|
PureBytes Links
Trading Reference Links
|
I will not say it is the worlds best system (I do have some better), but I
can give you a system that works better than buying on MACD with exits on
MACD bearish or ADX momentum or ATR stop loss, assuming that we buy and sell
all stocks that exists in the market (this is tested in Sweden, may not be
true in US).
That system is simple to build: Buy randomly from the list of stocks that
exists, with 6% chance to buy every day. Then sell randomly with 6% chance
to sell the stock every day. How come this works? A couple of good reasons:
1. The market is on average going up
2. Nobody can predict your behaviour and shoot the stock value past your
buy/sell limits
3. You are not personally bent to second guess your system
See it as an interesting point, we talk about the market being in Random
walk, adjusting your behaviour to fit into that actually works,
statistically.
Just to be clear: This is not the way I trade, but that is what I compare
all of my trading strategies to, and want them to beat.
> -----Original Message-----
> From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> Sent: den 11 september 2000 06:39
> To: profilic@xxxxxxxx; omega-list@xxxxxxxxxx; Brian Keith Voiles
> Subject: RE: "Right Brained" EL Programming Idiot Requests
> Assistance...
>
>
> Great points......but can anyone answer this:
> which technique (mechanical with indicators vs. automated
> signals) is more
> profitable ?
>
>
> > -----Original Message-----
> > From: Tom [mailto:profilic@xxxxxxxx]
> > Sent: Thursday, September 07, 2000 8:54 AM
> > To: omega-list@xxxxxxxxxx; Brian Keith Voiles
> > Subject: RE: "Right Brained" EL Programming Idiot Requests
> Assistance...
> >
> >
> > This is a perfect example of why it is difficult to program a
> > trading system
> > equal to the way we trade.
> >
> > You have some very specific rules which can be easily programmed
> > - right up
> > to the point that you introduce some subjective observations such
> > as "flat",
> > "bullish" and "bearish". These are "beauties in the eye of
> the beholder".
> >
> > For example, when you say "flat", you may see a slight slope as
> > still flat,
> > or a bearish candlestick may not look so bearish as the
> tail may be too
> > short or the penetration of the previous body is only a
> very little over
> > 50%.
> >
> > A computerised mechanical trading system is very different from a
> > mechanical
> > system that you apply by looking at the indicators and then
> pulling the
> > trigger. You not only make these subjective decisions but often
> > allow other
> > factors to come into the mix before you decide whether to make or
> > reject the
> > trade.
> >
> > Tom
> >
> >
> > -----Original Message-----
> > From: Brian Keith Voiles [mailto:admagic@xxxxxxxx]
> > Sent: Wednesday, September 06, 2000 11:41 PM
> > To: omega-list@xxxxxxxxxx
> > Subject: "Right Brained" EL Programming Idiot Requests Assistance...
> >
> >
> > Dear Members,
> >
> > Okay... I admit it -- I'm a creative dork.
> >
> > These are the rules for my S&P day trading method.
> > I've been studying the ELA manual from Omega and the "Ask Mr.
> > EasyLanguage"
> > book... (the Omega downloadable manual is much, much
> better/clearer) but
> > I just don't seem to have enough "left brain" logic to
> create an indicator
> > for these rules.
> >
> > I have manually back-traded over 1,000 trades using this
> method. It really
> > seems to work well as long as I follow the rules with discipline and
> > integrity.
> > The back-trading was not "computer-done" ... it was
> manually done by me
> > and because entries are signalled on the open of a new bar,
> I subtracted
> > 7 ticks ($175 S&P) on the entry AND the exit for slippage.
> >
> > Anyway... anyone want to take a stab at coding this?...
> > Anyway want to give me a bid on coding this?... I have
> tried and tried...
> > I'm just too darned "right-brain" creative type to get the
> EL down for it.
