|
PureBytes Links
Trading Reference Links
|
Hi Bob G.
If you look at Moore Research spread data. Best equity corresponds to MFE
and Worst equity corresponds to MAE. MFE and MAE are questionable to use in
spreads because of spike highs and lows. Spreads can be calculated in Excel
using high, low or close data to avoid spikes. MinFE is more important to me
than MFE.
Days in trade are far more important to me for trade management in spreads
because of the limited "window" of the trade. Use the 3-D surface graph in
Excel for this.
"Proven Correct" is an important "go" concept in addition to your
traditional "stops" usage.
I use about 10 template charts in Excel to screen each spread.
Sweeney's work is normally associated with maximum profit taking from a
single market, i.e. crude or bonds, etc.
Best regards
Walter
----- Original Message -----
From: Bob Garrity <rgarrity@xxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Monday, June 28, 1999 5:00 PM
Subject: Re: Breakout System
> 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
> > >
>
> --
> -------------------------------------------------------------------
> Bob Garrity __________________________ phone: 650 569-5334
> Manager, Cable Operations ______________ fax: 650 569-5549
> @Home Network _______________________ mailto:rgarrity@xxxxxxxxxxxxx
> -
> corp web site: http://www.home.net
> personal page: http://members.home.net/rgarrity
> -------------------------------------------------------------------
>
|