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<DIV><FONT size=2>All,</FONT></DIV>
<DIV><FONT size=2> Not a good week, but not a real bad one
either <G>. My portfolio was down just a little and I again had
several changes. I did close my IOM and PMRY positions Tuesday. I
also opened my DELL and SCH positions, but never opened a CTI position as it
fell below the channel without hitting the buy stop. With 20/20 hind
sight, opening those positions in the large caps last week may have been a
mistake. SCH closed below my stop Friday, so I'll close that position
Monday.</FONT></DIV>
<DIV><FONT size=2> Looking at the indices, I'm beginning
to believe that Guy's sell signal may be for real <G>. Guy, have you
gotten that confirmation signal yet? The DJI index fell through the bottom
of its Intermediate Term Up Trend Channel (ITUTC) Friday. The OEX, NYA,
NASD, and SPX are all still in Horizontal Channels (HCs) after breaking through
the bottom of their up trend channels a week or two ago. That
leaves the RUT as the only major index I follow that's still in its
ITUTC and even it is in a sideways move within that channel. I don't know
if this means more sector rotation from the large caps to the small
caps, a correction in everything, or if its just a fake out before
the summer rally. However, I do know that I'm going to watch my stops
carefully and I'm not going to add any large cap stocks in the near
future. In fact, I'm going to avoid new U.S. stock positions altogether
for now. To help protect against the possibility of a correction in the
U.S. market, I'm going to invest about 20% of my portfolio in foreign
markets and if I'm stopped out of anything else, I'll just sit on the cash for a
while. Since it's hard to get information in individual foreign stocks,
I'm going to just play a country or area using the AMEX traded WEBs.
Looking at the WEBs I had a hard time deciding among Japan, Malaysia, and
Singapore. I finally decided to delete Singapore due to the mainland China
influence and put about 10% of my portfolio in Foreign Fund Malaysia (EWM) and
10% in Japan WEBs (EWJ).</FONT></DIV>
<DIV><FONT size=2> EWM at 6 3/4 gapped up Friday and
broke out of a Short Term Down Trend Channel (STDTC). I established a new
MetaStock standard deviation Short Term Up Trend Channel (STUTC) with the
top at 7 3/8 and the bottom at 5 7/8. Since this position is a hedge
against the U.S. market, I'm not going to set a target and I'm going with
the deviation set at 2 to give me a somewhat loser stop under the bottom of the
STUTC. Last October EWM broke out of a down trend that had been in
effect ever since the WEB was created. I got a StochRSI buy signal
just before that and it is still in effect. Since then EWM has been zig
zagging upwards with two higher highs and two higher lows and is close
to setting another new higher high. Giving the recent publicity on the
Asian markets finally getting over their woes, this has the potential for a good
move. I'll open a position Monday morning. I want it to run, so I
won't set a target, but will set a stop at 5 3/4. Since this is a low
priced WEB, I'll move my stop up in 1/2 point increments instead of my usual 1
point increment. </FONT></DIV>
<DIV><FONT size=2> EWJ at 12.563 is in a STUTC with the
top at 12 5/8 and the bottom at 11 7/8. It has a very chart that's
shaped exactly like EWM's chart. However, if anything, it is even a little
stronger recently with gaps up twice last week and breaking out to a new 52 week
high Friday. I also got a new StochRSI buy signal on it Tuesday.
I'll open a position Monday morning and for the same reasons mentioned above,
won't set a target, but will set my stop at 11 3/4.</FONT></DIV>
<DIV><FONT size=2> I'll send EWM.GIF and EWJ.GIF charts
to everyone on my email list.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>JimG</FONT></DIV>
<DIV><FONT size=2> </FONT></DIV></BODY></HTML>
</x-html>From ???@??? Sun Jun 13 14:58:44 1999
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Message-ID: <010501beb5e4$4d69c1a0$eeb479c3@xxxxx>
From: "A.J. Maas" <anthmaas@xxxxxx>
To: <metastock@xxxxxxxxxxxxx>, "Equis Support" <support@xxxxxxxxx>
References: <012501beb42a$b980ba80$d155e7c8@xxxxxxxx>
Subject: Re: Trading Stocks w a Katz's CyclSyst-part1/2
Date: Sun, 13 Jun 1999 22:36:26 +0200
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"Trading Stocks With A Cyclical System" by Jeffrey Owen Katz (TASC-Feb1999).
Part 1/2 - Katz original formula(see Gif) + Equis translation of it(see below) and
the NEUROSHELL TRADER's version from the same page.
