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Hi Louis,
I think that you should be happy with the little bit of extra detail,
about timeframes, that I put in my answer for Ara (I basically
answered your question there).
Something personal for you (I don't give an absolute answer because
that would fence you in - I give suggestive, illustrative answers to
stimulate you to your own discoveries):
We can't buy experience so these things will gel for you later if you
persevere.
You like to philosophise - so do I, although I am untrained.
Philosophy will pay off for you both in life and trading.
You can take a break from it though and get some easy gains with a
purely pragmatic approach.
So, one of the pragmatic reasons for choosing a timeframe is the
possible net gain (ave % movement - commissions) - we are not all
paying the same commissions so 'what works' varies between traders.
Other pragmatic reason could be your temperament e.g. Herman likes
working with cutting edge ideas/code so he did a lot of work to
pioneer ATR applications for AB and ATR ticks himself (AFAIK).
I am on the other side if the world, with Australian commissions,
plus, I just make it with very average speed broadband, since I live
in regional Australia and only qualify for it courtesy of the fact
that I am right at the end of a 15KLM copper cable from the nearest
exchange (another 1k up the road and I would have to move house to be
able to trade) - facts like this plus the 'IT overheads' of tick/ATR
trading keep my preferences elsewhere (not to say I won't do it in
the future to stretch my skills etc or if the market DICTATES that I
trade that way).
Re the trade I mentioned in Ara's post:
I can see the trade in RT charts irrespective of whether they are 2,
5 or 10 minute charts - that is the nature of that particular trade -
it doesn't necessarily apply to other trades - it starts with the
strategy - in this case the charts confirm the strategy in letters
as big as the neon sign outside your movie house.
People are going to scoff at this but I could even have a winning
year, with that trade, using only Yahoo delayed intraday data (I
would simply modify the trade to make it work with those
charts/timeframes) - it just wouldn't pay as much, in terms of annual
return, as running it in RT (keep in mind that my broker(s) run RT
charts).
Re momentum/trend/timeframes
It isn't anything deep or meaningful.
Few of us operate with the aim of making money out of a static
market, so we rely on movement.
Trend only has two playable directions.
Momentum has rate (distance per time).
If a stock moves up 1% day, when nothing else does, then it is
momentum (for that day).
Momentum is relative, to other stocks and to the timeframe (look out
because local events can cause a stock to have short term momentum
compared to long term/endemic momentum - short term/ stock specific
momentum probably won't last beyond a few days but it is playable in
that time/space - also it can reverberate for a while and replay OR
even reverse with playable negative momentum i.e. go back to where it
came from, or part of the way).
Re the three ducks:
- IMO that was a continuation trend trade - granted it could be
considered momentum also - depending on the semantics - it relied on
an established trend, with a confirming pivot, to signal that the
trend would continue (I don't necessarily accept an MA as a trend
indicator but for the sake of the argument) - if the rules of that
trade stipulated that the pivot required a > 1% move then it would be
a momentum trade (depending on where you measure the % change)
- if you are making a continuation trade then you missed the start of
the trend
- any playable trend/momentum, in one timeframe, must have it's
beginning in a lower timeframe
- how low should you go? - there is absolutely no point in going one
timeframe below what stacks up at the pragmatic level (why drill down
to ticks if my commissions/internet won't allow me to trade
profitably at that level?)
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi Brian,
>
> I really enjoyed reading your last post. You said that you are
limited when
> talking english... well you sure talk well enough for me to
understand you
> even if I am *very* limited in that matter.
>
> The thing that strucked me in your post is the time question.
That's
> somethingthat have been puzzling me for the last weeks. I just
can't make
> my mind on the timeframe I want to work with.
>
> I used to work with 15-minute bars, but then I realized that there
was a
> maximum number of streaming symbols, so I tried to find a way to be
able to
> choose the tickers to go in a watchlist with a maximum number of
500... but
> that's very difficult (if not impossible) to do.
>
> I'd like to read more from you about timeframe and what you
consider can be
> done to work with them in a better way.
