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We all deal with correlation not
causation.
Bill
----- Original Message -----
Sent: Friday, May 09, 2008 8:28 AM
Subject: Re: [amibroker] Re: Jake
Bernstein Momentum formula
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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__._,_.___
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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