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Louis,
Glad to be able to help you along a little.
> explaining why you don't go in faster timeframe. Would it mean
>that if you
> have (had?) a broadband connection you might consider going to tick?
No, I wouldn't go to tick, or ATR, right now because I have plenty on
my plate - more than I can eat (I have more than enough working
systems/tradeable ideas, already, to see me to the end of my trading
days - I am winding back on R&D and moving towards office hours).
I might go into it at a future date but only to make my trading
easier, by automating some aspects, or as a 'study piece'......
(to pass a music exam, say on the piano, the student has to
demonstrate competence in a range of styles, that require different
technical competence, some of which they don't have an affinity for
and/or find more difficult than others).
I think we trade better if we are competent in all of the main facets
of trading - ATR and/or tick trading are major and relatively new
areas so it would be worth my while to learn the basics.
Programming and maths are my weakest links so I have made a special
effort with maths (mainly stats with trading relevance) - I would
still benefit from some extra effort with programming skills.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis
Préfontaine" <rockprog80@xxx> wrote:
>
> Hi,
>
> This is a six years old post?! In my gmail it shows as a July 2008
post...
> or maybe I missed something...
>
> Anyway, that was great Brian! It gives me a lot to think about.
>
> However in your post you talk about the speed of your internet
connection
> explaining why you don't go in faster timeframe. Would it mean
that if you
> have (had?) a broadband connection you might consider going to tick?
>
> Wow I can't believe that was 6 years ago. Seems like nothing
changed in the
> market! ;-) Or maybe it's simply the bear again!
>
> Thanks a lot,
>
> Louis
>
> 2008/7/8 brian_z111 <brian_z111@xxx>:
>
> > Louis,
> >
> > Our last posts crossed.
> >
> > Briefly (I have to go right now but I often extend my posts at a
> > later time, aor in a different place, so more might pop up later)
> >
> >
> > > But even if you say this is not
> > > discretionnary trading, how can you backtest and really
optimize or
> > >test a
> > > strategy that rely on visual and discretionary decisions?
> >
> > You can't.
> >
> > Nor can you defy the laws of mathematics (statistics) etc.
> >
> > I am not going against the principles of system design testing and
> > evaluation.
> > I am saying I am competent enough to apply them with a limited
amount
> > of discretion (after the systems boundaries have been established
by
> > observation and testing).
> >
> > This particular system doesn't involve otpimizing - there are no
> > lookbacks and nothing to optimize (that is not to say that a
trader
> > with a highly analytical approach couldn't squeeze more out of the
> > trade and/or work more variations).
> >
> > Market behaviour isn't going to change anytime soon - if, and when
> > it does, my trade will disappear from the screen.
> >
> > I have backtested the fundamental trade template, that underlies
the
> > trade (that was easy enough to do) - small things, that change on
a
> > daily basis, can't be backtested (e.g. the data might not exist)
it
> > might be too hard for me to do (but possible for others) or the
> > backtesting overheads, to go the extra mile, not worth it to me
> > personally).
> >
> > Note: components of the system are endemic to the markets and I
have
> > tested those thing to exhaustion in the past - now I put them
> > straigHt into the trade without the need to keep going over and
over
> > the same things.
> >
> > What parts of it are discretionary?
> >
> > Examples:
> >
> > - the setup might be there but there is not enough volatility
around
> > so, in practise, I would sit there all day to scrape a draw or a
win
> > (I will just pull out of the trade) - on paper it would backtest
as a
> > small win.
> >
> > - the setup doesn't look exactly the same every single day - the
> > underlying cause is persistent but the daily mood/individual
> > behaviours can change it a little or even abort it (I have to
decide
> > if it is good to go or not, based on relative information e.g. if
in
> > doubt I can look at something else, that I don't always look at,
to
> > see what it is doing).
> >
> > Specific example:
> >
> > Australian market time, something can change dramatically in Asia
and
> > impact on the trade I am in - in a backtest that could register
as a
> > big loser - in reality I might have pulled out of the trade early,
> > based on news OR price fluctuations in the Asian markets -
possibly I
> > would only avoid part of the extreme losses - but in reality can
you
> > and do you backtest those things.
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
"Louis
> > Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > Hi Brian,
> > >
> > > I hope I understood your first paragraph correctly, and if it is
> > the case,
> > > then I'll do my best.
> > >
> > > Thank you for sharing your ideas. But even if you say this is
not
> > > discretionnary trading, how can you backtest and really
optimize or
> > test a
> > > strategy that rely on visual and discretionary decisions?
> > >
> > > Louis
> > >
> > > 2008/7/8 brian_z111 <brian_z111@>:
> >
> > >
> > > > 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
<amibroker%40yahoogroups.com><amibroker%
> > 40yahoogroups.com>,
> >
> > > > "akaloustian" <ara1@> 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
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
------------------------------------
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