeframes (I 
> b> call it timeframe stacking) and it would be worth a deeper 
discussion
> b> on another day.
> 
> b> Thanks for your input and I will have a look at Hurst.
> 
> 
> b> brian_z
> 
> 
> 
> b> --- In amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <wjdandreta@> 
wrote:
> >>
> >> >>I'm referring to systems designed by optimising lookback 
> b> 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 
> b> 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 
> b> than
> >> 30%.
> >> 
> >> I think a more productive approach is to align your trading 
signals 
> b> 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 
> b> the 
> >> > short term moving ave crosses the long term moving ave".
> >> > 
> >> > The MA is looking back so many periods to make its calculation 
> b> e.g. MA
> >> > (C,15) is  looking back 15 periods.
> >> > 
> >> > If you test a range of MA periods, to select your best MA 
> b> crossover 
> >> > system, then you are optimising the lookback period (at least 
> b> 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 
> b> 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 
> b> 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 
> b> periods.
> >> > > >
> >> > > > I'm happy to be proved wrong ...so you are saying we can 
> b> achieve
> >> > > > better than 30-40%PA, on long term average (through 
various 
> b> market
> >> > > > cycles) using 'optimisation of lookback period' 
techniques? 
> b> (EOD, 
> >> > no
> >> > > > leveraging).
> >> > > >
> >> > > > brian_z
> >> > > >
> >> > > >
> >> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
> b> 40yahoogroups.com>,
> >> > > > "bilbo0211" <bilbod@> wrote:
> >> > > > >
> >> > > > > "I will stick to my prediction that around 30%PA EOD 
> b> 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 
> b> 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 
> b> Hurst, 
> >> > the
> >> > > > > author claims the theoretical maximum annual ROI for 
stock 
> >> > trading
> >> > > > is
> >> > > > > 2400%. ROI is directly related to the holding period for 
> b> each 
> >> > trade
> >> > > > > and being fully invested at all times (the 'Magic' is in 
> b> 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 
> b> his
> >> > > > > theoretical maximum annual ROI.
> >> > > > >
> >> > > > > Hurst waited until the dominant cycles in his trading 
> b> instrument
> >> > > > were
> >> > > > > in alignment before trading (this is also called 
multiple 
> b> time 
> >> > frame
> >> > > > > or multiple fractal alignment). He primarily used daily 
and 
> >> > weekly
> >> > > > charts.
> >> > > > >
> >> > > > > The theoretical maximum ROI is actually much higher than 
> b> 2400% 
> >> > if
> >> > > > you
> >> > > > > use intraday charts and leveraged trading instruments.
> >> > > > >
> >> > > > > If you look in the Amibroker Trading System Yahoo group, 
> b> you 
> >> > will
> >> > > > find
> >> > > > > a poll of results of people's mechanical trading 
systems. 
> b> IIRC, 
> >> > the
> >> > > > > best ones listed returned over 400% per year.
> >> > > > >
> >> > > > > Bill
> >> > > > >
> >> > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
> b> 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 
> b> Louis) to
> >> > > > prove
> >> > > > > > my benchmark is correct.
> >> > > > > >
> >> > > > > > Actually I agree with both you and Steve (the real 
> b> problem is
> >> > > > > > semantics since IMO close analysis would show that 
most 
> b> of us 
> >> > are
> >> > > > > > moementum traders and also that most of us are using a 
> b> kind of
> >> > > > S/R in
> >> > > > > > some way - the difference is how we perceive and 
define 
> b> these
> >> > > > things).
> >> > > > > >
> >> > > > > > I will stick to my prediction that around 30%PA EOD 
> b> trading 
> >> > is a
> >> > > > > > limit for indicators that use lookback periods and 
that to
> >> > > > achieve
> >> > > > > > more than this requires a different approach (as I say 
> b> you are
> >> > > > both
> >> > > > > > correct except I believe that Steve is talking about 
>30%
> b> 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 
> b> year 
> >> > that
> >> > > > is
> >> > > > > > > largely based on short-term momentum swings, yes? 
(I'm 
> >> > sitting
> >> > > > plus
> >> > > > > > > 13 percent YTD this year already, as of yesterday, 
> b> versus -
> >> > 9.3
> >> > > > > > > percent for my Nikkei 225 benchmark.)
> >> > > > > > >
> >> > > > > > > You do have to be agile however. And you cannot 
> b> overstay 
> >> > your
> >> > > > > > > welcome. But the money is there for momentum systems 
if
> >> > > > designed
> >> > > > > > > and tested properly.
> >> > > > > > >
> >> > > > > > > "Support" exists, but everyone knows where it is. 
> b> 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 
> b> 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 
> b> obvious?
> >> > > > > > >
> >> > > > > > > Is there anyone beyond 7th grade that doesn't know 
where
> >> > > > support and
> >> > > > > > > resistance is? Are there great systems that rely on 
> b> widely
> >> > > > known
> >> > > > > > > community knowledge?
> >> > > > > > >
> >> > > > > > > Look for a system that has good metrics, but a 
system 
> b> that 
> >> > also
> >> > > > > > > suggests that what you need to do will be 
> b> 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 
> b> 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 
> b> it's
> >> > > > > > > psychologically easy for you to make the trades), 
it's 
> >> > probably
> >> > > > a
> >> > > > > > > loser. And vice-versa. The best systems have good 
> b> metrics, 
> >> > yet
> >> > > > > > > despite that they almost defy the trader 
> b> (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 
> b> 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 
> b> be.
> >> > > > > > >
> >> > > > > > > s> Coming up with a support/resistance system is all 
> b> you 
> >> > need
> >> > > > to
> >> > > > > > make
> >> > > > > > > s> whatever you want from the markets.
> >> > > > > > >
> >> > > > > > > s> I've seen hundreds of traders get wiped out 
trying 
> b> to go 
> >> > on
> >> > > > the
> >> > > > > > path
> >> > > > > > > s> you're following and all of the successful 
traders 
> b> I've 
> >> > been
> >> > > > > > around
> >> > > > > > > s> in the e-mini futures have used S/R as the 
> b> foundation of
> >> > > > their
> >> > > > > > > s> trading methodology.
> >> > > > > > >
> >> > > > > > > s> And, above all, embrace your emotions in trading 
> b> 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 
> b> 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 
> b> the
> >> > > > markets
> >> > > > > > while
> >> > > > > > > s> researching an edge you'd like to trade.. That 
makes 
> b> all
> >> > > > the
> >> > > > > > > s> difference in the world for knowing what works 
and 
> b> 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 
> b> 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 
> b> 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 
> b> 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 
> b> 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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