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>>I don't buy that (i.e., "both right, but not at the same time").<<
In our current context, let me rephrase what you are disagreeing with:
Prices can breakout at S/R or reverse at S/R, just 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.<<
While I agree with what you said in principle, I make a very clear
distinction between S/R and Fibonacci, Gann, Floor Trader Pivots, PTT,
etc.
S/R occur because of specific trader behaviors. The others are "magic"
calculated numbers that are very crude (and I do mean very crude)
measures of prices being O/B or O/S.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx> wrote:
>
> 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 -----
> From: brian_z111
> To: amibroker@xxxxxxxxxxxxxxx
> 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@> 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@>:
> >
> > > 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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