|
PureBytes Links
Trading Reference Links
|
d
No.
Thanks.
I get caught on that one from time to time.
I am not sure if Yahoo throws up the old posts or someone drags them
up
Anyway, Louis seems happy with it.
Apparently times don't change.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxx> wrote:
>
> You ARE aware that you were replying to a post from 6 years ago?
>
> d
>
> > -----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@> 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@>:
> > >
> > > > 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
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
> > ------------------------------------
> >
> > 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
> >
> >
> >
>
------------------------------------
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|