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Walter
I am curious about how you are applying John Sweeney's Ideas to Spread
Trading. I use his ideas of MAE for my initial stop orders and I am
looking at how to incorporate MFE into my exit strategies. To get those
figures I look at a number of contracts for each commodity I trade to
arrive at a figure for that market. What is the corresponding mechanism
in a spread trade? Do you calculate MFE for both contracts you are
looking at? Do you only trade calendar spreads of the same commodity?
You piqued my curiosity ;)
Walter Lake wrote:
>
> Hi Foo
>
> My system is now built around John Sweeney's ideas in "Campaign Trading" and
> "Maximum Faourable Excursion". It makes extensive use of Excel and only uses
> Metastock for charting and basic indicator work.
>
> Since I'm mainly interested in spreads ... complicated indicators, wave
> counts, etc. are not needed. The big demand is for number crunching and
> statistical work, ... Excel is excellent for that purpose.
>
> I follow 600 to 700 spreads per year. Each spread only has a short 4 to 6
> week "window". It's not very exciting, but it's the basic conservative
> professional trading business, ... steady cash flow.
>
> Moore Research is the basic source of information and well regarded by
> Commodity Traders Consumer Report.
>
> =========================
>
> >From Thomas Stridsman at Futures Mag Sept, 1998.
>
> "Walter,
> Thank you for getting back to me. I managed to lose your e-mail address.
> Sorry
> about that. Below you'll find the MetaStock version of the system that I
> will
> write about in the Nov. issue of Futures. Please keep this information to
> yourself until the issue is published. There is a couple of differences
> compared to the original code. I will point them out in the article together
> with a couple of ways to speed up the calculations for real-time trading
> Thanks,
> Thomas
>
> Name: LookBack
> Formula: X := Stdev(C, 30);
> Y := Ref(X, -1);
> Z := 1+((X-Y)/X);
> If(Cum(1)=1, 20, Min(Max(Prev*Z, 20), 60))
>
> Name: BuyBreak
> Formula: HHV(H, LastValue(Fml("LookBack")+Prev-Prev))
>
> Name: BuyExit
> Formula: LLV(L, LastValue(Fml("LookBack")/2+Prev-Prev))
>
> Name: SellBreak
> Formula: LLV(L, LastValue(Fml("LookBack")+Prev-Prev))
>
> Name: SellExit
> Formula: HHV(H, LastValue(Fml("LookBack")/2+Prev-Prev))
>
> Name: BreakWhere
> Formula: TopB := Ref(Fml("BuyBreak"), -1);
> LowB := Ref(Fml("SellBreak"), -1);
> ((O+H+L+C)/4 - LowB)*100/(TopB-LowB);
>
> Name: DBS-System
> Enter Long: H > Ref(Fml("BuyBreak"), -1)
> Close Long: L < Ref(Fml("BuyExit"), -1)
> Enter Short: L < Ref(Fml("SellBreak"), -1)
> Close Short: H > Ref(Fml("SellExit"), -1)
>
> ..."
>
> This is George Pruitt's (Futures Truth) basic system. It is also the basic
> system used as the basis for Stridsman's year long series of articles about
> system development and "tweaking".
>
> Best regards
>
> Walter
>
> ----- Original Message -----
> From: <sayhow@xxxxxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Friday, June 25, 1999 9:35 PM
> Subject: Re: CCI Spike
>
> >
> > >
> > > ELWAVE has always looked interesting, But ... I've just never been a
> > > "waver".
> > > I guess you're either a "waver" or an "averager".
> >
> > Actually, I am not. I have not heard of Elliot Waves until a few
> > months ago when I was introduced to Advanced Get. I did deeper
> > and found ELWAVE. And I am not a convert.
> >
> > > I guess that I've been focused on very short term for entry and
> > > exits and intermediate term moving averages for trends.
> > >
> >
> > I would be interested to find out what tools do you use to do that?
> >
> > FOO
> > Foo Say How where when who why
> > Singapura - the Lion City
> >
--
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