|
PureBytes Links
Trading Reference Links
|
OK. OK. I'll stop on this.
But just one more thing...
A few weeks ago, I asked if there was some indicator that had been found
useful in distinguishing profitable from unprofitable stochastic breakouts.
Several people suggested that price was the confirmation of the breakout. I
understand this. But I think this is only somewhat helpful because price
ofttimes confirms and then takes you for a ride in the opposite direction...
For me, the most important practical value of Elder's multi-period concept
is that I've been able to adjust it, in only a trivial way, to dramatically
reduce my falling for false stochastic breakouts.
Steven Buss
Walnut Creek, CA
sbuss@xxxxxxxxxxx
-----Original Message-----
From: Steven Buss <sbuss@xxxxxxxxxxx>
To: metastock-list@xxxxxxxxxxxxx <metastock-list@xxxxxxxxxxxxx>
Date: Tuesday, January 13, 1998 4:09 AM
Subject: Re: Multi-period Market Indicator Values
>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
>>>
>>>
>>>
>>
>
|