|
PureBytes Links
Trading Reference Links
|
Glen, catholic...chambers dictionary "universal, liberal, the opposite of
exclusive" what I meant was ....with wide ranging interests. It is a good
thing. Sorry to be confusing (again), Simon
----------
From: Glen Wallace <gcwallace@xxxxxxxx>
To: MetaStock listserver <metastock@xxxxxxxxxxxxxxxxxx>
Subject: Re: Bill Williams' Profitunity indicators
Date: 09 February 1999 21:30
Simon and all:
A "catholic bunch"? I haven't heard that one before; I hope it's a good
thing :) What I have, certainly could not be called "expertise," but here
is some background for those not familiar with Bill Williams' work.
Bill Williams wrote two books: Trading Chaos (1995) and New Trading
Dimensions (1998). Williams' basic hypothesis is that markets are natural
phenomena and, as such, linear analysis is ineffective. Instead, he
applies
a non-mathematician's version of Chaos Theory (that is, order within
apparent chaos) and fractal geometry (self-similarity), and Elliott Wave
Theory (a different branch of what has since been called fractal geometry).
I was attracted to Trading Chaos because it was the first book I found that
applied Elliott Wave Theory to trading in a practical manner.
Apparently with the help of a Cray Supercomputer, Williams identified a
pattern which tends to mark the beginning of trends. He calls these
'fractals' – something of a misnomer, but hey, who am I to question a
master
trader. A fractal (an "up" fractal, in this case) is a series of at least
five consecutive bars where the highest bar is preceded and followed by at
least two lower bars, and marks a turning point or an Elliott Wave of some
degree. To open a long position, the trader waits for the most recent Up
Fractal to be exceeded, usually with a buy stop.
During a consolidation period (corrective waves), one will get whipsawed,
as
long positions are stopped and reversed when Down Fractals are exceeded to
the downside. Williams accepts these losses as a cost of catching a trend
early, and in fact, calls this "playing in the low-rent district." These
whipsaws during the consolidations are actually minimized somewhat by a
series of smoothed moving average filters (also apparently optimized using
a
Cray), so losses are contained.
After the trend begins, the position is added-to on signals generated by a
series of indicators. His Awesome Oscillator (the name makes me cringe a
little) is a modified version of Tom Joseph's 5/35 MACD. The AO is a 5-bar
simple moving average of the bars' midpoints [(H+L)/2], minus a 34-bar
average. Another is the Acceleration/Deceleration (AC) indicator which is
basically the difference between a 5-bar simple moving average of the AO
and
the AO itself. Yet another indicator is a combination of the momentum
identified by the AO and the rate of change of momentum identified by the
AC
to highlight aggressive trading "zones."
Now, this is probably way more than you wanted to know, but I find the
theory facinating.
-----Original Message-----
From: Simon Roberts <Roberts@xxxxxxxxxxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>;
metastock@xxxxxxxxxxxxxxxxxx <metastock@xxxxxxxxxxxxxxxxxx>
Date: February 9, 1999 10:55
Subject: Re: Bill Williams' Profitunity indicators
>Glen, this list seems to be a catholic bunch, and interested in anyone
with
>knowledge or expertise to share. Could you tell us a bit about these
>indicators, starting from the beginning, and their background. I'd like to
>know more. Simon
>
>----------
>> From: Glen Wallace <gcwallace@xxxxxxxx>
>> To: metastock@xxxxxxxxxxxxxxxxxx
>> Subject: Bill Williams' Profitunity indicators
>> Date: 09 February 1999 01:51
>>
>> My first post here. I'm quite new to this listserver, so this is
>probably a
>> "been there, done that" but ......
>>
>> Is anyone interested in comparing notes on Bill Williams' Profitunity
>> system? I wrote the Formula Language code for most of the New Trading
>> Dimensions indicators and did some pretty extensive walk-forward testing
>of
>> the fractal buy and sell signals. Interesting results and I think there
>is
>> something there -- maybe not the Holy Grail, but perhaps a nice,
pewter
>> grail.
>>
>
----------
|