|
Your rephrasing about simultaneous breakout/reversing,
etc. misses the mark and does not address my comment. I also don't
agree that anything in the price level group (S&R, Fibonacci, Gann,
etc.) falls into the OB/OS indicator category or that S&R is
distinct from the rest of the group. I do agree that pivot levels are
a somewhat different animal which is why I did not mention them and I do
not use them. To the extent that pivot levels work probably reflects
crowd behavior (e.g., floor traders all use the same
calculation).
As for Fibonacci and to a lesser extent Gann, they
work too often and too exactly to be classified as crude. They are widely
used and I am not aware of any analysis that demonstrates they are
crude. In fact, in my experience, as well as with a number of other
traders that I interact with, the accuracy (particularly with
Fibonacci) is often remarkable. Similarly, S&R levels
are highly correlated with these levels as they must be and are,
therefore, not a distinct entity from the others. Why is
this?
As with pivot levels one could argue that these levels
are a self-fulfilling prophecy, reflecting everybody aiming for the same price
(or time) target. That could be but much has been written about the
"fundamental" nature of these numbers in a variety of physical systems, the
connection between the growth of dynamic systems and the Fibonacci series,
etc. Personally, although I find this interesting I don't know if it
makes sense to worry about extending this type of thinking to
markets. From my perspective, the bottom line is that it works well and
that's all that I need.
Bill
----- Original Message -----
Sent: Friday, May 09, 2008 10:04 AM
Subject: [amibroker] Re: Jake Bernstein
Momentum formula
>>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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