Re: [amibroker] Re: Sector Analysis, AmiBroker Email List Archive

2008/7/8 brian_z111 <brian_z111@xxxxxxxxx>:

Ara

You give a lot of quiet unselfish help to others, via your posts, so
a special for your (maybe not as good as an answer from Jayson but
still relevant I think):

- I am working on a new 'sector' based trade, albeit with a subtle
creative twist (the play is based on a nuance in the markets)

- it is an intraday trade (any old timeframe will do - not tick - say
5 minute bars but it could be 2 or 10 minutes)

it is intraday because:

a) I like high frequency trades for statistical (equity) smoothing
b) the nuance exits in RT (I didn't make it that way it is just there
in the RT charts)
c) it stacks up at that timeframe (my comissions are 0.1% each way,
slippage is a furphy and my targets are +0.5% net) i.e. the size of
the moves are tradeable, which of course varies from market to
market, trade to trade etc - but it will work in other timeframes
d) it suits my personality (I want the outcome today so I can go to
bed tonight for a good relaxed rest - I have my pay for the day in
the bank) i.e it is just a job - I go to work each day and like to
get the days work over and done with.
e) intraday manages some other risks I want to avoid (overnight
market risk)
f) I can deploy the strategy on a local platform (keep my money in an
Australian account) that allows me to manage it with low 'business
overheads' and low stress (I don't have to hire an international tax
accountant :-) )

Keep in mind I haven't traded this one yet (this is what I am seeing
in the charts - live 'testing' - IMO traders who don't, or won't,
believe what they are seeing are fundamentally flawed traders):

W/L isn't so important, outside of payoff ratio, but I expect to well
outperform random W/L ratios == 50/50 +_ statistical error/ so I will
do better than break even W/L with payoff ratios around 1.5/1 at the
least(I am being very conservative here privately I am looking at a
W/L of at least 60-70% but I am not going to debate the topic).

I expect trible figures P.A%.

The energy overheads of the trade are low (no extensive number
crunching etc) - I can run on visual/manual trading with only an
alert (so I can relax around the house and the alert will call me
back to the screen if needs be).

Note: it is not tick trading so I don't need the big guns (AB/IB/ATR)
and I don't have any sweat on my brow with every pixel of price
movement).

The process is:

a) start off the Aus day by looking at a few intraday charts
(overnight/previous days) - around 5 will do it (sector orientated
charts/component stocks etc)
b) the charts DICTATE the trade
c) wait for the Aussie open
d) visually confirm the setup as it unfolds (no scanning, no
formulas - I know in advance which underlying I am on)
e) take the trade (the underlying can be a stock/sector/index and the
instrument can be anything that works with the trade - some
instruments work better than others based on
availabilty/liquidity/carry costs/comissions etc but the strategy
remains the same)
f) mentally 'set' a target and stop (some discretion comes into it
based on the charts)

Note - to an onlooker it seems like discretionary trading but it
isn't (the 1000's of hours of study, backtesting, evaluation studies,
discussions on evaluation in this forum, experience etc all go into
it - I am not dependent on software/platform - if the trade doesn't
demand a particular platform or software I don't use it just for the
sake of it - KISSam or Sally) - I believe in the power of the mind
and 'work' to train the trading mind - once it is trained why get in
front of it?

How many trades per month?

- the strategy is flexible, especially if the trader is flexible

One example:

- it can be all over in 1/2 hour from market open
- the best setup isn't there every day so if I don't push it then the
trade is say three opens week * ave 0.5% P/L per trade

Of course there are so many other markets/instruments etc .

I could drink a lot of coffee and trade 24 hours non-stop (re-nter
later in the day or after the opening trade is over go to another
underlying that is still in setup etc and re-enter the market or
wait for the next market to open and play again)?

brian_z

--- In amibroker@xxxxxxxxxxxxxxx, "akaloustian" <ara1@xxx> wrote:
>
> Jayson,
>
> You have a very interesting system!
>
> I am curious how you use it and what kind of results you get...
>
> Decision making process... number of trades per month.... win
> ratio... etc.
>
> Ara

>
>
>
>
>
> --- In amibroker@xxxx, "Jayson" <jcasavant@xxxx> wrote:
> > All;
> >
> > A great deal of my work revolves around sector analysis. I like
to
> select
> > stocks whose sectors are strong or advancing. one way to gauge a
> sectors
> > strength is to measure its components closing price against
> previous prices.
> > I like to use 25 day new highs as my gauge. The enclosed scan ( !
> sector
> > analysis) creates a list of 13 composite symbols. One for each
of
> the 12
> > sectors plus one of the entire universe under study. By default
the
> > composites will be stored in group to 253.
> >
> > To run the scan first choose a universe of stocks. your range
> should equal
> > one day. On a large universe your initial scan will take a few
> minutes.
> >
> > to view the composites I use a market Strength indicator (CMF or
> your
> > favorite) as well as the custom indicator, Sector View. this
> indicator
> > produces a smooth oscillator in histogram form. readings above 0
> indicate
> > market strength, below zero indicate weakness. The number
> indicates the %
> > of stocks within a given sector that have reached new 25 day
highs
> or Lows.
> > in my bottom pane I have a simple line plot and include volume
for
> the
> > sector.
> >
> > The resulting tab should look something like this....
> >
> >
> >
> > I have collected this data with XL for over year and found to be
> very
> > useful. AB makes my life so much easier! there may very well
> > be a more efficient way to calculate these composites, I'm open
to
> any
> > suggestions or improvements. btw a simple exploration of group
253
> will
> > provide a snapshot of RS by each sector. Those falling above
> ~Universe are
> > out performing, those below are under performing. I hope some of
> you may
> > find this useful.
> >
> > Regards,
> >
> >
> >
> > Jayson
>