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Steve,
You mention a file you sent along and then you do a walk through of
the trade. I don't see the file anywhere. How do I get it?
Big Papa.
--- In equismetastock@xxxxxxxxxxxxxxx, Lee Lucas <leeontherun@xxx>
wrote:
>
>
> Thanks Preston,
> and Steve,
>
> I don't know why I couldn't find these in the Metastock help file
in the first place. I must be suffering Analysis Paralysis...
>
> Lee.
>
>
>
> To: equismetastock@xxx: no_reply@xxx: Wed, 2 Jul 2008 12:06:08
+0000Subject: Re: [EquisMetaStock Group] Low Volatility Stocks...RSI
>
>
>
>
> Lee,Ever thought of usingStandard ErrorSYNTAX ste( DATA ARRAY,
PERIODS )FUNCTION Calculates the predefined Standard
Errorindicator.EXAMPLE ste( CLOSE, 21 )Standard Error Band
BottomSYNTAX stebandbot( DATA ARRAY, PERIODS,ERRORS )FUNCTION
Calculates the bottom Standard Error Bandof DATA ARRAY shifted
downwardERRORS standard errors.EXAMPLE stebandbot( close, 21, 2 )
Standard Error Band TopSYNTAX stebandbot( DATA ARRAY,
PERIODS,ERRORS )FUNCTION Calculates the upper Standard Error Bandof
DATA ARRAY shifted upwardERRORS standard errors.EXAMPLE stebandtop(
close, 21, 2 )Basically:ste(CLOSE,21);stebandbot
(close,21,2);stebandtop(close,21,2);Preston--- In
equismetastock@xxxxxxxxxxxxxxx, Lee Lucas <leeontherun@> wrote:>> >
Hi Steve,> > Looks like some excellent results! I have a very
similar plan on the S&P500 using long term Moving Averages with
vertical % adjustments as upper and lower bands which seems to work
very well.> > You got me intrigued to look into your plan. I looked
into Standard Error bands and found a complex formula that still has
some minor errors in some calculations...> >
http://trader.online.pl/MSZ/e-w-Standard_Error_Bands.html> > I was
able to modify these with optimisations but quite frankly I don't
trust the original formula and it's too complex for me to invest
time into resolving.> > Can you offer any site reference or simple
formulas to calculate standard error bands so I can do some
backtesting please?> > I think it would work very well on Gold on an
hourly chart which is my forte. Gold has some similar robust
characteristics.> > Do you trade any other systems or do you only
use the one and find stocks to fit it?> > Lee.> > > > > > > To:
equismetastock@: skeeter47@: Fri, 27 Jun 2008 10:02:47 -0700Subject:
RE: [EquisMetaStock Group] Low Volatility Stocks...RSI> > > > > > >
> > > Lee,> > Analyzing divergence is an art form. Over thirty
years, I've learned that I'm not that great of an "artist".
Everything that I have designed is mechanical. I've been accused of
being a "mechanical monkey"...a title that doesn't bother me at all.
The trick for most traders to take the emotion out of trading.
Nothing takes care emotion like a set of rules to follow. That
doesn't mean that traders will follow their mechical approach and
try to outsmart their own rules. That's akin to trying to figure out
divergence (subjectivity kills most speculators).> > Regarding the
chart that I sent: The bulk of my trading is in the futures market.
If you have an approach that works, you maximize your returns by
moving to the markets that afford the greatest leverage. I'm not a
crusader for futures, but it works for me and commodities have
always been my love. When I was a broker, 95% of my biz was in the
futures market. As a CTA, I traded only in the futures market. So, I
feel very comfortable with the double-edged sword of leverage.> > I
trade eight or ten different markets with a very robust approach.
