--- 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();
> > > > >
> > > > >>
> > > >
> > > > >
> > > > >
> > >
> > > > > >
>
> > > > >
>
> > > > >
>
> > > > >
>
> > > > >
>
> > >
> > >
>
> > > >
>
> >
> >
> >
> >
> >
------------------------------------
> >
> > 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>
> Yahoo! Groups Links
> >
> >
> >
> >
> >
> > --
> > No virus found in this incoming
message.
> > Checked by AVG.
> > Version: 7.5.524 / Virus Database:
269.23.11/1422 - Release Date:
> 5/8/2008 5:24
PM
> >
>
>
>
>
------------------------------------
>
> 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>
Yahoo! Groups Links
>
>
>
>
>
> --
> No virus found in this incoming
message.
> Checked by AVG.
> Version:
7.5.524 / Virus Database: 269.23.11/1422 - Release Date:
5/8/2008 5:24
PM
>
------------------------------------
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.htmlYahoo!
Groups Links
<*> To visit your group on the web, go
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To unsubscribe from this group, send an email to:
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Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/--
No virus found in this incoming message.
Checked by AVG.
Version:
7.5.524 / Virus Database: 269.23.14/1425 - Release Date: 5/9/2008 12:38
PM