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Greetings from South Africa
I am new to this newsletter and to charting and to Metastock. I got hold of
a version 6.52 just to see if I am compatable to this business and would ask
a lot of dumb questions in the hope that you experts will be able to give
good advice.
The first thing I want to know is how to write an indicator that can give
the gradient of a share over a spesified previous period e.g. gradient of a
line drawn from the closing price 20 days ago to the closing price today?
Can anybody help - please?
Regards
Schalk Pienaar
Manager Capital Investment Process
AngloPlatinum Corporation
schalkp@xxxxxxxxxxxxx
Tel: (011) 373-6410
Fax: (011) 373-5410
-----Original Message-----
From: owner-metastock-digest@xxxxxxxxxxxxxxxxxx
[mailto:owner-metastock-digest@xxxxxxxxxxxxxxxxxx]
Sent: 13 July 2001 12:50
To: metastock-digest@xxxxxxxxxxxxxxxxxx
Subject: metastock-digest V1 #1385
metastock-digest Friday, July 13 2001 Volume 01 : Number 1385
----------------------------------------------------------------------
Date: Tue, 10 Jul 2001 11:25:41 -0700
From: "Glen Wallace" <gcwallace@xxxxxxxx>
Subject: Re: TradeStation
> How is TradeStation superior? From what I have heard, many are
> unhappy with TradeStation due to the poor support, difficulty with
> "Easy Language", and moving to an online platform.
Others here can comment more knowledgeably than I, but the key
factor for me is the programming language itself -- it's more powerful
and flexible. Chuck LeBeau's chandelier exit, for example, is five lines
of EasyLanguage code, whereas my equivalent in MetaStock is 12
lines with a bunch of nested PREV statements. Don't get me wrong,
though; I think MetaStock is the superior application overall and
Equis is the better company to work with.
- ----- Original Message -----
From: "neo" <neo1@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, July 10, 2001 10:20 AM
Subject: TradeStation
> Glen
>
> No one else demonstrated it but when I called support they confirmed the
> problem. It was my mistake and theirs.
>
> How is TradeStation superior? From what I have heard, many are unhappy
with
> TradeStation due to the poor support, difficulty with "Easy Language", and
> moving to an online platform.
>
> neo
>
>
> ~ -----Original Message-----
> ~ From: owner-metastock@xxxxxxxxxxxxx
> ~ [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Glen Wallace
> ~ Sent: Tuesday, July 10, 2001 11:44 AM
> ~ To: MetaStock listserver
> ~ Subject: Re: System Tester
> ~
> ~ I was simply unable to duplicate the System Tester errors
> ~ you noted last week. Was anyone else able to duplicate it?
> ~
> ~ For more advanced system testing, TradeStation is the
> ~ standard.
> ~
> ~
> ~
> ~ ----- Original Message -----
> ~ From: neo
> ~ To: metastock@xxxxxxxxxxxxx
> ~ Sent: Monday, July 09, 2001 5:11 PM
> ~ Subject: System Tester
> ~
> ~ Because of the major flaws in MetaStock's System Tester,
> ~ does anyone know of another System Tester Program that
> ~ will work with MetaStock data and hopefully use the same
> ~ programming language?
> ~
> ~ neo
------------------------------
Date: Tue, 10 Jul 2001 16:59:53 -0400
X-Sybari-Space: 00000000 00000000 00000000 00000000
From: "Norman" <cutup2@xxxxxxxx>
Subject: Re: TradeStation
Neo Last month at the SIA show in NYC, I saw a demo of the new Trade
Station Institutional platform. They said the release was to be late
summer. It will be leased and Trade Station Securities will clear
through Bear Sterns. The program includes extended hours, commission
recapture, automatic direction of orders and a quote "trading desk to
maximize the value of our products and services" etc. Back tests can
be made on the spot while trading before placing an order.
Norm Wiss
cutup2@xxxxxxxx
- ----- Original Message -----
From: "neo" <neo1@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, July 10, 2001 1:20 PM
Subject: TradeStation
> Glen
>
> No one else demonstrated it but when I called support they confirmed
the
> problem. It was my mistake and theirs.
