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My system has an 80% probability for 1/1 return, 70% for 2/1 and 60% for 3/1
and it works in any time frame so commissions and operating costs become
negligible. As for slippage I have found very little in highly liquid
markets when trading shorter time frames. I very seldom trade the NY
markets so rip offs aren't a factor. Of course there is always that 3%
factor and only a hedge can cover that. If you don't carry over night, then
gap openings don't become a factor and if one carries overnight and uses
options then the risk is defined and there is no slippage. Ira
----- Original Message -----
From: "Norman Winski" <nwinski@xxxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, July 04, 2002 7:32 AM
Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to the Hurst cycle?
> Ira,
>
> Commisions aren't the only factor in calculating transaction costs. There
> is slippage and various overhead charges such as office, computer, data,
all
> of which go up in cost with the shorter time frame.
>
> One way to look at this is profitability frequency. Let's say you are
> trading S&P.
> If you can make $10 more than five time more often that you can make $50,
> then it is probably better to shoot for the $10. On the other hand, if $!0
> occurs less than 1/5 of the time that $50 does, then you should shoot for
> the $50. Ideally, one could put this on a distribution curve and then one
> should strive to get to the middle of the curve where the frequency of
> dollars earned is highest.
>
> Cheers,
>
> Norman
> ----- Original Message -----
> From: "ira" <irat@xxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Thursday, July 04, 2002 9:52 AM
> Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to the Hurst
cycle?
>
>
> > At $5 for stock trades up to 5000 shares and $6-$8 a round turn on
> futures
> > it doesn't take much to make a profit and even less to just break even.
> > Commissions aren't the factor that they used to be. Even options
> > commissions are down to a nominal amount now. Ira
> >
> > ----- Original Message -----
> > From: "Norman Winski" <nwinski@xxxxxxxxxxxxxxx>
> > To: <realtraders@xxxxxxxxxxxxxxx>
> > Sent: Thursday, July 04, 2002 6:41 AM
> > Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to the Hurst
> cycle?
> >
> >
> > > Ira,
> > >
> > > Let's not forget those transaction costs. They can make all the
> > difference
> > > between a profitable and losing method.
> > >
> > > Cheers,
> > >
> > > Norman
> > >
> > >
> > > ----- Original Message -----
> > > From: "ira" <irat@xxxxxxxxx>
> > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > Sent: Thursday, July 04, 2002 9:38 AM
> > > Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to the Hurst
> > cycle?
> > >
> > >
> > > > Trading time frames is an interesting question as is the frequency
of
> > > > trading. If I posted 20 charts with the header, prices and time
> missing
> > > > from the 3 sides of the chart, I would defy anyone to tell me
whether
> > the
> > > > charts are daily, weekly or 3 min charts. A bar is a bar is a bar.
No
> > > > matter what system you use, if is governed by the bars action,
whether
> > you
> > > > are using highs, lows, closes, or a combination of the three and a
> > > divisor,
> > > > it is still price action. So if a system is viable it should work
on
> > any
> > > > time frame. Let us leave out planetary influences as I am not
> conversant
> > > > enough in that area to make an argument one way or the other,
although
> > the
> > > > Delta system has a intra day function. If all charts are the same
as
> > far
> > > > as content is concerned then the degree of risk would decrease with
> the
> > > > reduction in time frames. The price range of a bar on a weekly
chart
> > > should
> > > > be greater then that on a daily chart and that on a daily chart
should
> > be
> > > > greater then that on a 60 min. chart, etc., all the way down to a
nano
> > > > second chart. If price range is reduced, then risk is reduced, as a
> > stop
> > > > governed by price rather then pain would be actuated sooner. A stop
> on
> > a
> > > > daily chart might be 10 points where the stop on a 3 min chart could
> be
> > > 1/2
> > > > a point. Trading is all about volatility, price range, over a
> specific
> > > > period of time. Some items have to be traded over an extended
period
> > > > because of low volatility yet consistent movement in one direction.
> > Others
> > > > can be traded very easily on a 1 minute chart. both with the same
> degree
> > > of
> > > > risk because the price range of the bars is comparable. A stock
could
> > move
> > > > a 1/2 a point a day for $50 while the S&P moves 1/2 point a tick for
> > $125
> > > > and grains a penny for $50. So if you are trading any system that
is
> > > > governed by price movement whether it be Gann, