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>>Your rephrasing about simultaneous breakout/reversing, etc. misses
the mark and does not address my comment.<<
I already said I agree with your comment; however, your comment is a
non sequitur!
The original question was is it better to trade breakouts or reversals
at S/R.
You disagreed with "both right, but not at the same time", implying
you could simultaneously and profitable trade a breakout and reversal
of the same S/R.
>>I also don't agree that anything in the price level group (S&R,
Fibonacci, Gann, etc.) falls into the OB/OS indicator category<<
My definition of OB/OS indicator is anything that is supposed to tell
you that the market has moved far enough in one direction and will
reverse. The price levels are supposed to do that.
>>or that S&R is distinct from the rest of the group<<
S/R is materially different than calculated numbers that are expected
to predict the future because they form in real time based on trader
actions. If you don't recognize that, I don't think there is anything
I could say to convince you of it.
>>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?<<
Because of the principle of regression to the mean.
>>As for Fibonacci and to a lesser extent Gann, they work too often
and too exactly to be classified as crude.<<
No they don't! 15-20 years ago, I went through a period where I traded
Fibonacci levels exclusively. I learned several things from that
experience the 2 most revealing are:
Fibonacci 'clusters' don't work any better than single Fibonacci levels.
and
If you draw all the Fibonacci levels for all price swings on all time
frames you will get a lot of price levels. Prices reverse near those
levels less than 50% of the time.
Some financial experts believe Fibonacci levels are worthless. I have
spent enough time with them to recognize that they have some value.
They are very crude OB/OS indicator and can be helpful in combination
with other factors in deciding when to take a trade.
Just because prices reverse exactly at Fibonacci levels sometimes is
not significant. If you draw random lines on a chart, prices will
reverse at those lines sometimes as well. Because of the principle of
regression to the mean, prices reverse direction very frequently.
Tucker (http://tuckerreport.com/) did some research comparing random
lines to floor trader pivot levels and discovered that there was no
difference between the 2 in their ability to reverse prices.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx> wrote:
>
> 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 -----
> From: bilbo0211
> To: amibroker@xxxxxxxxxxxxxxx
> 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@> 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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> >
> > 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:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
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> >
> >
> >
> >
> >
> > --
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> > Version: 7.5.524 / Virus Database: 269.23.11/1422 - Release Date:
> 5/8/2008 5:24 PM
> >
>
>
>
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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
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>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
>
>
> --
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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:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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