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Fi-Fi-Fi-Fibonacci? Truly the astrology of TA, but with even less
logic.
Yuki
Friday, May 9, 2008, 8:57:30 PM, you wrote:
w> I don't buy that (i.e., "both right, but not at the same time").
w> When used properly price levels (e.g., S&R, Fibonacci, Gann, etc.)
w> and momentum provide distinctly different information and are not
w> duplicative. As a result, there is no reason not to use them
w> together and I for one always do.
w> Bill
w> ----- Original Message -----
w> From: brian_z111
w> To: amibroker@xxxxxxxxxxxxxxx
w> Sent: Thursday, May 08, 2008 7:54 PM
w> Subject: [amibroker] Re: Jake Bernstein Momentum formula
w> As Yuki said, "they are both right, but not at the same time".
w> The company, and dicussion, around the coffee table is good but as
w> Ralph Vince said "trading is not an intellectual exercise, it is more
w> like a street fight".
w> Forget right or wrong - get in there and beat the heck out of every
w> opponent (mean reversion, trend trading, Hurst, S/R) what ever comes
w> along.
w> (that means work them over with backtesting - what is the most you
w> can squeeze out of that style e.g. a reversion to mean trade - can
w> you do better if you change it up a bit - when you reach exhaustion
w> point with that trade then you know exactly what its limits are - be
w> honest with yourself - have you really squeezed all of the juice out
w> of that style - after a while you start to see that sometimes the
w> same opponent returns in another outfit and you can't be bothered
w> beating up on the same old foe over and over).
w> When they are all defeated keep your eyes peeled and your nerves
w> steeled for any new challengers who are coming along and give them a
w> hiding too.
w> P.S. anyone can see my trading biases but they can also see I am
w> thinking about, and paying respect to, trading styles that don't come
w> naturally to me.
w> brian_z
w> --- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
w> <rockprog80@xxx> wrote:
w> >
w> > Thanks Brian. Indeed, that looks like prehistoric stuff...
w> >
w> > BTW, what is your opinion about the S/R breakout vs reversion to
w> mean
w> > debate?
w> >
w> > Thanks,
w> >
w> > Louis
w> >
w> > 2008/5/8 brian_z111 <brian_z111@xxx>:
w> >
w> > > If your trading system rules are based on things like "buy when
w> the
w> > > short term moving ave crosses the long term moving ave".
w> > >
w> > > The MA is looking back so many periods to make its calculation
w> e.g. MA
w> > > (C,15) is looking back 15 periods.
w> > >
w> > > If you test a range of MA periods, to select your best MA
w> crossover
w> > > system, then you are optimising the lookback period (at least
w> that is
w> > > what I mean).
w> > >
w> > > brian_z
w> > >
w> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
w> 40yahoogroups.com>, "Louis
w> > > Préfontaine"
w> > > <rockprog80@> wrote:
w> > > >
w> > > > Hi Brian and everyone,
w> > > >
w> > > > What exactly do you mean by "optimisation of lookback period"?
w> > > >
w> > > > I had a lot of fun reading this thread. I wonder what is better:
w> > > > support/resistance breakout or reversion to mean. Worked with
w> > > both; don't
w> > > > know yet what works better. I've seen people been sure of their
w> > > opinions,
w> > > > but I'd like to read some arguments...
w> > > >
w> > > > Louis
w> > > >
w> > > > 2008/5/8 brian_z111 <brian_z111@>:
w> > > >
w> > > > > It's just an opinion, but it is based on observation.
w> > > > >
w> > > > > I'm referring to systems designed by optimising lookback
w> periods.
w> > > > >
w> > > > > I'm happy to be proved wrong ...so you are saying we can
w> achieve
w> > > > > better than 30-40%PA, on long term average (through various
w> market
w> > > > > cycles) using 'optimisation of lookback period' techniques?
w> (EOD,
w> > > no
w> > > > > leveraging).
w> > > > >
w> > > > > brian_z
w> > > > >
w> > > > >
w> > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
w> 40yahoogroups.com><amibroker%
w> > > 40yahoogroups.com>,
w> > >
w> > > > > "bilbo0211" <bilbod@> wrote:
w> > > > > >
w> > > > > > "I will stick to my prediction that around 30%PA EOD
w> trading is
w> > > a
w> > > > > > limit for indicators that use lookback periods and that to
w> > > achieve
w> > > > > > more than this requires a different approach (as I say you
w> are
w> > > both
w> > > > > > correct except I believe that Steve is talking about >30%PA
w> > > > > returns)."
