|
PureBytes Links
Trading Reference Links
|
I fall in the category of discretionary trader using indicators. I use
three indicators, a revised version of the CCI, a momentum indicator and a
referenced MA. I don't use stops but time and if I'm not profitable right
off the bat I'm looking to get out but do keep a mental monetary stop and
if it hits that I'm gone. Time of day is important and time length of the
trade is important. Hardest thing to do is buy into weakness and sell into
strength but that's what I've found works best because I'm not on the floor
so I can't afford to wait.
Robert
At 11:58 AM 10/13/98 -0600, Allan Kaminsky wrote:
>At 11:24 AM 10/13/98 -0600, Neil Harrington wrote:
>
><snip>
>>
>>7. What about improved gambler indicators, like Mark Jurik's JMA, the Visine
>>of MAs that "gets the lag out"? Does this make it a non-gambler indicator?
>>
>>Thanks for any thoughts.
>>
>>Neil
>>
>
>Neil:
>
>To be precise, Jurik's JMA, of which I am a big fan, is a mathematical
>function. When used by itself, it smoothes (or tames) data with minimal
>lag. Hopefully, the information that is destroyed in the process (usually
>called noise) is not needed, so that the desireable information is
emphasized.
>
>JMA can be combined with another slower JMA to form a moving average
>indicator. It has now become a gambler function, because moving average
>crossover by definition lags the true action. Try to daytrade with a moving
>average crossover: it will put you on the high velocity part of the curve
>everytime (or, based on your parameters, whipsaw you to death).
>
>So I see JMA as an outstanding tool. As with any tool, you can use it to do
>very ordinary things with it.
>
>There was some earlier discussion on the list about Momentum and
>Acceleration being leading indicators. This isn't true. However, I have no
>doubt that a skilled discretionary trader can use these indicators with
>success. Why? Because the skillful trader is filtering the trades using
>some <probably> unknown, unconcious mechanism.
>
>In a previous private post, I discussed my view of a time series. You can
>model a time series as some type of autoregressive process that also has
>independent noise added to it. I believe that a price series acts as a
>state machine. It can be in a fairly predictable state where the
>autoregressive contribution is high. At these times, indicators like
>Momentum may work (for a while). When the state changes so that the
>autoregressive contribution is low, that breaks down.
>
>I think the successful discretionary traders know when those state
>transitions occur, which allows them to filter otherwise ordinary
>indicators. Some of the information is available to floor traders, as they
>watch the action live. (I think a squawk box is a poor substitute for this.)
>
>I like to think that there is a less subjective path to intelligent
>trading. I have seen some evidence that there is intermarket information
>that sheds light on the problem. To my surprise, I'm also finding that
>there is information in the price series itself that is contributory.
>However, the tools I'm using to explore this area are neural nets and fuzzy
>inference systems. In essence, I'm trying to construct a "perfect"
>artificial discretionary trader. And I'm not doing it the "traditional" way
>by just throwing huge quantites of data at a neural net and hoping it will
>converge to a usable solution.
>
>This is intended as food for thought only.
>
>Allan
>
>"Everything ... is true, except the parts I made up. And they might not be
>the parts you think." - Michael Flynn
>
>
|