>
> How is TradeStation superior? From what I have heard, many are
unhappy with
> TradeStation due to the poor support, difficulty with "Easy
Language", and
> moving to an online platform.
>
> neo
>
>
> ~ -----Original Message-----
> ~ From: owner-metastock@xxxxxxxxxxxxx
> ~ [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Glen Wallace
> ~ Sent: Tuesday, July 10, 2001 11:44 AM
> ~ To: MetaStock listserver
> ~ Subject: Re: System Tester
> ~
> ~
> ~ I was simply unable to duplicate the System Tester errors
> ~ you noted last week. Was anyone else able to duplicate it?
> ~
> ~ For more advanced system testing, TradeStation is the
> ~ standard.
> ~
> ~
> ~
> ~ ----- Original Message -----
> ~ From: neo
> ~ To: metastock@xxxxxxxxxxxxx
> ~ Sent: Monday, July 09, 2001 5:11 PM
> ~ Subject: System Tester
> ~
> ~ Because of the major flaws in MetaStock's System Tester,
> ~ does anyone know of another System Tester Program that
> ~ will work with MetaStock data and hopefully use the same
> ~ programming language?
> ~
> ~ neo
> ~
> ~
>
>
------------------------------
Date: Tue, 10 Jul 2001 16:16:18 -0700
From: Murat Kuntel <mkuntel@xxxxxxxx>
Subject: A System
Hello folks,
I tried quite a bit today and could not formulate a system in Metastock
formula. In one hand I don't understand some of the syntax as well as
some of you, on the other hand there is something wrong in my PC, I even
could not replace my default template with a different one. In any case,
here is what I wanted to do. I want to try a system which buys when
Bressert's Cycles indicator (5) unit bottoms, makes a trough while MACD or
a slow Stoch for example (30,13,10) is rising, that is one of the two
between these trend showing indicators is rising. The system would close
the trade when the Cycles (5) peaks. For the short side I was going to
reverse it, but if anyone can help me with the long side, I can modify it
for the short side. I actually wanted to close the trade with a displaced
moving average and that does not appear to my eyes in the formula
language. For example exit when Close goes underneath 10 unit Moving
Average displaced 7 bars. Any help will be appreciated.
Murat
------------------------------
Date: Tue, 10 Jul 2001 20:39:02 -0700
From: "Sean Taylor" <cloudnine@xxxxxxxxxxxx>
Subject: RE: Daily/Weekly/Monthly charts
Thanks very much for your help.
I was thinking of including Weekly results with Daily as part of a system.
That means translating daily into weekly OR accessing weekly data.
Now I know I can't access weekly AND daily at the same time in the explorer
or an indicator so... I was thinking of getting the dev kit just to code a
simple SECURITY function. If you haven't gathered I'm using the EOD
version.
Now if it were just daily and weekly data, it probably would be easier to do
the translation in Metastock language but...I'm extremely keen to include
intermarket relationships. I just can't see how to do that without a
SECURITY function. If anybody else can, please let me know.
As for a function to access any security, I'll post it to the list if/when I
get there.
Thanks,
Sean
- -----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Lionel Issen
Sent: Tuesday, July 10, 2001 7:58 AM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Daily/Weekly/Monthly charts
In Metastock its the last Mon thru Fri. It is not a running 5 day week.
Lionel Issen
lissen@xxxxxxxxxxxxxx
- ----- Original Message -----
From: "Sean Taylor" <cloudnine@xxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Monday, July 09, 2001 11:10 PM
Subject: RE: Daily/Weekly/Monthly charts
> Anybody know how weekly data is calculated from daily?
> Is it the mean of the last complete week (i.e. M-F)? implying no value
until
> the Friday's closing prices are in!
>
> Thanks,
> Sean
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of kevin miles
> Sent: Friday, July 06, 2001 9:55 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Daily/Weekly/Monthly charts
>
>
> Sean,
>
> as far as i know, there should be no practical difference between a), and
> b), other than you are collecting more data.
>
> as far as i am concerned, daily data (and using the "change periods"
> option) should be just fine.
>
> best wishes.
