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--- In equismetastock@xxxxxxxxxxxxxxx, awcalhouncrew <no_reply@xxxx>
wrote:
> Wow! This discussion has really opened my eyes to some new ideas. I'm
> really enjoying this. Thanks!
>
> AW
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, superfragalist <no_reply@xxxx>
> wrote:
> > Just to be on the side of clarity, I'm not trying to discourage
> anyone
> > from trading with moving averages. I use them all the time.
> >
> > The system I mentioned using smoothed moving averages is of course
> > still a moving average system.
> >
> > Even when transforms like Laguerre or the Distant Coefficient filter
> > are used, they are still a moving average that has had the rough
> edges
> > filed off.
> >
> > You can mix non-traditional moving averages like the variable moving
> > average un-smoothed with the smoothed exit I described and find some
> > very good performing combinations.
> >
> > You did a very nice job on the code, Preston. People can use it with
> > the comfort of knowing it was done right.
> >
> > A lot of the code floating around on the internet is poor and
> doesn't
> > always give the right values. Let the user beware.
> >
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxxx>
> wrote:
> > > Super,
> > >
> > > You are correct about the article...problems were losses and
> > > drawdowns. Going back and reviewing the entry/exit rules I see
> some
> > > big system flaws.
> > >
> > > First, entry was when the indicator reached 100. Second, the exit
> was
> > > when the indicator feel below zero. Finally, this was a long only
> > > system.
> > >
> > > Looking at the drawdown chart, you can see that the huge
> drawdowns
> > > started in 2000. Weren't we in a bear market?
> > >
> > > My opinion, the system has some serious design flaws but by
> making a
> > > few changes and using this for the tool that it is, I believe it
> can
> > > be turned into a profitable system.
> > >
> > > A couple more points to be made here.
> > >
> > > First, the market does not trend all the time. I've heard counts
> of
> > > only 20%. That may be true but not all stocks trend at the same
> time.
> > > Which opens the door for the final observation which is selection
> > > screening. You mentioned some great prescreening indexes. There
> are
> > > others as well. What we have to remember is that indexes have
> losers
> > > too so just jumping in and selecting from these indexes will not
> > > guarantee success. Using the advance/decline to further screen
> out
> > > the deadwood will certainly improve your odds of success. The
> > > relative strength will also help in this regard.
> > >
> > > Thanks for your observations gentleman!
> > >
> > > BTW: I'm a retiree wanabee!
> > >
> > >
> > > Preston
> > >
> > >
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, superfragalist
> <no_reply@xxxx>
> > > wrote:
> > > > First MG, you definitely have my endorsement on your
> retirement, the
> > > > trend strength indicator is another issue.
> > > >
> > > > I've never gotten much out of Active Trader Magazine, and while
> this
> > > > particular system is better than a lot of the junk they test,
> it's
> > > got
> > > > too many issues for me to feel comfortable with it.
> > > >
> > > > It's very similar to Guppy's multiple moving average system. I
> like
> > > > Guppy's as a visual aid in identifying trends, and the use of
> > > mulitple
> > > > moving averages reduces whipsaws to some extent.
> > > >
> > > > Both systems work better on futures than on stocks. The two big
> > > > problems with this system and other systems based on similar
> > > > principles are the huge drawdowns and the long periods of many
> loses
> > > > in a row. The average trader is never going to stick to a
> system
> > > with
> > > > those kinds of problems.
> > > >
> > > > I like the quote in the magazine that says the system recovers
> from
> > > > it's 20% drawdowns pretty quickly. This is an example of how
> looking
> > > > at a graph is far different than looking at your wallet. The
> pretty
> > > > picture says "ah, my pretty litle red chart, you look so good."
> > > > Looking in your wallet says "I feel like I need to throw up,
> you
> > > got a
> > > > bag I could use."
> > > >
> > > > Part of the issue can be avoided by staying out of the market
> when
> > > > it's in a downtrend. That can be seen by applying the same
> indicator
> > > > to the indexes and then adding in an advancing/declining issues
> > > > indicator. The two of them together pretty much define the
> trend.
> > > >
> > > > However, even if a trader does that, they would be out of the
> market
> > > > for long periods of time.
> > > >
> > > > The counter to this is "Well, you should simply short when the
> > > market
> > > > is going down." Okay, short away.
> > > >
> > > > The code is fun to play with but it's a bit of overkill. Many
> > > > indicators, especially smoothed indicators like the Inverse
> Fisher
> > > > Transform or the Laguerre Filter perform just as well or
> better. The
> > > > drawdowns are smaller and the periods out of the market are
> shorter.
> > > >
> > > > A lot of the really technical indicators that are smoothed can
> be
> > > > simulated to within a small fraction of the more complex. For
> > > example,
> > > > this simple Laguerre Transform
> > > >
> > > > g:=Input("Alpha",0.1,0.9,0.8);
> > > > L0:=((1-g)*MP()) + (g*PREV);
> > > > L1:=(-g*L0) + Ref(L0,-1) + (g*PREV);
> > > > L2:=(-g*L1) + Ref(L1,-1) + (g*PREV);
> > > > L3:=(-g*L2) + Ref(L2,-1) + (g*PREV);
> > > > (L0 + (2*L1) + (2*L2) + L3)/6
> > > >
> > > > can be approximated very closely by
> > > >
> > > > Mov(Mov(C,Period1,E),Period2,S)
> > > >
> > > > To trade this you pick the two periods for a buy with the
> closing
> > > > price of the stock crossing over the function and for the exit
> you
> > > > pick another set of periods for the close to cross as a sell.
