Re: [amibroker] Re: Jake Bernstein Momentum formula, AmiBroker Email List Archive

Well, i love arguments. because it gives us good things.

Well, nothing is for sure here. you see u optimized 10 years data and there was only 3 conse.. looser trade. Now think u start trading and those three trades r ur 1st 3 trades. u loose n lost confidence.

So, nothing is for sure.

just a penny

johnny

----- Original Message ----
From: wavemechanic <timesarrow@xxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, May 9, 2008 6:15:45 PM
Subject: Re: [amibroker] Re: Jake Bernstein Momentum formula

We all deal with correlation not causation.

Bill

----- Original Message -----

From: Yuki Taga

To: wavemechanic

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@xxxxxxxxx ps.com
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@xxxxxxxxx ps.com, "Louis Préfontaine"
w>   <rockprog80@x ..> 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@x ..>:
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@xxxxxxxxx ps.com <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@xxxxxxxxx ps.com <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@xxxxxxxxx ps.com <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@xxxxxxxxx ps.com <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@xxxxxxxxx ps.com<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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