>
> kevin
>
>
> ----- Original Message -----
> From: "Sean Taylor" <cloudnine@xxxxxxxxxxxx>
> To: "Metastock List" <metastock@xxxxxxxxxxxxx>
> Sent: Saturday, July 07, 2001 12:18 AM
> Subject: Daily/Weekly/Monthly charts
>
>
> > Hi,
> >
> > Can anybody tell me what the difference is between
> > a) downloading daily data and selecting the display to be
> > Daily/Weekly/Monthly
> > b) downloading Daily/Weekly/Monthly data charts i.e. 3 different charts.
> >
> > Thanks,
> > Sean
> >
>
------------------------------
Date: Wed, 11 Jul 2001 09:20:07 -0400
From: "neo" <neo1@xxxxxxxxx>
Subject: PREV function
This is a multi-part message in MIME format.
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I have been using MS Pro for over 1 1/2 years and I do not
understand the PREV function. It is not well explained in either
the manual or the help file. How does it differ from Ref(X,-1)?
I am trying to have a formula determine if I am long or short.
Any help?
neo
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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META http-equiv=3DContent-Type content=3D"text/html; =
charset=3Dwindows-1252">
<META content=3D"MSHTML 5.50.4616.200" name=3DGENERATOR></HEAD>
<BODY>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN =
class=3D590551513-11072001>I have=20
been using MS Pro for over 1 1/2 years and I do not understand the PREV=20
function. It is not well explained in either the manual or the help =
file. How=20
does it differ from Ref(X,-1)?</SPAN></FONT></DIV>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN=20
class=3D590551513-11072001></SPAN></FONT> </DIV>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN =
class=3D590551513-11072001>I am=20
trying to have a formula determine if I am long or =
short.</SPAN></FONT></DIV>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN=20
class=3D590551513-11072001></SPAN></FONT> </DIV>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN =
class=3D590551513-11072001>Any=20
help?</SPAN></FONT></DIV>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN=20
class=3D590551513-11072001></SPAN></FONT> </DIV>
<DIV><FONT face=3DArial color=3D#008080 size=3D4><SPAN=20
class=3D590551513-11072001>neo</SPAN></FONT></DIV></BODY></HTML>
- ------=_NextPart_000_000C_01C109EA.AD440D40--
------------------------------
Date: Thu, 12 Jul 2001 07:04:35 +1200
From: "Roy Larsen" <rlarsen@xxxxxxxxxxxxx>
Subject: Re: PREV function
Neo
Ref(X,-1) allows you to look at yesterdays (previous bar) value of an
ALREADY DEFINED variable (X).
Prev allows you to look at yesterdays value of the variable you are
CURRENTLY CREATING, and use that
value to determine or modify the value or status of the current day/bar.
Hence the term "self
referencing".
Roy
- ----- Original Message -----
From: "neo" <neo1@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, 12 July 2001 01:20
Subject: PREV function
> I have been using MS Pro for over 1 1/2 years and I do not
> understand the PREV function. It is not well explained in either
> the manual or the help file. How does it differ from Ref(X,-1)?
>
> I am trying to have a formula determine if I am long or short.
>
> Any help?
>
> neo
>
------------------------------
Date: Wed, 11 Jul 2001 13:18:24 -0700 (PDT)
From: Dave Nadeau <dave_nadeau@xxxxxxxxx>
Subject: Re: PREV function
Neo,
PREV in Metastock is a hugely resource-intensive way of setting and holding
a variable in the
formula language.
Before I give an example and comparison with Ref(), I want to make sure that
it's clear how
Metastock and most other programs will run code against any given chart.
When a chart is "loaded"
onto your screen, all of the OHLC values are held in an array as numbers.
Operations on that
array will progress from the lowest array position to the highest.
Visually, this means your indicator or system or any other object you've
created in Formula
Language will be evaluated bar by bar, starting from the earliest loaded bar
(Bar=1)all the way to
the latest, most recent bar (e.g. Bar=5000). So it moves from left to right
across your chart.
Let say you have an indicator that is usually zero. When the conditions for
this indicator all
line up, it becomes =1, then the next bar it's over and back to =0. Let say
that this happens on
Bar 5 of your chart. Then your indicator is 0 on Bar 2, 0 on Bar 3, 0 on
Bar 4, 1 on Bar 5, 0 on
Bar 6, ....
