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> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of brian_z111
> Sent: Tuesday, July 08, 2008 11:12 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Sector Analysis
>
> 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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>
>
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