At a (minus) -$ 7885 negative Gain since the System Test's start (Dow, in 1980),
a bloody marvelous system this is (see Gif in part 2/2).
Actualy, he(Jeffrey) admits in his article that the "Trader's Tale" of <a precence
of standard cycle in the Stock market>, does NOT exists.
Most people also confuse this standard "market" cycle with the precence of a standard
economical cycle, which on its turn does exist.
I was always taught on a "7 mean lean years & 7 prosperous fat years" type of basis.
But that has also been a genral public expression stemming from a period (1920-70)
when this was probably irreguraly sometimes true (and therefore remained in the back
of people's heads/minds).
A better 7/3 divisor for the factor and making it a total of 10 years in the
decimal system (eg 7 fat & 3 lean years, see my previous "Fractal Retracements" mailing)
has been a very dominant economical cycle for years (as tho the economy needs a well
deserved resting period, and taking a deep breath, before building up and entering a newer
greater era of more great prosperous growth).
(Since we have had this naturaly also starting this decade(back in 1993) than 2000
will be the (year to watch) as for the last year of seeing the latter great national and
international economical growth (and also meaning that we are now on/or have passed
the top of the Eco-cycle by far, eg also meaning in a further continious rising of
the intrest rates (definte turnaround), as lending money will not be so natural and
obtained in such a "easy way" as it has been before(passed 3-4 years) and this rising
is also indirectly creating much more inflation).
This further rising (of rates and inflation) will than create longer term downtrends
in the Bond, Housing & Stock markets (and alikes), or even the collapsing/bursts of
the panical End-90s' hyper-rally(ies, that we also currently still can enjoy).
Jeffrey writes:
-quote-
"More than a decade ago, we noticed that a recurrent pattern could be seen on the charts
of individual stocks as well as on the indices. Roughly 90 calendar days after the
occurrence of a large, sudden, strong move (mostly upward but sometimes down), there
would be a fairly good probability that another such move would occur. The quarterly
timing suggested that the pattern was induced by the occurrence of surprises (for
example, earnings surprises) associated with corporate reports.
When this pattern was present -- and it frequently was -- it was quite dramatic:
It could be used to predict turning points in stocks (as well as in stock indices such
as the Standard & Poor's 500 index) months ahead with a fair degree of accuracy.
This forecasting pattern( produced such good results that we developed and marketed
software based upon it: NexTurn for the S&P 500, and The Stock Analyzer for individual
stocks.
Several years after we discovered it, however, the pattern disappeared from the indices,
and the software became moot."
-unquote-.
>From looking at the 1990-94 period, eg a period that was merely only traded by the
professional traders using computerised trading systems, of which most were based on
the (from their TA-books) taught "Trader Tales" (eg the Fibonacy + Market Cycles), eg
tales that were only sometimes apllicable in some certain market-conditions/periods
and are therefore "always and ever applicable" (say the TA-books), eg the books will
write that from studies made into the cycles (or Fibonacy sequence) it will always prove
to be right and that they are well formulated "formulas" that have, in history, also proven
themselves over and over again, and thus that they should also be set as the Chartered
Market Technician's Standard (say the TA-books), eg or lets market software based on
it as well. Plain B...S... ofcourse.
(The Fool fooled!, see above).
Now the constructuative approach !.
>From experience, Market cycles <if/when they are present> (and there are also times
when they are not present) do not let themselves be dictated, eg neither by these
beautiful poetry anecdotes in TA-books, neither by traders or by anyone else for
that matter.
Though, when present (eg better known as trends), they can be as long as 10-days
or en-going for up to x years. And never ever appear in the same standard fixed days
manner or for its "regular" repeatative periods (upose to what the TA-books write and
like you to believe).
In Part 2/2 is this so called Cyclical System printed. For any usefull trading manner,
and in my humble (TA) opinion, the fixed periods for any cycle tracking should therefore
immediatly be replaced with flexible (periods).
Like scanning for Trading Range's Breakouts (up or down, eg the Horizontal Trend
Lines) will than enable user with a much better to view/look on/at (+ to trade) them.
And only then these type of cyclical systems will be able to make and generate some profit
(long term).
Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying.
=========================================================
Jeffrey writes in his article:
The logic of the trading system would be as follows:
V1= 20-bar standard deviation of
3-day(k) rate of change 63 days(m) in the past (V2).
V2= 3-day(k) rate of change as seen 63 days(m) ago.
eg, since trading days are used:
- m should be about 63.
- k should probably be 3.