If you want to store this occurance of Indicator=1 in a variable, you have
to use PREV. Here's
what happens when you use Ref(Signal,-1):
Bar 2 shows Ref()=0, Bar 3 shows Ref()=0, Bar 4 shows Ref()=0, Bar 5 shows
Ref()=0, Bar 6 shows
Ref()=1, Bar 7 shows Ref()=0, Bar 8 shows Ref()=0,.....
But you want Bar 7 and Bar 8 etc. to =1 also.
To do that, you'd have to define a new variable and say that if Signal=0,
then the new variable is
equal to PREV, and if signal=1, then the new variable is equal to 1. Run
through this logic on
Bars 2 through 8 and you'll see that on Bar 5 the new variable becomes 1,
and on Bar 6, since the
signal=0, the new variable is equal to it's previous value, which is 1, and
on and on...
This new variable will stay =1 until you somehow "shut it off."
With regards to your point about finding a formula to determine if you are
long or short, you can
build on this work above. Suppose your Signal is your EnterLong conditions.
Your new variable
will stay=1 until you shut it off. You could shut it off by creating
Signal2 which is your
EnterShort signal.
So now, you have a way to change the value of your new variable. Let's call
your new variable
your TradePosition.
TradePosition:=If(EnterLong=1,1,If(EnterShort=1,-1,PREV),PREV);
Now you can look at your TradePosition and if it =1 then you are long, and
if it =-1 you are
short.
(I didn't check the syntax of the above Metastock expression, since I'm not
near my program right
now. I'm doing this all from memory--which ain't so great all the
time....<grin>.)
- -----WARNING!!! The PREV function is a huge resource drain. Try to avoid
its use wherever
possible, especially in real time trading systems!!!!!-------------
One workaround that's been discussed on this list is the following:
TradePosition:=If(BarsSince(EnterLong)<=BarsSince(EnterShort),1,-1);
is very similar to the above statement, but misses the first Long or Short
trade, whichever
happens first.
- ------------------------------
Neo, you recently asked about Tradestation and why it is considered the
"standard." In this
example, Tradestation has a built in function called MarketPosition which
does everything I've
built up to above, so you can avoid all of the coding and logic, and just
use
{EasyLanguage example: if you are long, apply a Chandelier Exit for a
stoploss}
If MarketPosition=1 then ExitLong MaxTradeHigh - (3 * AvgTrueRange(20))
Stop;
all in one statement which runs very quickly on a real time chart. Compare
this with some other
recent posts of Metastock Formula Language solutions to the Chandelier
Exit....
Dave Nadeau
Fort Collins, CO
- --- neo <neo1@xxxxxxxxx> wrote:
> I have been using MS Pro for over 1 1/2 years and I do not
> understand the PREV function. It is not well explained in either
> the manual or the help file. How does it differ from Ref(X,-1)?
>
> I am trying to have a formula determine if I am long or short.
>
> Any help?
>
> neo
>
__________________________________________________
Do You Yahoo!?
Get personalized email addresses from Yahoo! Mail
http://personal.mail.yahoo.com/
------------------------------
Date: Wed, 11 Jul 2001 18:10:40 -0400
From: Herman van den Bergen <psytek@xxxxxxxx>
Subject: Re: PREV function
At 01:18 PM 7/11/01 -0700, you wrote:
>...TradePosition:=If(EnterLong=1,1,If(EnterShort=1,-1,PREV),PREV);
One too many PREVs :-) but you've got a better memory than I would have
without my computer!
try:
TradePosition:=If(EnterLong=1,1,If(EnterShort=1,-1,PREV));
or:
TradePosition:=If(EnterLong,1,If(EnterShort,-1,PREV));
Happy trading
Herman.
>Now you can look at your TradePosition and if it =1 then you are long, and
if it =-1 you are
>short.
>
>(I didn't check the syntax of the above Metastock expression, since I'm
not near my program right
>now. I'm doing this all from memory--which ain't so great all the
time....<grin>.)
>...
------------------------------
Date: Thu, 12 Jul 2001 17:10:42 +0800
From: hcong <hcong@xxxxxxxxxxxxxx>
Subject: Sytem Testing Question: Multiple Contracts
Hi List Member,
As far as I know, Metastock do not allow testing of multiple contracts
in one single security. I think (have not try yet) combining multiple
testing report can get the same effect, but I am looking for easilier
way.
