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d
No.
Thanks.
I get caught on that one from time to time.
I'm not sure if Yahoo throws up the old posts or if 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
> >
> >
> >
>
------------------------------------
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