Cyclical System Article:
http://www.traders.com/Documentation/FEEDbk_docs/Archive/0299/Abstracts_new/Katz/Katz9902.html
Easy Language formulas:
http://www.traders.com/Documentation/FEEDbk_docs/Archive/0299/Abstracts_new/Katz/KatzFig.gif
Other Translations (than the Equis version below):
http://www.traders.com/Documentation/FEEDbk_docs/Archive/0299/TradersTips/Tips9902.html
=========================================================
February 1999 - TRADERS' TIPS
METASTOCK
In "Trading Stocks With A Cyclical System" in this issue, Jeffrey Owen Katz and
Donna McCormick introduce a system based on stock cycles.
In MetaStock 6.5 or higher, you can easily recreate this system.
With MetaStock running, choose System Tester from the Tools menu, click on
the New button and enter the following formulas:
Enter Long
thresh:= 4;
k:= 3;
m:= 63;
Value1:= Stdev(Ref(ROC(C,k,$),-m),20);
Value2:= Ref(ROC(C,k,$),-m);
When(Value2 > thresh*Value1)
Enter Short
thresh:= 4;
k:= 3;
m:= 63;
Value1:= Stdev(Ref(ROC(C,k,$),-m),20);
Value2:= Ref(ROC(C,k,$),-m);
When(Value2 <-thresh*Value1)
Stops
Inactivity
Positions - Long and Short
Method - Points
Minimum Change - 15000
Periods - 10
After entering the formulas, click OK, then click on Options.
On the Testing page, set the Trade Delay to zero, set Positions to "both", then
set any other desired options.
Click OK to save the changes, then open a chart and run the system.
-- Allan J. McNichol
EQUIS International
800 882-3040, 801 265-8886
http://www.equis.com
==================================================
NEUROSHELL TRADER
In NeuroShell Trader, you can easily implement the trading system introduced by Jeffrey Owen Katz
and Donna McCormick in "Trading Stocks With A Cyclical System" in this issue. In the article,
a 90-day rhythm pattern forms the basis of the system.
>From the Insert menu in NeuroShell Trader, choose "New trading strategy" and follow the steps
outlined here. (Default values of Thresh=4, K=3, M=63, and Hld=10 were used in the steps given here,
but different values may be used as desired.)
Add the following long entry condition from the "Relational" indicator category:
A>B indicator with the following parameters:
A = Lag(Momentum(Close, 3), 63)
B = Mult2(4,StdDev(Lag(Momentum(Close, 3), 63),20))
Add the following long exit condition from the "Trading strategy: exit signals" indicator category:
Bars Since Filled = X ( Trading Strategy, 10 )
Add the following short entry condition from the "Relational" indicator category:
A<B indicator with the following parameters:
A = Lag(Momentum(Close, 3), 63)
B = Mult2(-4,StdDev(Lag(Momentum(Close, 3), 63),20))
Add the following short exit condition from the "Trading Strategy: Exit Signals" indicator category:
Bars Since Filled = X ( Trading Strategy, 10 )
A $100 stop-loss can be implemented (for every 100 shares). If you wish to add a stop-loss to
your trading system, use the following steps:
Add the following long trailing price from the "Trading Strategy: Protective Stops" indicator category:
Trailing Price: Points ( Trading Strategy, 1 )
Add the following short trailing price from the "Trading Strategy: Protective Stops" indicator category:
Trailing Price: Points ( Trading Strategy, 1 )
For the sake of convenience, users of NeuroShell Trader can download the "StockRhythmEnterLong"
and "StockRhythmEnterShort" conditions from the NeuroShell Trader section of the Ward Systems
Group Tech Support Website. In the article, Katz mentions that genetic optimization would have
enhanced his effort, and the NeuroShell Trader Professional offers genetic optimization.
-- Marge Sherald
Ward Systems
301 662-7950
E-mail wardsystems@xxxxxxx
http://www.wardsystems.com
===========================================================
----- Original Message -----
From: José Carlos Duarte Areia
To: Equis Support <support@xxxxxxxxx>
Sent: vrijdag 11 juni 1999 18:29
Subject: Trading Stocks w a Katz's CyclSyst
> I read the article of Katz and McCormick at Febr. 99 TASC page 36 and pick
> the formulaes at Trader's Tips page 43.
> Copied everything exactly as recomended and cannot obtain success, the test
> run but no gives a result and plot a Equity line on zero as seen on attached
> gif I made with Dow Jones. I tryed with others stocks but with no results
> too.
> Could someone help me with this.
> Thanks JCarlos
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