So the question here is: is there an easilier way? What about amibroker
and other alternative?
Any advice is very much appreciated.
- --
Regards.
Ong Hock Choon
hcong@xxxxxxxxxxxxxx
------------------------------
Date: Thu, 12 Jul 2001 16:03:58 +0100
From: leo.timmermans.lt@xxxxxxxxxxxxxxxx
Subject: Sector analysis
Hello,
Does anybody know if the 10 major SP500 sector indices (utilities,
telecommunications,...) have tickersymbols
and can be downloaded from e.g. yahoo ??
Kind regards
Leo
------------------------------
Date: Thu, 12 Jul 2001 08:09:26 -0700
From: "Allan Wade" <allanwade@xxxxxxxx>
Subject: RE: Sector analysis
Hello Leo,
Go to http://www.spglobal.com/indexmain1500_data.html
This is a link to the S&P SuperComposite 1500 Index.
You will see a link to download the S&P 1500 in Excel or CSV format. There
is a lot of info there including what sector/industry the stock is part of
(GICS). I believe these map to the various S&P sector indexes.
The GICS classifications are described at http://www.spglobal.com/gics.html.
These descriptions almost duplicate the names of the S&P sectors.
It also lists which of the 3 S&P major indexes (S&P 400, S&P 500, or S&P
600) the stock is a member of.
Allan Wade
Phoenix, AZ
email: allanwade@xxxxxxxx
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]
On Behalf Of leo.timmermans.lt@xxxxxxxxxxxxxxxx
Sent: Thursday, July 12, 2001 8:04 AM
To: metastock@xxxxxxxxxxxxx
Subject: Sector analysis
Hello,
Does anybody know if the 10 major SP500 sector indices (utilities,
telecommunications,...) have tickersymbols
and can be downloaded from e.g. yahoo ??
Kind regards
Leo
------------------------------
Date: Thu, 12 Jul 2001 08:40:17 -0700
From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
Subject: Naz 100 futures buy and hold system
I wonder if anyone has any thoughts on the following system.
Assuming one has the necessary capitalization and patience, would it work?
Rules
1. Go long only.
2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400, etc. all
the way down or all the way
up!
3. Sell each contract only when it reaches a 100 point profit.
4. Rollover if necessary.
Obviously if one had begun this strategy when the Naz was at 4000 or 5000,
one would have a lot of
still open positions.
But given where we are now, doesn't the risk/reward seem reasonable?
I seem to remember that a similar strategy was pursued with gold and silver
futures in the 1970's.
Buying and holding the Naz emini has the advantages of diversification and
leverage. I know a lot of
people
who are playing a similar game with the QQQ's, but they don't have quite the
leverage.
If the long, long term trend is NOT up, is this strategy still viable?
Do you think that slippage from rollover's will have too great an impact?
Best regards,
Matthew Kratter
------------------------------
Date: Thu, 12 Jul 2001 12:53:02 EDT
From: CRLeBeau@xxxxxxx
Subject: Re: Naz 100 futures buy and hold system
- --part1_75.177246e7.287f2fee_boundary
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In a message dated 7/12/01 9:38:13 AM Pacific Daylight Time,
mkratter@xxxxxxxxxxxxx writes:
> I wonder if anyone has any thoughts on the following system.
> Assuming one has the necessary capitalization and patience, would it work?
>
> Rules
>
> 1. Go long only.
> 2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400, etc. all
> the way down or all the way
> up!
> 3. Sell each contract only when it reaches a 100 point profit.
> 4. Rollover if necessary.
>
>
This is a strategy widely known as "scale trading".
It takes a lot of capital to make it work. You also need to use "last in -
first out" accounting.
The hidden danger is a prolonged down market where you wind up holding a
huge
position of big losers and run out of capital. It also violates the common
axiom of "cut your losses and let your profits run". This strategy holds
losers forever and always takes small profits.
It might work in particular circumstances but be careful about using this
strategy on a regular basis.
