|
PureBytes Links
Trading Reference Links
|
first. My maximum and true respect for Mark Johnson. I have followed his
posts for 3 years and even in the case he doesn't trade (I do not know and I
do not care), his posts have always been very smart. But he doesn't need to
be defendend by anyone of course, even less by me. Just this is my humble
opinion.
second. Aberration. reading the advertising one is able to understand the
system. If you couldn't well Le Beau on his book (computer analysis of the
futures market p. 52) in 1992 describe the system word by word. Aberration
is marketed in 1993. Also Kaufman wrote other variations you can work on it.
These are facts. I respect also Keith Fitschen for his effort and his
writings even if doesn't know (honest!).
I agree the Abe advertising is done to sell but it is reliable at all (the
contents and the value of profits are correct).
third. Aberration has indeed 3 (THREE) parameters. I do not understand why
everyone insists saying 2 only!
1. length of the moving average
2. number of stdevs for entry
3. number of stdevs for EXIT or the stop loss!!! it is truly something like
this:
{ meta code }
if LONG then exit long
if close < moving average(close, lenght)+ stdev(c,lenght)*pct)
if SHORT then exit short
if close > moving average(close, lenght)- stdev(c,lenght)*pct)
of course if pct = 0 you get the term after the addition/subtraction sign
equals to zero so in reality you have a hidden parameter. In fact if you
optimize on pct you could actually reduce the drawdown since it takes less
time to quit.
fourth. you could write an aberration-anti aberration system with an
internal switch to understand if you are in trend or choppy market using the
same standard deviation as a trend tool. Which is the way abe adapts for the
trend mode only.
fifth. use abe (sorry Keith) on stock indeces and you are a DEAD man (or
woman). If you look at were the BIG money is done, well the usual coffee,
yen, pound, ... so this is the better place to start trading Abe (and Keith
in his brochures of 1996 shows just this when he traded abe for real money
(his)).
sixth. Abe has a flow in which it honestly can't avoid what I call the
drifting pattern (or the "volatility paradox"): when directionality is low
and volatility is high. Since it is the close that triggers the signals, if
the stdev is high but the close (one point in the "price space") could not
go above/below the bands you can have a market going up or down for weeks
and 1. miss the trade (and swear like we italians do!) 2. be killed by a
fast reversal if already in the trade. This happens since abe use the
standard deviation as VBS use true range to enter the market. Abe is a
volatility breakout system: the trend idea is that the breakout is in the
direction of the "aberration". And the error is using the standard
deviationa as a volatility measure: I DO believe it is a trend measure (my
personal view).
seventh (and last): try to plot 80 days bollinger bands and 80 days channel
breakout on the price together... and just look at the chart. A picture is
better than thousands words. I won't comment any more on this. Sorry! :)
Abe is a good system? Yes, since you learn a lot.
eight: that's all for this night.
Best regards to you all
Riccardo
|