|
PureBytes Links
Trading Reference Links
|
Scot,
Thanks for the work. I would like to propose the
set of definitions I use in measuring the reliability and accuracy of my
forecast methods.
First, a turn is defined as confirmed by a
close below the low of the nearest highest high day(for high pivots) or
above the high of the nearest lowest low day (for low pivots).The pivot date is
the date of the highest high or lowest low.
If a pivot occurs near the forecast date, count the
days (+or -) between the forecast date and the actual pivot date.Add their
absolute values and divide by the number of pivots. This defines the accuracy of
the technique in trading days. The reliability of the technique is measured by
dividing the number of actual pivots by the number of forecasted
pivots.
My methods currently give accuracy of +/- one
trading day and reliability of about 70%. I believe this is the order of
magnitude necessary to develop a profitable trading system from the forecasting
information.
Jim White
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=scot.billington@xxxxxxxxxxxxx
href="mailto:scot.billington@xxxxxxxxxxxxx";>Scot Billington
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Tuesday, May 15, 2001 9:14 AM
Subject: Re: [RT] Mars In Taurus
I 'tested' the below dates for market turns. The test
is fairly subjective, as we are missing several major parts of the
equation: what is defined as a market turn, how close to the date must
the market turn, how large a move must be produced after said market
turn? For what it is worth, here is the data I gathered on the Live
Cattle futures contract, which I believe was the basis for the original
example. I only have data from 1976 forward. The moves are
measured close to close.
Nothing- I could not make any argument for a turning
point for 5 of the 13 dates, 7/12/90, 6/14/92, 5/23/94, 5/2/96,
4/13/98.
Dead On- 4/25/81. The market closed at 7077.5
and dropped 637.5 points or 9.01% over the next 20 days. I find this to
be a large move in which nearly any entry strategy around the date would
produce a good winner.
Close to a Significant Turn- I
found two dates, 4/5/83 and 6/6/77, to be withing 11 and 7
days respectively of fairly major turns. The 6/6/77 date produced a
rally of 8.55%. (The market dropped 5.87% from the Taurus day until the
bottom.) The top 11 days after the 4/5/83 date was major.
Minor Rally- 2 of 13, 5/16/79 and 3/15/85, had minor moves
of 290 and 195 begin on the specified day.
2/20/87 had a 152.5 point drop begin on
2/23/87.
1/19/89 had a 342.5 point rally begin two days
later.
3/23/00 had a significant top 6 days later.
In my subjective opinion 4 of the 13 days produced tradable
moves within an acceptable window. I doubt one could create a set of
trading rules, even in hindsight, that would be able to trade these 13 days
profitable. Perhaps, they could be useful if one looked for a major turn
within two weeks of the date.
Please, take these very elementry results for the very
little they are worth. I did not see a significant amount of large turns
associated with these dates; however, someone else may. One can not do a
study like this without a definition of an extreme, a turn, a timeframe
etc.? If someone would care to post his definitions of those
things, then I would be glad to test them. If I used mine, the turn
would have to come on the day or the day after and would need to produce a
move of >200 points. Given those parameters, 2 of the 13 days
produced "winning" trades. Again, given other parameters or filters
perhaps those results could be greatly improved.
sb
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=nwinski@xxxxxxxxxxxxxxx
href="mailto:nwinski@xxxxxxxxxxxxxxx";>Norman Winski
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Monday, May 14, 2001 4:42
PM
Subject: [RT] Mars In Taurus
For anyone wanting to research Mars in Taurus,
hopefully, here are the dates:
The times are about 5 hours late, but I don't
think that will make much difference.
<IMG height=281
v:shapes="_x0000_i1025"><IMG height=217
v:shapes="_x0000_i1026">To unsubscribe from
this group, send an email to:<A
href="mailto:realtraders-unsubscribe@xxxxxxxxxxxxxxx";>realtraders-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service.
To
unsubscribe from this group, send an email
to:realtraders-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service.
Yahoo! Groups Sponsor
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Attachment:
Description: ""
Attachment:
Description: ""
|