Chuck LeBeau
- --part1_75.177246e7.287f2fee_boundary
Content-Type: text/html; charset="US-ASCII"
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<HTML><FONT FACE=arial,helvetica><FONT SIZE=2>In a message dated 7/12/01
9:38:13 AM Pacific Daylight Time,
<BR>mkratter@xxxxxxxxxxxxx writes:
<BR>
<BR>
<BR><BLOCKQUOTE TYPE=CITE style="BORDER-LEFT: #0000ff 2px solid;
MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px">I wonder if anyone
has any thoughts on the following system.
<BR>Assuming one has the necessary capitalization and patience, would it
work?
<BR>
<BR>Rules
<BR>
<BR>1. Go long only.
<BR>2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400, etc.
all
<BR>the way down or all the way
<BR>up!
<BR>3. Sell each contract only when it reaches a 100 point profit.
<BR>4. Rollover if necessary.
<BR>
<BR></BLOCKQUOTE>
<BR>
<BR>This is a strategy widely known as "scale trading".
<BR>
<BR>It takes a lot of capital to make it work. You also need to use
"last in -
<BR>first out" accounting.
<BR>
<BR>The hidden danger is a prolonged down market where you wind up holding a
huge
<BR>position of big losers and run out of capital. It also violates
the common
<BR>axiom of "cut your losses and let your profits run". This strategy
holds
<BR>losers forever and always takes small profits.
<BR>
<BR>It might work in particular circumstances but be careful about using
this
<BR>strategy on a regular basis.
<BR>
<BR>Chuck LeBeau</FONT></HTML>
- --part1_75.177246e7.287f2fee_boundary--
------------------------------
Date: Thu, 12 Jul 2001 13:01:05 -0400
From: "John Manasco" <john@xxxxxxxxxxx>
Subject: Re: Naz 100 futures buy and hold system
- ----- Original Message -----
From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, July 12, 2001 11:40 AM
Subject: Naz 100 futures buy and hold system
> I wonder if anyone has any thoughts on the following system.
> Assuming one has the necessary capitalization and patience, would it work?
>
> Rules
>
> 1. Go long only.
> 2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400, etc. all
the way down or all the way
> up!
> 3. Sell each contract only when it reaches a 100 point profit.
> 4. Rollover if necessary.
>
> Obviously if one had begun this strategy when the Naz was at 4000 or 5000,
one would have a lot of
> still open positions.
Sure if you have a several billion dollar capitalization because right now
you would be holding on to a several billion dollar loss.
------------------------------
Date: Thu, 12 Jul 2001 10:44:35 -0700
From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
Subject: Re: Naz 100 futures buy and hold system
This is a multi-part message in MIME format.
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John,
I was actually thinking of the Naz emini.
If one starting going long at 4800, 4700, etc. and bought all the way down,
one would need a capitalization of $1,178,000 if we assume the NQ is
currently
at 1750 (see attached Excel spreadsheet)
This obviously ignores rollover slippage and commissions,
but it is a far cry from your "several billion dollars capitalization."
I actively trade the Emini and have a capitalization much much less than
this,
so I am not about to follow this strategy.
But I *am* interested in it as a thought experiment. One could imagine
doing
the same thing with the QQQ's,
buying 100 shares each time it goes down a point.
Thanks to John and Chuck for their replies.
Matt
John Manasco wrote:
> ----- Original Message -----
> From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Thursday, July 12, 2001 11:40 AM
> Subject: Naz 100 futures buy and hold system
>
> > I wonder if anyone has any thoughts on the following system.
> > Assuming one has the necessary capitalization and patience, would it
work?
> >
> > Rules
> >
> > 1. Go long only.
> > 2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400, etc.
all
> the way down or all the way
> > up!
> > 3. Sell each contract only when it reaches a 100 point profit.
> > 4. Rollover if necessary.
> >
> > Obviously if one had begun this strategy when the Naz was at 4000 or
5000,
> one would have a lot of
> > still open positions.
>
> Sure if you have a several billion dollar capitalization because right now
> you would be holding on to a several billion dollar loss.
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Date: Thu, 12 Jul 2001 10:47:52 -0700
From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
Subject: Re: Naz 100 futures buy and hold system
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Thanks for your reply, Chuck.
