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In developing a trading system, I have thoroughly enjoyed reading Chande's
book "Beyong Technical Analysis; Developing a Trading System". He covers a
lot of the details required in developing a system before you even start
picking your indicators. The preliminary work will dictate which indicators
to use. The book is written rather well and a must-reading for anyone
looking to develop an actual system.
Mark D. Jala
-----Original Message-----
From: Rick Roegner <oiis@xxxxxxxxxx>
To: metastock-list@xxxxxxxxx <metastock-list@xxxxxxxxx>
Date: Tuesday, January 13, 1998 9:52 AM
Subject: Re: Systems-indicators
>The sky IS blue.
>
>But I've seen problems with the transition from sideways to trending
>patterns. The issue I have is the inefficiency of a trading system during
>this transition; as with the S&P from '94 into '95.
>
>For instance, to keep it simple, Bollinger bands might work well in a
>sideways pattern, while a moving average might work OK in an uptrend. It
>is the transition which causes problems.
>
>I've tried using volume indicators to determine this transition, but they
>also seem to lag. Also other indicators which are supposed to determine
>trend. The problem being that a trend is not a trend until a certain
>amount of time has passed, meanwhile your system is on an OUT and still
>following the previous pattern as with the S&P into '95.
>
>I am developing an interest in divergences between an indicator and an EMA
>of the close that might not lag so much. Also log based indicators like
>TRIX. Anyone with experience in this area?
>
>
>The other issues were poorly explained. I was trying to determine the
>average overall methodology used for designing a trading system. You could
>totally "channel" the price series with some rules written out in Metastock
>code as I've tried to do OR you could also have a set of "verbal" rules not
>written in code, but found by observing various indicators. Which is the
>more typical method used? Or is a combination usually used?
>
>In many cases, when using Metastock, I've found that writing specific code
>to describe suspected "realities" can be difficult, though if you succeed,
>you can then optimize. Also, I usually try to design most formulas so that
>the greatest range of possible values or relationships between indicators
>can be optimized, in order to let the computer do some of the work. Problem
>here is that you have to see or suspect something before you can describe
>it. Also you can't reference 2 price series in the same system test that I
>know of.
>
>Any ideas or thoughts on these great matters?
>
>
>At 10:23 PM 1/12/98 -0800, you wrote:
>>Rick Roegner wrote:
>>>
>>> I've noticed that whenever I design & optimize a trading system (or the
>>> same for an indicator) in Metastock, that in various areas over the data
>>> history, the system or indicator does not work so well.
>>>
>>> Has anyone devised a method to adjust a system or indicator over the
price
>>> history during these "weak" spots; let alone possibly into the future
price
>>> history?
>>
>>I've found that it takes different kinds of systems to be profitable in
>>different kinds of markets. You might want one for strong up trending
>>periods, another for range trading and maybe another for down trending.
>>
>>Depends on what works for you. IMHO
>>
>>Regards... John
>>
>>
>R. Roegner
>
>
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