All entry and exit strategies are the same for all of the markets I
trade. What a concept: using the same approach on grains, interest
rates, etc. The only difference in the rules are slightly different
trigger levels on entry and exit levels (I think due to volatility
and the nature of the individual markets..."cocoa isn't the same as
the 10-year note"). Stops vary from $300 to $800...also, depending
on the nature of the volatility of the individual market.> > For
years, I was a swing trading momentum guy. I still believe the
StoRSI that I apply to the markets is the best tool that I have ever
developed/borrowed/stolen. Believe me, I have tried and tested just
about everything. I have over 20,000 hours of testing, in MetaStock,
applied to momentum oscillators. If there was an oscillator that was
more consistent, I would be using it. > > The problem with swing
trading with momentum oscillators is that once you are in a winning
trade, the momentum triggers exits you prematurely ... before the
big money is made. This sets up circumstances that I have struggled
with over the years. I have always been able to produce a high
win/loss percentage, but have always had average win to average loss
rations just above 1.00, When markets are trending, you take a small
profit and maybe (depending on your rules) you reverse your position
(contratrend) and immediately get stopped out. This causes very nice
profits in choppy markets and can get ugly in trending markets. > >
Fund managers have always taken a different approach. They play
break-out and various trend following methods and produce a low
winning percentage (many times in the low 40%'s or lower), yet have
a very high average win to average loss ratio. After slamming many
numbers into sharpe ratios and ulcer indices, I finally (duh) came
to the knowledge that I must change my basic though process and
trading approach. > > At the beginning of the year, I switched to a
momentum oscillator entry and a trend following exit strategy. This
strategy produces 40-50% winners, but the average win to average
loss ratios vary from 3 to 9. The key to my current approach is
diversification and the sharpe ratios it develops. > > The blue line
on the chart that was send was the moving average, RSI oscillator
that Super forwarded. I've attached the long bond chart, without the
blue line, and will walk through each signal:> > 1. The overview is
quite simple. I initiate a position the opening after a contract
penetrates a trigger level on the StoRSI (on 1/3, I shorted
bonds...due to the close above the trigger level on the previous
day). Unfortunately, the position was stopped out the following day
for a $600 loss.> 2. Everything is "reset" and I wait for another
StoRSI penetration of the trigger levels. This occurs on 1/22 and on
1/23 I entered a short position.> 3. After I am in a position, I
completely ignore the StoRSI and I wait for a penetration of the
opposite SEB (Standard Error Band). In other words, if I am short, I
am looking for a penetration of the lower standard error band...if I
am long, I am looking for a penetration of the upper standard error
band). Nothing will take me out of the position unless it is stopped
out or the market causes a violation of the bands.> 4. Once I get a
close above/below the bands (depending on which way I am
positioned), I exit and move to the sidelines. The exception: if a
close is above/below the trigger level AND on the same trading
session the StoRSI also penetrates it's triggers, I reverse the
position. On 2/19, the market causes a close below the lower SEB AND
the StoRSI penetrated its lower trigger level. These combined
circumstances caused a reversal of positions on 2/20. The same
circumstances apply to the next trade: on 3/20 the market closes
above the SEB upper band (the signal to close the long) AND the
StoRSI punches throug the upper trigger...causing a reveral of
positions and a new short position.> 5. Although the StoRSI
penetrates its lower trigger many times during the nex two months
plus...I am only going to exit if the close is below the lower SEB.
This takes place on the 6/12 and I exit and move to the sidelines. I
don't reverse, because the StoRSI hasn't gone below the trigger
level.> 6. It doesn't take long for the StoRSI to drop. The next day
6/13, the StoRSI closes below its trigger and I jump back in a long
position after being on the sidelines for only a day.> 7.This
morning, 6/27, I covered the long position (yesterday, the close was
over the upper SEB band). I am NOT going short. The reason is in the
rules: I need a penetration of the trigger level to initiate a short
position. Even though the StoRSI is above the upper trigger level, I
am not interested in a new trade unless the previous day's StoRSI
had traveled from neutral territory and has moved through a trigger
level. So, in this case, to initiate a new short position, the
StoRSI must move below the trigger level and move above it once
again. At that point, I will put on another short. If the market
continues down and drags the StoRSI below the lower trigger level,
then my next bond trade will be a long position.> > I know that this
windy pontification is probably not the best explanation available.
But hey, I was educated in the Dee-troit public school system and
they taught ebonics. Sorry, if it is not crystal clear. Hopefully,
it sheds some light on how to combine momentum oscillators and turn
the position into a trend following system.> > Most of the SEB
settings hover around 55 periods and the triggers for the StoRSI are
optimized to 5's (i.e., 20-80; 15-85, etc.) All are symmetrical.