How does one specify last-in-first-out accounting if one is doing all of
the trades
in the same futures account? Do you know how one documents this for the
IRS?
Does it make a difference if one does it in different futures accounts?
Thanks so much for taking
the time to answer my questions! I appreciate it.
All the best
Matt Kratter
CRLeBeau@xxxxxxx wrote:
> In a message dated 7/12/01 9:38:13 AM Pacific Daylight Time,
> mkratter@xxxxxxxxxxxxx writes:
>
>
>
>> I wonder if anyone has any thoughts on the following system.
>> Assuming one has the necessary capitalization and patience, would it
>> work?
>>
>> Rules
>>
>> 1. Go long only.
>> 2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400,
>> etc. all
>> the way down or all the way
>> up!
>> 3. Sell each contract only when it reaches a 100 point profit.
>> 4. Rollover if necessary.
>>
>
> This is a strategy widely known as "scale trading".
>
> It takes a lot of capital to make it work. You also need to use "last
> in -
> first out" accounting.
>
> The hidden danger is a prolonged down market where you wind up holding
> a huge
> position of big losers and run out of capital. It also violates the
> common
> axiom of "cut your losses and let your profits run". This strategy
> holds
> losers forever and always takes small profits.
>
> It might work in particular circumstances but be careful about using
> this
> strategy on a regular basis.
>
> Chuck LeBeau
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<html>
Thanks for your reply, Chuck.
<p>How does one specify last-in-first-out accounting if one is doing all
of the trades
<br>in the same futures account? Do you know how one documents this
for the IRS?
<br>Does it make a difference if one does it in different futures
accounts?
Thanks so much for taking
<br>the time to answer my questions! I appreciate it.
<p>All the best
<br>Matt Kratter
<p>CRLeBeau@xxxxxxx wrote:
<blockquote TYPE=CITE><font face="arial,helvetica"><font size=-1>In a
message
dated 7/12/01 9:38:13 AM Pacific Daylight Time,</font></font>
<br><font face="arial,helvetica"><font size=-1>mkratter@xxxxxxxxxxxxx
writes:</font></font>
<br>
<br>
<blockquote TYPE=CITE style="BORDER-LEFT: #0000ff 2px solid; MARGIN-LEFT:
5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px"><font
face="arial,helvetica"><font size=-1>I
wonder if anyone has any thoughts on the following system.</font></font>
<br><font face="arial,helvetica"><font size=-1>Assuming one has the
necessary
capitalization and patience, would it work?</font></font>
<p><font face="arial,helvetica"><font size=-1>Rules</font></font>
<p><font face="arial,helvetica"><font size=-1>1. Go long only.</font></font>
<br><font face="arial,helvetica"><font size=-1>2. Buy the front month Naz
emini at 1800, 1700, 1600, 1500, 1400, etc. all</font></font>
<br><font face="arial,helvetica"><font size=-1>the way down or all the
way</font></font>
<br><font face="arial,helvetica"><font size=-1>up!</font></font>
<br><font face="arial,helvetica"><font size=-1>3. Sell each contract only
when it reaches a 100 point profit.</font></font>
<br><font face="arial,helvetica"><font size=-1>4. Rollover if
necessary.</font></font>
<br> </blockquote>
<p><font face="arial,helvetica"><font size=-1>This is a strategy widely
known as "scale trading".</font></font>
<p><font face="arial,helvetica"><font size=-1>It takes a lot of capital
to make it work. You also need to use "last in -</font></font>
<br><font face="arial,helvetica"><font size=-1>first out"
accounting.</font></font>
<p><font face="arial,helvetica"><font size=-1>The hidden danger is a
prolonged
down market where you wind up holding a huge</font></font>
<br><font face="arial,helvetica"><font size=-1>position of big losers and
run out of capital. It also violates the common</font></font>
<br><font face="arial,helvetica"><font size=-1>axiom of "cut your losses
and let your profits run". This strategy holds</font></font>
<br><font face="arial,helvetica"><font size=-1>losers forever and always
takes small profits.</font></font>
<p><font face="arial,helvetica"><font size=-1>It might work in particular
circumstances but be careful about using this</font></font>
<br><font face="arial,helvetica"><font size=-1>strategy on a regular
basis.</font></font>
<p><font face="arial,helvetica"><font size=-1>Chuck
LeBeau</font></font></blockquote>
</html>
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Date: Thu, 12 Jul 2001 20:15:30 +0200
From: MikeSuesserott@xxxxxxxxxxx (MikeSuesserott)
Subject: AW: Naz 100 futures buy and hold system
Hi Matthew,
there is a book by R. Wiest, "You can't lose trading commodities", which is
about this strategy. You might also have a look at www.scaletrading.com.