> Longer
> > > > periods for Period1 and shorter periods for Period2 will
> probably
> > > work
> > > > the best.
> > > >
> > > > If you want to see a function like this really perform, rather
> than
> > > > trying to trade it on the entire market, use it on the ETFs
> only or
> > > > even better apply it to a list of prescreened stocks like the
> those
> > > > from Value Line, IBD, or the Stock Scouter.
> > > >
> > > > You can optimize it against those lists if you can find a few
> older
> > > > lists to work with. You'll need to use a date filter so you can
> load
> > > > enough bars into the tester for the function to work properly
> and
> > > > still allow you to limit the date range of the entry signals.
> > > >
> > > > The combination of those two things will outperform the results
> in
> > > > Active Trader by a wide margin, without the huge drawdowns.
> > > >
> > > > I can endorse that method and it will make you rich. Well, it
> will
> > > > make some people rich! But please feel free to retire anyway.
> > > >
> > > >
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999
> <no_reply@xxxx>
> > > wrote:
> > > > > Wow, I was catching up a bit during the weekend, stumbled on
> > > wabbit's
> > > > > initial modifications, and, after having thought you could
> speed
> > > up
> > > > > the original, posted my own variation. Then I noted the
> replies
> > > to it
> > > > > and now I feel as if I've walked straight into a trap!
> Anyhow,
> > > see my
> > > > > post as an illustration of how one could extend the system
> and
> > > modify
> > > > > the code when taking it outside of MSFL to speed it up in
> > > preparation
> > > > > for use with say an optimiser or Monte Carlo simulator.
> > > > >
> > > > > Anyhow, I am glad to hear that magazine found it works well.
> Note
> > > > > that there are many combinations, such as if the 10 day MA is
> > > above
> > > > > the 20 day MA, the 30 day MA and so on. Then if the 20 day
> MA is
> > > > > above the 30 day MA, the 40 day MA and so on. What we do
> with one
> > > > > neural net, is to calculate something like the following
> inputs
> > > > >
> > > > > Input 1 = C / 10 day MA - 1
> > > > > Input 2 = C / 20 day MA - 1
> > > > > Input 3 = 10 day / 20 day MA - 1
> > > > >
> > > > > etc.
> > > > >
> > > > > In the end, the close is compared to all moving averages and
> all
> > > > > moving averages are compared to one another. We feed this to
> the
> > > net
> > > > > that then tries to extract any historical patterns and voila!
> you
> > > have
> > > > > a trading model! I have no idea how this would perform on
> its
> > > own, as
> > > > > it forms part of a larger model, but it is encouraging if
> this
> > > type of
> > > > > indicator was found useful by others.
> > > > >
> > > > > Regards
> > > > > MG Ferreira
> > > > > TsaTsa EOD Programmer and trading model builder
> > > > > http://www.ferra4models.com
> > > > > http://fun.ferra4models.com
> > > > >
> > > > > --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999
> <no_reply@xxxx>
> > > > wrote:
> > > > > > Now, if you want to build a model using this indicator, you
> > > don't want
> > > > > > to calculate all those moving averages, as it will make any
> > > > > > optimisation process very slow. MSFL is slow by default,
> so
> > > you want
> > > > > > to speed up things anyhow, even if you are not optimising.
> So
> > > you
> > > > > > calculate just one indicator, the cumulative sum of the
> closes,
> > > and
> > > > > > use only that.
> > > > > >
> > > > > > You also want to test how many of these steps you should
> > > perform.
