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<DIV> </DIV>
<DIV><BR>Regards,<BR>Ton Maas<BR><A
href="mailto:ms-irb@xxxxxxxxxxxxxxxx";>ms-irb@xxxxxxxxxxxxxxxx</A><BR>Dismiss the
".nospam" bit (including the dot) when replying and<BR>note the new address
change. Also for my Homepage<BR><A
href="http://home.planet.nl/~anthmaas";>http://home.planet.nl/~anthmaas</A></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV style="FONT: 10pt arial">----- Original Message -----
<DIV style="BACKGROUND: #e4e4e4; font-color: black"><B>From:</B> <A
href="mailto:info@xxxxxxxxxxxxxxxxxxxxx";
title=info@xxxxxxxxxxxxxxxxxxxxx>Kasanjian Research</A> </DIV>
<DIV><B>To:</B> A.J. Maas</DIV>
<DIV><B>Sent:</B> donderdag 30 december 1999 10:36</DIV>
<DIV><B>Subject:</B> Outside Reversal Pattern</DIV></DIV>
<DIV><BR></DIV>
<DIV class=Section1>
<P><FONT color=navy face="Times New Roman" size=3><SPAN
style="COLOR: navy; FONT-SIZE: 12pt">My goal with these reports is to open your
eyes to the many opportunities that Chart Reading can offer an astute
trader. Classical technical analysis IS all about recognizing chart
patterns. Do you recognize the pattern identified by the green/red bars in
the graph below? (Click on the link below to see graph) <SPAN
style="mso-spacerun: yes"> </SPAN>What if all of the green bars are
compressed to a single bar and all of the red bars are also compressed to a
single bar? You have an Outside Reversal. In this classical two-bar
pattern, the high-low range of the red bar is <I><SPAN
style="FONT-STYLE: italic">outside</SPAN></I> of the high-low range of the green
bar. Furthermore, the red bar opens near its low and closed near its
high. And finally, there is an increase in volume as
well. </SPAN></FONT><FONT color=navy><SPAN
style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P><FONT color=navy face="Times New Roman" size=3><SPAN
style="COLOR: navy; FONT-SIZE: 12pt">What you actually see below is a multi-bar
version of the Outside Reversal. The two-bar pattern does not have very
good predictive value as a standalone pattern. On the other hand, when
multiple bars are involved there is an improvement in the
reliability. </SPAN></FONT><FONT color=navy><SPAN
style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal><FONT color=black face="Times New Roman" size=2><SPAN
style="COLOR: black; FONT-SIZE: 10pt"><![if !supportEmptyParas]> <![endif]></SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal><FONT color=navy face="Times New Roman" size=2><SPAN
style="COLOR: navy; FONT-SIZE: 10pt">Click here to see the full report:<SPAN
style="mso-spacerun: yes"> </SPAN></SPAN></FONT><A
href="http://www.kasanjianresearch.com/setups/dec29_setups.htm";><FONT
color=navy><SPAN
style="COLOR: navy">http://www.kasanjianresearch.com/setups/dec29_setups.htm</SPAN></FONT></A><FONT
color=black face=Arial><SPAN
style="COLOR: black; FONT-FAMILY: Arial; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
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style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> </SPAN></FONT><FONT
color=black face=Arial><SPAN
style="COLOR: black; FONT-FAMILY: Arial; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">Profitable
trading,</SPAN></FONT><FONT color=black face=Arial><SPAN
style="COLOR: black; FONT-FAMILY: Arial; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> </SPAN></FONT><FONT
color=black face=Arial><SPAN
style="COLOR: black; FONT-FAMILY: Arial; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P class=MsoNormal><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">Ed Kasanjian<SPAN
class=EmailStyle20><FONT color=black><o:p></o:p></FONT></SPAN></SPAN></FONT></P><![if !supportEmptyParas]><![endif]>
<P class=MsoNormal style="mso-layout-grid-align: none"><FONT color=black
face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">---</SPAN></FONT><![if !supportEmptyParas]><![endif]><![if !supportEmptyParas]><![endif]><![if !supportEmptyParas]><![endif]></P></DIV></BODY></HTML>
</x-html>From ???@??? Thu Dec 30 21:56:49 1999
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Message-ID: <001901bf531e$756c0140$dd2367d1@xxxxxxx>
From: "Walter Lake" <wlake@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
References: <NDBBJINBMLFPEGGKKJEKMEJDCEAA.OnWingsOfEagles@xxxxxxxxxxxxx> <003a01bf526c$3b15e720$10f30d18@xxxxxxxxxxxxxxxxxx>
Subject: Re: Heat Map explained
Date: Thu, 30 Dec 1999 18:34:45 -0500
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Status:
Hi Jim and others who have written
This is a nice "ATR stops for your portfolio.xls" with lots of VBA code both
in the .xls and as .txt ... .