Not that I would advocate this type of trading - except perhaps as a
spectator sport.
Best wishes,
Michael Suesserott
> -----Ursprungliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Matthew R. Kratter
> Gesendet: Thursday, July 12, 2001 17:40
> An: metastock@xxxxxxxxxxxxx
> Betreff: Naz 100 futures buy and hold system
>
>
> I wonder if anyone has any thoughts on the following system.
> Assuming one has the necessary capitalization and patience, would it work?
>
> Rules
>
> 1. Go long only.
> 2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400,
> etc. all the way down or all the way
> up!
> 3. Sell each contract only when it reaches a 100 point profit.
> 4. Rollover if necessary.
>
> Obviously if one had begun this strategy when the Naz was at 4000
> or 5000, one would have a lot of
> still open positions.
> But given where we are now, doesn't the risk/reward seem reasonable?
>
> I seem to remember that a similar strategy was pursued with gold
> and silver futures in the 1970's.
>
> Buying and holding the Naz emini has the advantages of
> diversification and leverage. I know a lot of
> people
> who are playing a similar game with the QQQ's, but they don't
> have quite the leverage.
>
> If the long, long term trend is NOT up, is this strategy still viable?
>
> Do you think that slippage from rollover's will have too great an impact?
>
> Best regards,
> Matthew Kratter
>
------------------------------
Date: Thu, 12 Jul 2001 15:36:29 -0400
From: "John Manasco" <john@xxxxxxxxxxx>
Subject: Re: Naz 100 futures buy and hold system
Matthew I obviously exaggerate but do I read your spreadsheet right where it
says the system has so far lost $961,000? I don't get it. I sometimes scale
into a position but I do it going up, not down. I'm not prepared to scale
into pullbacks like the NAZ has had over the last two years.
John Manasco
- ----- Original Message -----
From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, July 12, 2001 1:44 PM
Subject: Re: Naz 100 futures buy and hold system
> John,
>
> I was actually thinking of the Naz emini.
> If one starting going long at 4800, 4700, etc. and bought all the way
down,
> one would need a capitalization of $1,178,000 if we assume the NQ is
currently
> at 1750 (see attached Excel spreadsheet)
> This obviously ignores rollover slippage and commissions,
> but it is a far cry from your "several billion dollars capitalization."
>
> I actively trade the Emini and have a capitalization much much less than
this,
> so I am not about to follow this strategy.
> But I *am* interested in it as a thought experiment. One could imagine
doing
> the same thing with the QQQ's,
> buying 100 shares each time it goes down a point.
>
> Thanks to John and Chuck for their replies.
>
> Matt
>
> John Manasco wrote:
>
> > ----- Original Message -----
> > From: "Matthew R. Kratter" <mkratter@xxxxxxxxxxxxx>
> > To: <metastock@xxxxxxxxxxxxx>
> > Sent: Thursday, July 12, 2001 11:40 AM
> > Subject: Naz 100 futures buy and hold system
> >
> > > I wonder if anyone has any thoughts on the following system.
> > > Assuming one has the necessary capitalization and patience, would it
work?
> > >
> > > Rules
> > >
> > > 1. Go long only.
> > > 2. Buy the front month Naz emini at 1800, 1700, 1600, 1500, 1400, etc.
all
> > the way down or all the way
> > > up!
> > > 3. Sell each contract only when it reaches a 100 point profit.
> > > 4. Rollover if necessary.
> > >
> > > Obviously if one had begun this strategy when the Naz was at 4000 or
5000,
> > one would have a lot of
> > > still open positions.
> >
> > Sure if you have a several billion dollar capitalization because right
now
> > you would be holding on to a several billion dollar loss.
>
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