|
I don't buy that (i.e., "both right, but not at the
same time"). When used properly price levels (e.g., S&R,
Fibonacci, Gann, etc.) and momentum provide distinctly different information and
are not duplicative. As a result, there is no reason not to use them
together and I for one always do.
Bill
----- Original Message -----
Sent: Thursday, May 08, 2008 7:54
PM
Subject: [amibroker] Re: Jake Bernstein
Momentum formula
As Yuki said, "they are both right, but not at the same
time".
The company, and dicussion, around the coffee table is good but
as
Ralph Vince said "trading is not an intellectual exercise, it is more
like a street fight".
Forget right or wrong - get in there and beat
the heck out of every
opponent (mean reversion, trend trading, Hurst, S/R)
what ever comes
along.
(that means work them over with backtesting
- what is the most you
can squeeze out of that style e.g. a reversion to
mean trade - can
you do better if you change it up a bit - when you reach
exhaustion
point with that trade then you know exactly what its limits are
- be
honest with yourself - have you really squeezed all of the juice out
of that style - after a while you start to see that sometimes the
same
opponent returns in another outfit and you can't be bothered
beating up on
the same old foe over and over).
When they are all defeated keep your
eyes peeled and your nerves
steeled for any new challengers who are coming
along and give them a
hiding too.
P.S. anyone can see my trading
biases but they can also see I am
thinking about, and paying respect to,
trading styles that don't come
naturally to
me.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis
Préfontaine"
<rockprog80@xxx> wrote:
>
> Thanks Brian.
Indeed, that looks like prehistoric stuff...
>
> BTW, what is
your opinion about the S/R breakout vs reversion to
mean
>
debate?
>
> Thanks,
>
> Louis
>
>
2008/5/8 brian_z111 <brian_z111@xxx>:
>
> >
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
<amibroker%
40yahoogroups.com>, "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><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><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><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><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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