w> > > > > >
w> > > > > > Is this just your opinion or do you have something that
w> > > approaches
w> > > > > > 'scientific proof' of this allegation?
w> > > > > >
w> > > > > > In "The Profit Magic of Stock Transaction Timing" by J M
w> Hurst,
w> > > the
w> > > > > > author claims the theoretical maximum annual ROI for stock
w> > > trading
w> > > > > is
w> > > > > > 2400%. ROI is directly related to the holding period for
w> each
w> > > trade
w> > > > > > and being fully invested at all times (the 'Magic' is in the
w> > > power
w> > > > > of
w> > > > > > compounding).
w> > > > > >
w> > > > > > Hurst recorded the results of a 6 week real time trading
w> > > experiment
w> > > > > in
w> > > > > > which his performance trading high beta stocks approached
w> his
w> > > > > > theoretical maximum annual ROI.
w> > > > > >
w> > > > > > Hurst waited until the dominant cycles in his trading
w> instrument
w> > > > > were
w> > > > > > in alignment before trading (this is also called multiple
w> time
w> > > frame
w> > > > > > or multiple fractal alignment). He primarily used daily and
w> > > weekly
w> > > > > charts.
w> > > > > >
w> > > > > > The theoretical maximum ROI is actually much higher than
w> 2400%
w> > > if
w> > > > > you
w> > > > > > use intraday charts and leveraged trading instruments.
w> > > > > >
w> > > > > > If you look in the Amibroker Trading System Yahoo group, you
w> > > will
w> > > > > find
w> > > > > > a poll of results of people's mechanical trading systems.
w> IIRC,
w> > > the
w> > > > > > best ones listed returned over 400% per year.
w> > > > > >
w> > > > > > Bill
w> > > > > >
w> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
w> 40yahoogroups.com><amibroker%
w> > > 40yahoogroups.com>,
w> > > > > "brian_z111" <brian_z111@> wrote:
w> > > > > > >
w> > > > > > > 20 - (- 9.3_ == approx delta 30% PA in my books.
w> > > > > > >
w> > > > > > > Thanks Yuki for confirming this.
w> > > > > > > Now I don't have to post a 30% system (as I promised
w> Louis) to
w> > > > > prove
w> > > > > > > my benchmark is correct.
w> > > > > > >
w> > > > > > > Actually I agree with both you and Steve (the real
w> problem is
w> > > > > > > semantics since IMO close analysis would show that most
w> of us
w> > > are
w> > > > > > > moementum traders and also that most of us are using a
w> kind of
w> > > > > S/R in
w> > > > > > > some way - the difference is how we perceive and define
w> these
w> > > > > things).
w> > > > > > >
w> > > > > > > I will stick to my prediction that around 30%PA EOD
w> trading
w> > > is a
w> > > > > > > limit for indicators that use lookback periods and that to
w> > > > > achieve
w> > > > > > > more than this requires a different approach (as I say
w> you are
w> > > > > both
w> > > > > > > correct except I believe that Steve is talking about >30%
w> PA
w> > > > > returns).
w> > > > > > >
w> > > > > > > (Steve - care to confirm?)
w> > > > > > >
w> > > > > > > brian_z
w> > > > > > >
w> > > > > > >
w> > > > > > >
w> > > > > > >
w> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
w> 40yahoogroups.com><amibroker%
w> > > 40yahoogroups.com>, Yuki
w> > >
w> > > > > Taga <yukitaga@> wrote:
w> > > > > > > >
w> > > > > > > > Gee, then I guess I should give back my ~20 percent a
w> year
w> > > that
w> > > > > is
w> > > > > > > > largely based on short-term momentum swings, yes? (I'm
w> > > sitting
w> > > > > plus
w> > > > > > > > 13 percent YTD this year already, as of yesterday,
w> versus -
w> > > 9.3
w> > > > > > > > percent for my Nikkei 225 benchmark.)
w> > > > > > > >
w> > > > > > > > You do have to be agile however. And you cannot overstay
w> > > your
w> > > > > > > > welcome. But the money is there for momentum systems if
w> > > > > designed
w> > > > > > > > and tested properly.