>
> Thank you,
>
> Louis
>
> 2008/7/8 brian_z111 <brian_z111@xxx>:
>
> > Jayson,
> >
> > Thanks for your post.
> >
> > I have an interest in the subject and don't mind to share a
little.
> >
> > My batteries are a bit flat from a heavy weekend so it won't be my
> > best effort.
> >
> > Lightly referencing posts in this thread.
> >
> > Sectors:
> >
> > a) it is worth clarifying definitions e.g S&P versus ICB (the
Boston
> > tea party is still ongoing so London/NewYork have to do it
> > differently) plus there are other players in the sector game
> > b) then there are sub-sectors, industries etc
> > c) the business activities, of the constituents of a sector, and
> > their membership of a sector, don't necessarily equate.
> > d) you can trade the sectors, themselves, as a sector ETF/option
or
> > other instrument - this possibility tends to fade away outside of
> > US/Euro (perhaps not for those with local knowledge - it just
happens
> > that I am one of those poor people who is limited to speaking
> > english).
> >
> > Some random links (no idea if they are good/useful but I threw
them
> > in anyway) - there are plenty more to be googled:
> >
> > http://www.market-topology.com/
> > http://www.sectorspdr.com/correlation/
> >
> > How can we find top sector/industry/stock in AB?
> >
> > Technically these things are very easy to do.
> > More important is selecting a good strategy in the first place.
> >
> > IMO the thing to look out for is that 'best' depends on your
> > definition of 'best' AND also depends on the timeframe (as I told
> > Dingo - momentum, direction and time are all interelated) - the
top
> > daily sector might not be the top weekly sector (I chose my
> > timeframes for other reasons e.g. statistical smoothing == high
> > frequency trading) - highest high of x days or Relative
Performance
> > measures,as mentioned by Jayson are certainly worthwhile thinking
> > about (I am not limited to that though).
> >
> > How do we use it - what are the typcal W/L ratios - how much can
we
> > win etc?
> >
> > Per my previous comments:
> >
> > - the long term market is the rational market (based on company
> > valuations) e.g. a stock/sector with stable and growing
> > earnings/dividends can not keep going down forever - or vice versa
> > (however they can go down an awful long way 'with the tide' so
don't
> > pre-empt/go against what the charts are telling us).
> >
> > Note: we saw, in the dot com bubble, the most extreme example ever
(?)
> > of how pure speculation pushed IT stock prices to unheard of
> > valuationsNOT before bursting.
> >
> > - the short term market is the irrational market - it is almost a
> > random walk (if we backtest we find so many of our seemingly good
> > ideas return to near random behaviour over time) - we have to be
> > competent with evaluation (stats) etc but stats can not 100%
confirm
> > that we are not being 'fooled by randomness' - IMO many times that
> > traders think they had a good system that was then traded to
failure
> > etc was really an instance of chance luck that faded away with
time.
> >
> > However - human nature is persistant and predictable (as per
> > Siddharthas post there are many examples of market inefficiencies,
> > based on the mechanics of the market, institutional behaviour,
human
> > behaviour, that exist in the market today - not all are short term
> > e.g. if you follow a good stock all the way down and then wait for
> > the upturn signals then this long term play will 'beat the market'
> > for sure - give or take some other techiques thrown in and
assuming
> > random acts of the stock market gods don't overturn the whole
game)
> >
> > If we can find an edge, based on the psychology of the market,
then I
> > predict we will find a trade that:
> >
> > - persists for a long time,
> > - makes unbelievable W/L ratios,stats, % returns etc (defies the
odds)
> > - probably will survive a lot of small freelance traders playing
the
> > same game
> >
> > (thanks to all for a good thread and also the 'new user' thread
that
> > I don't have time to contribute to but enjoyed reading -
especially
> > Siddharthas posts - anything to do with HermanHesse?)
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Jayson"
> > <jcasavant@> 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
> > >
> >
> >
> >
>
------------------------------------
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