> > > > > > Should you use 5, 10, 15 or whatever. Also, you rebase the
> > > indicator
> > > > > > to somewhere between -1 and +1, so that it remains the same
> for
> > > all
> > > > > > combinations. You also rewrite it a bit so that divisions,
> > > which take
> > > > > > longer to do, become multiplications, and the new 'thing'
> > > becomes
> > > > > >
> > > > > > ----8<------------------
> > > > > >
> > > > > > {Trend Strength Indicator}
> > > > > > {for metastock, coded by P Umrysh}
> > > > > > {from the August 2005 issue of Active Trader Magazine}
> > > > > > {modified by wabbit 08Jul05}
> > > > > > {modified by MG Ferreira 09 Jul 05}
> > > > > >
> > > > > > PRD := INPUT("Enter periods",1,100,10);
> > > > > > STEP := INPUT("Enter step size",1,50,10);
> > > > > > NSTEP := INPUT("Enter number of steps",1,20,10);
> > > > > >
> > > > > > XX := Cum(C);
> > > > > >
> > > > > > SS :=
> > > > > > (C*PRD > (XX-Ref(XX,-PRD ))) +
> > > > > > (C*(PRD+ STEP) > (XX-Ref(XX,-PRD- STEP))) * (NSTEP> 1) +
> > > > > > (C*(PRD+ 2*STEP) > (XX-Ref(XX,-PRD- 2*STEP))) * (NSTEP> 2) +
> > > > > > (C*(PRD+ 3*STEP) > (XX-Ref(XX,-PRD- 3*STEP))) * (NSTEP> 3) +
> > > > > > (C*(PRD+ 4*STEP) > (XX-Ref(XX,-PRD- 4*STEP))) * (NSTEP> 4) +
> > > > > > (C*(PRD+ 5*STEP) > (XX-Ref(XX,-PRD- 5*STEP))) * (NSTEP> 5) +
> > > > > > (C*(PRD+ 6*STEP) > (XX-Ref(XX,-PRD- 6*STEP))) * (NSTEP> 6) +
> > > > > > (C*(PRD+ 7*STEP) > (XX-Ref(XX,-PRD- 7*STEP))) * (NSTEP> 7) +
> > > > > > (C*(PRD+ 8*STEP) > (XX-Ref(XX,-PRD- 8*STEP))) * (NSTEP> 8) +
> > > > > > (C*(PRD+ 9*STEP) > (XX-Ref(XX,-PRD- 9*STEP))) * (NSTEP> 9) +
> > > > > > (C*(PRD+10*STEP) > (XX-Ref(XX,-PRD-10*STEP))) * (NSTEP>10) +
> > > > > > (C*(PRD+11*STEP) > (XX-Ref(XX,-PRD-11*STEP))) * (NSTEP>11) +
> > > > > > (C*(PRD+12*STEP) > (XX-Ref(XX,-PRD-12*STEP))) * (NSTEP>12) +
> > > > > > (C*(PRD+13*STEP) > (XX-Ref(XX,-PRD-13*STEP))) * (NSTEP>13) +
> > > > > > (C*(PRD+14*STEP) > (XX-Ref(XX,-PRD-14*STEP))) * (NSTEP>14) +
> > > > > > (C*(PRD+15*STEP) > (XX-Ref(XX,-PRD-15*STEP))) * (NSTEP>15) +
> > > > > > (C*(PRD+16*STEP) > (XX-Ref(XX,-PRD-16*STEP))) * (NSTEP>16) +
> > > > > > (C*(PRD+17*STEP) > (XX-Ref(XX,-PRD-17*STEP))) * (NSTEP>17) +
> > > > > > (C*(PRD+18*STEP) > (XX-Ref(XX,-PRD-18*STEP))) * (NSTEP>18) +
> > > > > > (C*(PRD+19*STEP) > (XX-Ref(XX,-PRD-19*STEP))) * (NSTEP>19);
> > > > > >
> > > > > > ( 2*SS - NSTEP ) / NSTEP
> > > > > >
> > > > > > ----8<------------------
> > > > > >
> > > > > >
> > > > > > Now, this looks bad but is easily done using any
> programming
> > > language
> > > > > > where loops are allowed. All those lines that form part of
> the
> > > sum SS
> > > > > > are done inside this loop as a fairly simple addition. The
> > > loop ends
> > > > > > at the right spot, so that the multipliation with NSTEP >
> xx
> > > falls
> > > > away.
> > > > > >
> > > > > > I also am not sure about MSFL, but this function is
> supposed to
> > > be
> > > > > > very fast. In a normal programming language, at each step,
> you
> > > just
> > > > > > update xx as XX = XX + C. XX starts at 0. MSFL does not
> allow
> > > this,
> > > > > > so the one difference between this function and the
> original is
> > > that
> > > > > > it starts one observation later than the original. Again,
> in a
> > > real
> > > > > > programming language, this would not be the case.
> > > > > >
> > > > > > Now, if only super can endorse the trading qualities of
> this new
> > > > > > indicator I can sell it to the world and retire early.....
> > > > > >
> > > > > > Regards
> > > > > > MG Ferreira
> > > > > > TsaTsa EOD Programmer and trading model builder
> > > > > > http://www.ferra4models.com
> > > > > > http://fun.ferra4models.com
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "bellamy_29m"
> > > > > > <bellamy_29m@xxxx> wrote:
> > > > > > > Similar results (0-10) instead of -100 to 100 with
> simpler
> > > code:
> > > > > > >
> > > > > > > {Trend Strength Indicator}
> > > > > > > {for metastock, coded by P Umrysh}
> > > > > > > {from the August 2005 issue of Active Trader Magazine}
> > > > > > > {modified by wabbit 08Jul05}
> > > > > > >
> > > > > > > PRD:= Input("ENTER PERIODS FOR SMA",1,100,10);
> > > > > > > STEP:= Input("ENTER SMA STEPS",1,50,10);
> > > > > > >
> > > > > > > (C>Mov(C,PRD+(STEP*0),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*1),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*2),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*3),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*4),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*5),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*6),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*7),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*8),S))+
> > > > > > > (C>Mov(C,PRD+(STEP*9),S))
> > > > > > >
> > > > > > > Hpe this helps.
> > > > > > >
> > > > > > > wabbit :D
> > > > > > >
> > > > > > > <snip>
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