w> > > > > > > >
w> > > > > > > > "Support" exists, but everyone knows where it is.
w> Exactly
w> > > > > where it
w> > > > > > > > is. And somebody (I'll leave it to you to guess who) is
w> > > going
w> > > > > to
w> > > > > > > > ring the bell and tell you that (resistance failed) or
w> > > (support
w> > > > > > > > failed). What are you going to do, then? You're going to
w> > > stop
w> > > > > > > > yourself out of course. With a loser.
w> > > > > > > >
w> > > > > > > > Which is likely to be more profitable, and for a longer
w> > > period
w> > > > > of
w> > > > > > > > time? Systems that compel you to do the psychologically
w> > > > > difficult,
w> > > > > > > > or systems that suggest that you do the patently
w> obvious?
w> > > > > > > >
w> > > > > > > > Is there anyone beyond 7th grade that doesn't know where
w> > > > > support and
w> > > > > > > > resistance is? Are there great systems that rely on
w> widely
w> > > > > known
w> > > > > > > > community knowledge?
w> > > > > > > >
w> > > > > > > > Look for a system that has good metrics, but a system
w> that
w> > > also
w> > > > > > > > suggests that what you need to do will be
w> psychologically
w> > > > > difficult
w> > > > > > > > for you to do, in spite of having back-tested results
w> > > > > indicating
w> > > > > > > that
w> > > > > > > > you are foolish if you *don't* do it. Then you are good
w> to
w> > > go,
w> > > > > as
w> > > > > > > > they say. Good to go as long as you do it, of course.
w> > > > > > > >
w> > > > > > > > If your system is easy to follow (by that, I mean that
w> it's
w> > > > > > > > psychologically easy for you to make the trades), it's
w> > > probably
w> > > > > a
w> > > > > > > > loser. And vice-versa. The best systems have good
w> metrics,
w> > > yet
w> > > > > > > > despite that they almost defy the trader
w> (psychologically)
w> > > to
w> > > > > make
w> > > > > > > > the trades. There is no free lunch.
w> > > > > > > >
w> > > > > > > > Yuki
w> > > > > > > >
w> > > > > > > > Thursday, May 8, 2008, 11:50:01 AM, you wrote:
w> > > > > > > >
w> > > > > > > >
w> > > > > > > > s> Anthony,
w> > > > > > > >
w> > > > > > > > s> Do yourself a big favor. Don't waste your precious
w> time
w> > > on
w> > > > > this
w> > > > > > > > s> earth with this kind of drivel. Chasing price with
w> > > > > momentum
w> > > > > > > > s> indicators is not going to get you where you want to
w> be.
w> > > > > > > >
w> > > > > > > > s> Coming up with a support/resistance system is all you
w> > > need
w> > > > > to
w> > > > > > > make
w> > > > > > > > s> whatever you want from the markets.
w> > > > > > > >
w> > > > > > > > s> I've seen hundreds of traders get wiped out trying
w> to go
w> > > on
w> > > > > the
w> > > > > > > path
w> > > > > > > > s> you're following and all of the successful traders
w> I've
w> > > been
w> > > > > > > around
w> > > > > > > > s> in the e-mini futures have used S/R as the
w> foundation of
w> > > > > their
w> > > > > > > > s> trading methodology.
w> > > > > > > >
w> > > > > > > > s> And, above all, embrace your emotions in trading
w> because
w> > > > > they
w> > > > > > > teach
w> > > > > > > > s> you what you should and shouldn't do going forward.
w> > > > > Computers
w> > > > > > > learn
w> > > > > > > > s> nothing while you learn from every win and loss you
w> make.
w> > > > > > > >
w> > > > > > > > s> Finding an edge in trading is easy. It's only hard if
w> > > > > you're
w> > > > > > > using a
w> > > > > > > > s> computer to find a needle in a haystack because you
w> > > didn't
w> > > > > make
w> > > > > > > a
w> > > > > > > > s> good enough investment in real-time observations of
w> the
w> > > > > markets
w> > > > > > > while
w> > > > > > > > s> researching an edge you'd like to trade.. That makes
w> all
w> > > > > the
w> > > > > > > > s> difference in the world for knowing what works and
w> what
w> > > > > doesn't.
