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I'll create an MS 6.5 template of the indicators that I'm looking at
intra-day. I've reviewed the daily, weekly, and monthly charts as well with
these indicators and strongly believe that the "Tide", "Wave" and "Ripple"
ideas Elder outlines in his work are useful at these larger time periods as
well. Note that I haven't done any system testing for these larger time
periods. (In fact, it can't be done since Metastock doesn't support running
an exploration or system test across multiple time periods.)
But it's important not to be mislead by the indicators appearing within a
single template for a single time period.
In my intra-day activities, I'm learning to be very clear about where each
of these indicators are for 5-6 time periods at once. (1 minute, 5 minute,
10 minute, 30 minute, daily, and weekly.) In Elder's terms, I've added a
few more "tides" and "waves" because I've found they keep me from some
"fake-out" situations. (Specfically, the 10 minute stochastic can protect
me from fake-out trades based on the 5 and 1 minute indicators. That is, if
I actually followed my indicators in my trading! <G>)
I should note that it's clear that one can substitute larger parameter
values for some indicators at the smaller periods to provide an
approximation of the indicators at larger intervals: Probably a 20 period
EMA on a daily chart closely enough approximates a 4 period EMA on a weekly
chart so that the differences don't matter. However, as I noted a few weeks
ago in a post to this list, I have not been able to closely approximate a
weekly stochastic(5,3,3) from daily data. (For the interested, try doing
this on the DJIA in 1996 and 1997. Dinner on me in San Francisco for the
list member who can successfully do this! i.e., replicate the weekly period
DJIA 5,3,3 stochastic from daily data using only MS 6.5 formula syntax.)
Equis should be interested in this too because it would mean that
explorations and system tests can be written in the current version of MS
that test Elder's "Triple Screen Trading System". If my "Dinner in San
Francisco" prize cannot be won, it means that MS 6.5 cannot be used to write
explorations and system tests based on Elder's "Triple Screen Trading
System".
==>> The point in the paragraphs above is that if, in fact, one can't
closely approximate indicator values for a larger period by adjusting the
parameters for the smaller period, then, Elder has discovered or, at the
least, clearly written about an issue that not a whole lot of other people
discuss. I can't figure out why this is so. Is Elder really on to
something? Frankly, I'm not "mathematical" enough to get to the root of the
issue...
As you may guess, I have come to agree with Dr. Elder when he writes (in
"Trading for a Living") that "Triple Screen is more than a trading system,
it is a method, a style of trading."
One last thing on this: Elder's discussion of the issue that appeared in
Futures Magazine and was reprinted in his "Day Trading" booklet was based on
the "waves" being 5-10 minutes (I forget which). The discussion in his book
"Trading For a Living" is based on daily and weekly "waves". (See his
"Triple Screen Trading System" discussion in both.)
Anyone tired of my tirades about this multi-period issue yet? <G>
Elder's business web site is located at www.elder.com. It's worth a visit.
Getting on his mailing list means you get a monthly listing of new and/or
important trading books. Please note that I have no relationship with Dr.
Elder or his business.
I won't have time to get the MS 6.5 template out until later in the week.
Steven Buss
Walnut Creek, CA
sbuss@xxxxxxxxxxx
-----Original Message-----
From: jeff f brady <surfingrincon@xxxxxxxx>
To: sbuss@xxxxxxxxxxx <sbuss@xxxxxxxxxxx>
Cc: metastock-list@xxxxxxxxxxxxx <metastock-list@xxxxxxxxxxxxx>
Date: Monday, January 12, 1998 4:13 AM
Subject: Re: Multi-period Market Indicator Values
>Did you write some explorations or a template with these indicators and
>Elders view of them. I did some time ago, but never was able to develop
>a trading system - can't say I put an all out efforet into it either.
>Thanks for the post.
>JB
>++++++++++++++++++
>
>
>On Sun, 11 Jan 1998 13:14:29 -0000 "Steven Buss" <sbuss@xxxxxxxxxxx>
>writes:
>>It's been a while since I last posted.
>>
>>Watching multiple time period indicators intraday has convinced me
>>that it
>>is essential to evaluate market indicators from a multi-period
>>perspective.
>>
>>Alexander Elder has the clearest exposition of this that I've seen
>>(his
>>"Triple Screen System").
>>
>>Anyone know of anyone besides Elder who has written clearly about an
>>integrated multi-period analysis and trading?
>>
>>I've summarized values for my current favorite indicators below by
>>index and
>>period as of close 1/9/98.
>>
>>
>>S&P500 Daily
>>Weekly
>>Monthly
>> Stochastic(5,3,3) 13.56 & falling 36.24 &
>>falling 73.81
>> MACD (12,26,9) -2.95 & falling -5.43 &
>>falling
>>5.52 & falling
>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 4 just crossed
>>below 9
>>4 above 9 & 18
>>
>>DJIA
>> Stochastic(5,3,3) 19.90 & falling 30.04 &
>>falling 61.97 & rising
>> MACD (12,26,9) -18.7 & Falling -41.44 &
>> -13.78 & Falling
>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 All ~= but 4 is
>>falling
>>4 above 9 & 18
>>
>>Nasdaq Composite
>> Stochastic(5,3,3) 12.97 & falling 27.50 &
>>falling 35.14 & falling
>> MACD (12,26,9) 1.48 & falling -23.96 &
>>falling 2.34 & falling
>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 4 crossed below 18
>>4 above 9 & 18, but close to 9
>>
>>4 periods ago
>>Nasdaq 100
>> Stochastic(5,3,3) 19.12 & falling 24.04 &
>>falling
>>32.13 & falling
>> MACD (12,26,9) 2.09 & falling -18.33 &
>> -5.35 & falling
>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 4 crossed below 18
>>4 above 9 & 18, but close to 9
>>
>>4 periods ago
>>
>>Wish me luck. My intra-day travels (or is it travails?) have led me
>>to try
>>my hand at intra-day S&P futures.
>>
>>Steven Buss
>>Walnut Creek, CA
>>sbuss@xxxxxxxxxxx
>>
>>
>>
>
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