http://content.communities.msn.com/isapi/fetch.dll?action=get_message&ID_Com
munity=MoneyCentralSuperModels&ID_Message=1111&ID_Last=0&Dir=0&ID_Topic=0&La
stModified=942056506000
From: Jon_Markman
Sent: 10/28/99 7:36 pm
Attachments: SuperModels_PRQ.txt (1.7KB), ATR_v3b.txt (9KB)
From: Jon_Markman Reply 8 of 60 Add a Reply...
Sent: 11/8/99 2:21 am
Attachments: ATR Stops_Portfolio_v3.3.xls (968KB)
From: Jon_Markman Reply 22 of 60 Add a Reply...
Sent: 11/19/99 5:44 pm
Attachments: PRQ MonthsAndWeeks v1_4.xls (263.5KB)
here ist the new PRQ Monthly and Weekly analysis macro ....
====================
To others ... seasonality in Gitanshu's workbooks is not the same as
seasonally adjusted. These are two different concepts. Lets just re-program
these for our tradeables and worry about the other stuff later. Usually the
X-11 processes are used for seasonally adjusted time series data. The Excel
3-D ribbon chart usually has a vertical ordinal scale. A tradable with no
seasonality will have a divisor of 1.00. Seasonally-weak values have
divisors of less than 1.00, and seasonally-strong numbers have values
greater than 1.00.
Best regards
Walter
----- Original Message -----
From: "Jim Greening" <jimginva@xxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, December 29, 1999 8:45 PM
Subject: Re: Heat Map explained
| Gitanshu,
| Great work. I've been thinking along those lines myself and I'm glad
| someone has beat me to it and has already done all the leg work. I'm
going
| to think about how to incorporate your findings in the first part of my
| trading strategy which is to pick the right sectors. In the past, I've
just
| waited for a sector to begin to trend strong and then jump on. If the
| seasonality holds true, it will have the great advantage of being able to
| jump on early at lower prices before the trend starts. Keep up the good
| work.
| Once again, thanks for sharing.
|
| JimG
|
| ----- Original Message -----
| From: "Gitanshu Buch" <OnWingsOfEagles@xxxxxxxxxxxxx>
| To: <metastock@xxxxxxxxxxxxx>
| Cc: <realtraders@xxxxxxxxxxxxxxx>
| Sent: Monday, December 27, 1999 7:46 PM
| Subject: Heat Map explained
|
|
| > Before this gets overblown into some needless controversy - I am
| explaining
| > what this spreadsheet is all about right here.
| >
| > The reasons this spreadsheet was not uploaded to RT/Metastock before
were
| >
| > - simply because I thought nobody here would be interested, hence it
was
| > shared with a few close friends before the public release @ Microsoft
| > MoneyCentral.
| >
| > - I felt kinda embarrassed tooting my own horn.
| >
| > It seems to me that the latter was a needless concern. Grandma phrases
| like
| > God helps those who help themselves etc etc come to mind.