Asymmetry will test a lot better, but only a fool would use
asymmetrial triggers. > > I am trading 5, 10, and 30 year rates;
corn, wheat and soy meal; cocoa, coffee and sugar. The approach
works with just about all the futures contracts ... including the
mini's. But, when you examine the sharpe ratios and the drawdowns,
you must draw a line in the sand and chose the best performers.> >
Hope this helps,> > Steve--- On Thu, 6/26/08, Lee Lucas
<leeontherun@> wrote:> From: Lee Lucas <leeontherun@>Subject: RE:
[EquisMetaStock Group] Low Volatility Stocks...RSITo:
equismetastock@: Thursday, June 26, 2008, 10:18 PM> > > Hey Steve, I
have not been able to successfully backtest Divergence. I think it
more for chartists than formula following backtesters like us. I
can't tell anything from you picture other than the fact that your
system is working brilliantly. Can you tell me what kind of
indications your used to open and close on this system? An MA of the
RSI should follow the RSI tightly and basically remove all of the
minor bumps. It helps remove double and triple signals when the RSI
jumps up and down in the overbought and oversold areas. Perhaps use
a 7 or 14 day MA of the RSI. The blue line looks like it has a 180
day MA applied to the RSI. The whole idea of this methodology is to
remove a few losers. I also use a formula to say that the MA of the
RSI must also be pointing up before taking the long. Lee.> > > To:
equismetastock@ yahoogroups. comFrom: skeeter47@xxxxxx comDate: Thu,
26 Jun 2008 08:59:04 -0700Subject: RE: [EquisMetaStock Group] Low
Volatility Stocks...RSI> > > > > > > > Lee, The blue line, in the
upper frame on the chart, is what I think is your RSI....is this
similar or matching to your formula? Keep in mind, divergence is a
very nasty trap and can only be applied randomly as it occurs.
Divergence equals subjectivity. How much does an issue diverge
before you can safely time yourself into a trade (a little
divergence, a little more divergence, or ad nausem divergence)? Many
educators teach divergence with certain momentum oscillators (RSI,
CCI, etc.). But, none of them ever define how much is the right
amount of divergence. I'll stick with a faster, more reliable and
profitable StoRSI. Your thoughts? Steve--- On Wed, 6/25/08, Lee
Lucas <leeontherun@ hotmail.com> wrote:> From: Lee Lucas
<leeontherun@ hotmail.com>Subject: RE: [EquisMetaStock Group] Low
Volatility Stocks...RSITo: equismetastock@ yahoogroups. comDate:
Wednesday, June 25, 2008, 5:18 PM> > Hey Preston, The thing I like
about RSI compared to most other indicators is that other indicators
tend to be lagging indicators where as an RSI can show a slowing or
change in direction earlier than the price shows. In combination I
have also made a moving average of an RSI i.e. Mov(RSI(C,14) ,40,E)
and looked for cross overs. This can cut out a lot of noise. Works
similar to a MACD I suppose. Further more Divergence which has been
quoted as being the most robust and secure oportunity to take a
trade uses RSI or MACD. For those who don't know of Divergence -
this is when price continues in it's direction while the other
indicators (RSI or MACD) have already turned to go back. The
assumption is that price will then turn back to keep up with the
indicator.Lee.> > > To: equismetastock@ yahoogroups. comFrom:
no_reply@xxxxxxxxxx s.comDate: Wed, 25 Jun 2008 14:27:21
+0000Subject: Re: [EquisMetaStock Group] Low Volatility
Stocks...RSI> > > Lee,I would love to hear more about how you are
using the RSI and ATR. Also wondering if you have read Baeyens book
on the RSI?Preston--- In equismetastock@ yahoogroups. com, Lee Lucas
<leeontherun@ ...> wrote:>> > It may be much easier to understand
and see on a chart if you can ship the backtest formula.> > I play
alot with RSI and ATR> > Lee.> > > To: equismetastock@ ...:
andysmith_999@ ...: Tue, 24 Jun 2008 03:55:13 +0000Subject:
[EquisMetaStock Group] Low Volatility Stocks> > > > > I've been
experimenting with this methodology: Every weekend I use a screen to
get stocks with certain fundamentals( based on P/S, P/E, etc). Then
I rank the list by 13 and 26 weekrelative strength and discard any
stocks that are not near the top onboth lists. This leaves me around
20 stocks per week. Then, I look at the 20 charts to see which
charts have nice, smooth,up trends. I each chart is displayed:-- ATR
(10), this is used to calculate position size-- ATR(10)/Close, this
is used to get a sense of volatility-- ATR(10)/ATR(50), this is used
to get a sense of "is the stock morevolatile than usual"The ATR
(10)/Close usually works out to be around 3.5% to 5.5%. Here'sthe
part I'm still grappling with: I ignore any stocks above 4.5% sothat
I end up with the smoother, tighter up trends. Please share
anythoughts on this.PS. I owe much of this to Roy's newsletter and
Super's posts over thelast few years. > > > > at CarPoint.com. au
It's simple! Sell your car for just $30 > > Find out: SEEK Salary
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