> >
> > Anyway... thanks to all who care. Here's my method's rules:
> >
> > (By the way... here is the "key" to my many abbreviations:
> > XMA = 10-Period Exponential Moving Average
> > MAL = 40-Period 1-Line Moving Average of the Low
> > MAH = 40-Period 1-Line Moving Average of the High
> > LRS = the following code: Input: Len(10);
> > Plot1(LinearRegSlope(close,Len),"LRS");
> > ADX = the regular ADX that comes with TradeStation 2000i)
> >
> > Rules (All rules apply to the 5-minute chart only)
> > Long Position Entry Rules
> > To enter a long position:
> > 1) No trades before 8:00 a.m. MST (The first 6 candlesticks)
> > 2) The 6th candlestick of the day (the 7:55 candle) cannot
> signal a trade
> > 3) When a 5-min candle closes above the XMA, go long with a 5 point
> > stop-loss below.
> > 4) If the XMA is in-between the 40-Period MA's, then a long entry
> > signal is
> > invalid.
> > 5) If the XMA is flat and not pointing or bending up, then
> a long entry
> > signal is invalid.
> > 6) If the ADX is below 15, then a long entry signal is invalid.
> > 7) The LRS must be headed up in support of the long entry,
> otherwise the
> > long entry signal is invalid.
> >
> > Long Position Exit Rules
> > There are 6 valid exit options listed here, in order of preference:
> > 1) Let Profits Run Exit: If the trade moves to 3+ points in
> profit ($750)
> > then the stop must be moved up to the point of entry, plus 3 ticks
> > ($75). Then exit the trade at any point when price action
> shows potential
> > reversal (i.e. a bearish candlestick, confirmed by a second bearish
> > candlestick; or a bearish candlestick pattern) and the
> price action is
> > fervent, suggesting that the probabilities are strong for
> this to be the
> > end of this up move.
> >
> > However, if the price movement of any potential reversal is
> weak (i.e. a
> > bearish candlestick or candlestick pattern without bearish
> confirmation)
> > allow the potential reversal candle to close, then move the stop
> > loss up to
> > where the XMA is at on the close of the potential reversal candle.
> > As long as price action remains bullish, at each subsequent
> potential
> > reversal point allow the potential reversal candle to close
> and move the
> > stop-loss up to where the XMA is at on the close of the
> potential reversal
> > candle. Continue to do this as long as there is bullish
> price action. This
> > will allow the market to end the trade by stopping out the
> position when
> > it's finished its bull move.
> >
> > NOTE: If a position moves into 6 points or more in profit, note the
> > position of the ADX. If the ADX is above 30, there's a good
> chance the
> > trade will continue in its current direction. Also, look for bullish
> > candlestick continuation patterns to confirm the ADX.
> >
> > IMPORTANT: If at any point during the trade the price is
> near where the
> > potential reversal candle's XMA suggests the stop be moved
> up to, the
> > probabilities are high that the bullish run is over. The
> market is then
> > likely to move into a sideways, choppy, consolidation
> period, or reverse
> > it's trend. There are 2 exit options at this point:
> > 1. Move the stop loss up to 1-tick above the high of the
> last potential
> > reversal candle;
> > 2. Immediately exit at the market to take the profit.
> >
> > 2) Profit Exit: If the trade moves to 3+ points in profit
> ($750) the stop
> > loss must be moved up to the entry point, plus 3 ticks.
> Then exit at any
> > point when price action shows a potential reversal/bearish
> candlestick
> > pattern and the price movement is fervent enough to suggest that
> > probabilities are high that this reversal is for real. OR
> >
> > 3) Cut Losses Short Exit: If price closes below the XMA
> twice before a
> > profit exit unfolds, the XMA Method requires an immediate
> exit in order to
> >
> > cut losses short. However, if price closes below the XMA
> once and then
> > closes above the XMA on the next candle, the close below the XMA is
> > canceled out and doesn't count as one of two closes to trigger an
> > exit. Then, as long as there is continual bullish price
> action (higher
> > highs and higher lows) stick with the trade and wait for a
> Profit Exit to
> > line-up.
> >
> > 4) Cut Losses Short Exit: Exit when the XMA crosses down
> over the MAH and
> > stays in-between the MAH & MAL=85 suggesting the probabilities
> > are that the
> > market is preparing to churn sideways or preparing to
> reverse. There may
> > or may not be a profitable exit when this happens.
> >
> > 5) Caution Exit: Exit when the XMA starts to flatten-out or
> slope down,
> > going against the long position. There may or may not be a
> profitable exit
> > when this happens.
> >
> > 6) Bail-Out Exit: Exit when the price action hits the stop loss.