| >
| > Here is how this started:
| >
| > Jon Markman, an author (ex LA Times, now Microsoft, and responsible for
a
| > bestseller entitled Online Investing) wrote an article publishing some
of
| > his research on stock-specific seasonality.
| >
| > This research was astounding to me - in its simplicity, and
verifiability.
| >
| > Here is that article:
| > http://moneycentral.msn.com/articles/invest/models/4804.asp
| >
| > Independently, and unrelated to the above, I have observed and traded
| > seasonal patterns successfully in the energy derivatives complex. My
work
| > has been visual converted to Excel, clumsy, but gratifying since it has
| been
| > profitable.
| >
| > I got to know him, and we started exchanging ideas. One thing led to the
| > other, I did the index research, put it on a user-friendly spreadsheet,
| and
| > shared it with Jon. He got excited, and wrote it up in an article at
their
| > website.
| >
| > This started out as a discovery. It is aquiring a life of its own -
| perhaps
| > the way of the world in internet time - for that has since resulted in
| about
| > 200 emails in the past 3 weeks from strangers seeking investment advice,
a
| > book offer from someone in London, and assorted other flora and fauna.
| >
| > Now.
| >
| > Do I care it gets mass-distributed? Heck, no. This wouldn't be in public
| > domain otherwise.
| >
| > The spreadsheet focusses on indices that have liquid, tradeable options
| > because that sphere is where I trade the funds I manage and that is
where
| I
| > can find direct measurable portfolio impact.
| >
| > However, that work has now expanded to include Fidelity Select Sector
| Funds,
| > and I am happy to share that work here if anybody is interested. Fund
data
| > is currently inaccurately adjusted for dividends/distributions and
being
| > cross-checked - but the trends exist and the trends are tradeable and I
| > intend to trade them with real money come Jan 2000.
| >
| > The following is the text of what was sent to Jon before he wrote it up
in
| > his article - which is at this url.
| > http://moneycentral.msn.com/articles/invest/models/4950.asp
| >
| > Microsoft owns all the copyrights for all urls referenced in this space.
| >
| > Finally, and once again - I mean no disrespect towards Mark the person -
| my
| > previous email was towards the act - which looked and felt like
plagarism
| in
| > the crude way the email landed in my face - I believe I asked for basic
| > decency out of sheer indignation.
| >
| > ====
| > The spreadsheet as explained:
| >
| > Sector picking (through Sector Mutual Funds or their tracking sector
| > stocks) - beat S&P 500 Indexing by a factor of 10 to 1 since 1994 using
NO
| > LEVERAGE. The results are remarkably better if individual stocks are
| chosen.
| >
| > Methodology:
| >
| > PRQs were tested across 150 companies in different industry sectors,
just
| to
| > establish the validity of the concept.
| >
| > Research then extended to 31 industry sector indices, for as far back as
| > sector index data could be found.
| >
| > This spreadsheet is the result of the industry sector research. It
| provides
| > a "Heat Map" for sector rotation that seems to evolve in the market.
| >
| > The Heat Map is set about as follows:
| >
| > Each column has data for a single index across the 12 months.
| >
| > Each row has data for a single month, across the page index.
| >
| > Green cells are "Best Months to Buy these sectors"
| >
| > Red cells are "Worst Months to Buy these sectors; conversely, best
months
| to
| > Short them".
| >
| > Blue cells are Best of Breed for the month, across all sectors
researched
| so
| > far.
| >
| > A summary of the best 3 sector returns for each month is listed in the
| > initial 3 gray columns, and the Benchmark index is S&P 500.
| >
| > To use this to its desired initial screening potential or even as a
| > standalone strategy, the reader would:
| >
| > Buy the best performing index for Dec at the Close on the last trading
day
| > of Nov.
| >
| > Rotate into the next month in similar fashion on the last trading day in
| > Dec.
| >
| > Assuming no leverage or transaction costs, the trader outperforms SnP
500
| > Indexing by the average factor listed in Row 21. (An outperform reading
of
| 1
| > equals the benchmark, of 0 under-performs, and of 10 beats the benchmark
| 10
| > to 1).
| >
| > The trader would further research the index components' chart patterns
and
| > PRQs for individual stock selection. This component list (and where
given,
| > weight within the index) is hyperlinked with the Index name in Row 2.