w> > > > > > > >
w> > > > > > > > s> You'll come up with 10 edges to trade if you put the
w> > > time in
w> > > > > to
w> > > > > > > > s> experience a live market on a regular basis without
w> > > trying
w> > > > > so
w> > > > > > > hard.
w> > > > > > > > s> It will bring out your imagination and creativity to
w> find
w> > > > > what
w> > > > > > > you're
w> > > > > > > > s> looking for.
w> > > > > > > >
w> > > > > > > > s> I wish someone had told me that 4.5 years ago when I
w> > > started
w> > > > > > > trading
w> > > > > > > > s> the ER2 e-mini. It would have saved me a lot of time
w> > > > > chasing
w> > > > > > > > s> nonsense.
w> > > > > > > >
w> > > > > > > >
w> > > > > > > > s> --- In amibroker@xxxxxxxxxxxxxxx<amibroker%
w> 40yahoogroups.com><amibroker%
w> > > 40yahoogroups.com>,
w> > >
w> > > > > "ihsaham" <ihsaham@> wrote:
w> > > > > > > > >>
w> > > > > > > > >> Hai Tomasz,
w> > > > > > > > >>
w> > > > > > > > >> This is simple Jake Bernstein Momentum Formula for
w> chart
w> > > and
w> > > > > > > > s> scanner.
w> > > > > > > > >> Please help me give arrow buy and sell. Buy arrow is
w> > > Green
w> > > > > > > colour
w> > > > > > > > s> and
w> > > > > > > > >> Sell Arrow is Red Colour.
w> > > > > > > > >>
w> > > > > > > > >> I really appreciate and thanks for you in advance.
w> > > > > > > > >>
w> > > > > > > > >> Best Regards,
w> > > > > > > > >> Anthony Idic
w> > > > > > > > >>
w> > > > > > > > >>
w> > > > > > > > >>
w> > > > > > > > >> _SECTION_BEGIN(" $ Momentum ");
w> > > > > > > > >>
w> > > > > > > > >>
w> > > > > > > > >> /* Bernstein Momentum Indicator */
w> > > > > > > > >> /* Set Scaling to Automatic, Show dates On, Percent
w> On,
w> > > > > Middle
w> > > > > > > On */
w> > > > > > > > >>
w> > > > > > > > >> Title = "Bernstein MOM Close - Ref(Close,-7)";
w> > > > > > > > >> GraphXSpace = 5;
w> > > > > > > > >> Graph0 = MA(Close - Ref(Close,-7),1);
w> > > > > > > > >> Graph0Style = 5;
w> > > > > > > > >> Graph0Color = 29;
w> > > > > > > > >> Graph1 = MA(Graph0,5);
w> > > > > > > > >> Graph1Style = 1;
w> > > > > > > > >> Graph1Color = 32;
w> > > > > > > > >>
w> > > > > > > > >>
w> > > > > > > > >> DaysAgo =Optimize("DaysAgo",-28,-40,-16,4);
w> > > > > > > > >> Fast = Optimize("Fast", 1, 1,5,1);
w> > > > > > > > >> Slow = Optimize("Slow",28,16,40,4);
w> > > > > > > > >> /* Note: It is merely a coincidence that DaysAgo and
w> Slow
w> > > > > use
w> > > > > > > the
w> > > > > > > > >> same parameter set. */
w> > > > > > > > >>
w> > > > > > > > >> Buy = Cross( MA(Close - Ref(Close,DaysAgo),Fast),
w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Slow) );
w> > > > > > > > >>
w> > > > > > > > >> Sell = Cross( MA(Close - Ref(Close,DaysAgo),Slow),
w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Fast) );
w> > > > > > > > >>
w> > > > > > > > >>
w> > > > > > > > >> Short = Cross( MA(Close - Ref(Close,DaysAgo),Slow),
w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Fast) );
w> > > > > > > > >>
w> > > > > > > > >> Cover = Cross( MA(Close - Ref(Close,DaysAgo),Fast),
w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Slow) );
w> > > > > > > > >> _SECTION_END();
w> > > > > > > > >>
w> > > > > > > >
w> > > > > > >
w> > > > > >
w> > > > >
w> > > > >
w> > > > >
w> > > >
w> > >
w> > >
w> > >
w> >
w> ------------------------------------
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