PureBytes Links
Trading Reference Links
|
Title: Message
ooppsss..
you
are just about to enter dangerous waters!
it is
the best decision time right at this point. you can retreat and have a happy
life or take your chance and 95% get hurt.
look
reef right a head !!!
may
the force be with you..
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>
---- LSpots keywords ?>
SPONSORED
LINKS
---- LSpots keywords ?>
---- HM ADS ?>
YAHOO! GROUPS LINKS
|