> >
> > Short Position Entry Rules
> > To enter a short position:
> > 1) No trades before 8:00 a.m. MST (The first 6 candlesticks)
> > 2) The 6th candlestick of the day (the 7:55 candle) cannot
> signal a trade
> > 3) When a 5-min candle closes below the XMA, go short with a 5-point
> > stop-loss above.
> > 4) If the XMA is in-between the 40-Period MA's, then a
> short entry signal
> > is invalid.
> > 5) If the XMA is flat, and not pointing or bending down, then a
> > short entry
> > signal is invalid.
> > 6) If the ADX is below 15, then a short entry signal is invalid.
> > 7) The LRS must be pointing down in support of the short
> entry, otherwise
> > the short entry signal is invalid.
> >
> > Short Position Exit Rules
> > There are 6 valid exit options listed here, in order of preference:
> > 1) Let Profits Run Exit: If the trade moves to 3+ points in
> profit ($750)
> > then the stop must be moved down to the point of entry, plus 3 ticks
> > ($75). Then exit the trade at any point when price action
> shows potential
> > reversal (i.e. a bullish candlestick, confirmed by a second bullish
> > candlestick; or a bullish candlestick pattern) and the
> price action is
> > fervent, suggesting that the probabilities are strong for
> this to be the
> > end of this down move.
> >
> > However, if the price movement of any potential reversal is
> weak (i.e. a
> > bullish candlestick or candlestick pattern without bullish
> confirmation)
> > allow the potential reversal candle to close, then move the stop
> > loss up to
> >
> > where the XMA is at on the close of the potential reversal candle.
> > As long as price action remains bearish, at each subsequent
> potential
> > reversal point allow the potential reversal candle to close
> and move the
> > stop-loss down to where the XMA is at on the close of the potential
> > reversal candle. Continue to do this as long as there is
> bearish price
> > action. This will allow the market to end the trade by
> stopping out the
> > position when it's finished its bear move.
> >
> > NOTE: If a position moves into 6 points or more in profit, note the
> > position of the ADX. If the ADX is above 30, there's a good
> chance the
> > trade will continue in its current direction. Also, look for bearish
> > candlestick continuation patterns to confirm the ADX.
> >
> > IMPORTANT: If at any point during the trade the price is
> near where the
> > potential reversal candle's XMA suggests the stop be moved
> down to, the
> > probabilities are high that the bearish run is over. The
> market is then
> > likely to move into a sideways, choppy, consolidation
> period, or reverse
> > it's trend. There are 2 exit options at this point:
> >
> > 1. Move the stop loss down to 1-tick below the low of the
> last potential
> > reversal candle;
> > 2. Immediately exit at the market to take the profit.
> >
> > 2) Profit Exit: If the trade moves to 3+ points in profit
> ($750) then the
> > stop loss must be moved down to the entry point, plus 3
> ticks. Then exit
> > at any point when price action shows a potential reversal/bullish
> > candlestick pattern and the price movement is fervent
> enough to suggest
> > that probabilities are high that this reversal is for real. OR
> >
> > 3) Cut Losses Short Exit: If price closes above the XMA
> twice before a
> > profit exit unfolds, the XMA Method requires an immediate
> exit in order to
> > cut losses short. However, if price closes above the XMA
> once and then
> > closes below the XMA on the next candle, the close above the XMA is
> > canceled out and doesn't count as one of two closes to trigger an
> > exit. Then, as long as there is continual bearish price
> action (lower
> > highs and lower lows) stick with the trade and wait for a
> Profit Exit to
> > line-up. OR
> >
> > 4) Cut Losses Short Exit: Exit when the XMA crosses up over
> the MAL and
> > stays in-between the MAL & MAH=85 suggesting the probabilities
> > are that the
> > market is preparing to churn sideways or preparing to
> reverse. There may
> > or may not be a profitable exit when this happens.
> >
> > 5) Caution Exit: Exit when the XMA starts to flatten-out or
> slope up,
> > going against the short position. There may or may not be a
> > profitable exit
> > when this happens.
> >
> > 6) Bail-Out Exit: Exit when the price action hits the stop loss.
> >
> > Thanks for any advise, suggestions and assistance,
> > Brian Voiles
> >
>
>
|