Just
| > have an internet connection handy.
| >
| > The work-in-progress is as follows:
| >
| > I am PRQ'ing sector components, and then doing the Heat Map for each
stock
| > in that sector at Month Level.
| >
| > The Month level will then be imploded to explore the best weeks in the
| month
| > to hold that stock, or its options. Given that this data captures an
| entire
| > month while options expire on the third Friday of each month, there will
| be
| > some fine-tuning. But the core concept seems to be ready to be set in
| > stone - the findings are really exciting:
| >
| > Some Findings:
| >
| > A/ Forest and Paper Products is the best performing sector in April of
| every
| > year. FPP appreciates better than SPX by a factor of 10. Better than
| > Internets, Semis, Banks, you name it. This is consistent with Jon's
| original
| > PRQ article and his experience with Dow 30 component Cyclicals.
| >
| > B/ Semiconductors have a tendency to outperform the rest of the world
and
| > their own annual buy-and-hold results in the January, April, and July of
| > each year - notably, these are the first months in every quarter.
| >
| > C/ Networking stocks are best bought in April and held through July.
This
| > beats the SPX by a factor of 9 to 1 during the same period.
| >
| > D/ While September is billed to be the worst month for the market
(true),
| > the sectors studied actually end up losing the most of their value in
| > August. This leads me to believe that the September under-performance
| > catches up with the not-too-favored stocks that make up the general
index,
| > while the real damage in the market's YTD faves happens in August.
| >
| > E/ Contrary to current popular belief, Oil prices, Oil sector stocks and
| > Airline stocks can, and do rally together - the spreadsheet will show
that
| > these sectors simultaneously outperform the rest of the world (including
| > Internet stocks) in March of each year.
| >
| > F/ Airlines again outperform the universe in Oct and Nov each year, but
| Oil
| > sector stocks curiously decline in this period.
| >
| > G/ While on Oil: This is the classic Anti-January effect sector. The
| sector
| > plunges >5% on average every year, (the worst performer of the universe)
| > making it a prime candidate for shorting during the month.
| >
| > H/ The best January Effect halo exists over Brokers, Semiconductors, and
| > Internets. While other sectors do find investor enthusiasm, it appears
| that
| > following the crowd while ignoring these 3 sectors obligate you to
| > mediocrity, for you give up >4 to 1 returns in a generally strong
market.
| >
| > I/ There is something to be said about being defensive. Drug related
| > sectors, for example, typically outperform the benchmark during the
| market's
| > weak period in Aug-Sep. But within the drug sector, the more momentum
| driven
| > Biotech sector is better owned than the Mercks of the world.
| >
| > Next steps for me:
| >
| > Sector-Component Level seasonality
| > Week-of-month seasonality at Sector and Component Level.
| > Trading Instrument choice and Trading Plan finalization.
| > Since I now have a general heat map, I will start with sectors that
enjoy
| > their best seasonality in Dec and Jan. If you are interested, I will
send
| > these spreadsheets over.
| >
| > Weaknesses/Shortcomings noticed so far:
| >
| > a. Data inconsistency: Index measurements start from different dates in
| > history, a little skew may exist.
| > b Multiple index participation: Lots of stocks appear in multiple index
| > standings.
| > c. Unknown reasons for some stock exclusions: For eg, the SnP Bank Index
| > (BIX) does not have Citibank as a component. Go figure.
| > d. Bad data on MSN/CSI database. Can't use it unless manually washed.
| > e. From a trader's perspective, given today's ATR, a lot of these
numbers
| > seem miniscule - a whole month's performance can be reached within a
week
| or
| > less.
| >
| > Comments welcome.
| >
| > Gitanshu
| >
| >
|
|
|