|
PureBytes Links
Trading Reference Links
|
Hi Jeff,
Please continue your posts. I've been maintaining BBF as a confirming
indicator for over a month as a result of your study & info on the system.
I'm still figuring how to best put it to use. Although I have very good
feelings about the way you're using this system, I also like to see the
arguments made by the system's skeptics. Those of us who are students of
trading strategies learn from the point, counterpoint discussions.
The only time I thought I had anything positive to contribute to the
discussion was when I suggested that a volume based confirming indicator
(CMF was suggested) might add another dimension to the system.
If I thought I could make 10% a month with BBF, I would stop everything else
I'm doing, and trade it right now. Unfortunately, I don't have the trading
software that would tell me (by testing) what the long-term results would be
from trading this system, and how I would select which issues to trade, and
what confirming indicators work best, etc.
You are providing some valuable anecdotal evidence that the system has
value.
I think I'm going to get AIQ in a few weeks--it has some pretty fair testing
capabilities. One of the challenges in achieving objective test results is
deciding which stocks to include in the test. If you pick many of the
currently popular issues (CSCO, AAPL, etc.), or the high Relative Strength
issues, you may build a bias into the testing. Some of the fellows on the
AIQ email lists have compiled lists of high Relative Strength issues for
previous months (the ones most likely to trend from that point on). For
example, if you know what the hot issues were in December '98, you could use
those issues to "trade forward" from that time until now.
I guess what I'm getting at is that the BBF system may be a good choice for
a trading strategy, but how will it perform over the long term in different
markets (bull, bear, flat)? This will be answered by someone testing it
(objectively), or better yet, someone actually doing it (you).
I hope you continue to share your results. If I get to do some testing,
I'll forward the results.
Thanks,
Dan
-----Original Message-----
From: Jeff <jcob3@xxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Saturday, November 27, 1999 6:36 PM
Subject: Re: bull/bear fear- tested
>Michael:
>
>You do not say in your post what you tested the system on or what the
return
>generated was. My purpose in making my posts has been to generate
>discussion of a system that I have been successful in using. It may be
that
>some individuals are not psychologically suited to trade this system.
>
>The system is a trend follower that appears to get you in at the early in a
>trend. If the trend breaks down for any reason, the system seems to take
>you out with relatively little pain, and there is a relatively high
>percentage of losing trades (usually around 50%). Therefore, the system
>seems to perform best on issues that are prone to make prolonged moves.
The
>trick is to find those issues. I do admit that the system is not perfect;
>for instance, it is my belief that the exit could be improved on winners to
>preserve more profit. However, I've been unable to develop an alternative
>exit that improves the system return.
>
>I've posted the results of this system that have been generated over the
>past two months and believe they speak for themselves. The results
>should've, at least, been interesting enough to generate a little more
>discussion than they have up until now. I've been trading this system
>myself for about a year and have had good results. Even in the
>April-September period when everything seemed to stall and move sideways, I
>was, at least able to hold my own and maintain my capital until the October
>break-aways started to occur. For awhile, until I got bored with it, I
>phantom traded this system in the Yahoo Investment Challenge. I typically
>made about 20% a month using the system in that venue.
>
>At any rate, I take it from your comments that you are not thrilled with
the
>system. That's OK. If the general feeling of the group is such that they
>would rather not see my posts, that's OK too. Just let me know and I'll
>quietly crawl back into my hole. But in case you, or anyone else is
>interested, the following is the system as I use it.
>
>Buy
>
>n :=opt2{Time periods};
>
>BullFear := (HHV(HIGH,n) - LLV(HIGH,n))/2 + LLV(HIGH,n);
>
>Cross(CLOSE,bullfear) AND
>DX(10) > opt1
>
>Sell
>
>n :=opt2{Time periods};
>
>BearFear := (HHV(LOW,n) - LLV(LOW,n))/2 + LLV(LOW,n);
>
>CLOSE < bearfear
>
>Optimize the time periods from 10 to 50 in increments of 1 while testing
the
>DX from 5 to 30 in increments of 5 (you can do it in increments of 1 but it
>takes longer). Once the Optimal time period is determined in this manner,
>then retest with the determined optimal time period and the DX in
increments
>of 1. Note that this system is intended to be a stop and reverse system
and
>you can use it to go short as well if you'd like to.
>
>Well, that's about all I have to say on the subject.
>
>Good trading
>Jeff
>
>-----Original Message-----
>From: michael arnoldi <marnoldi@xxxxxxxxxxxxx>
>To: A METASTOCK GROUP <metastock@xxxxxxxxxxxxx>
>Date: Saturday, November 27, 1999 12:50 PM
>Subject: bull/bear fear- tested
>
>
>>i hope that the formula is wrong, this is what i used, and did a test
>>using opt1 instead of n:
>>BUY
>>BullFear := (HHV(HIGH,opt1) - LLV(HIGH,opt1))/2 + LLV(HIGH,opt1);
>>Cross(CLOSE,BullFear)
>>
>>SELL
>>BearFear := (HHV(LOW,opt1) - LLV(LOW,opt1))/2 + LLV(LOW,opt1);
>>Cross(BearFear,CLOSE)
>>
>>opt1=10 to 30 with 1 point increments
>>
>>result 7 trades with 11 losses.
>>
>>not a system i would use.
>>comments are welcome.
>>
>>mike arnoldi
>
>
|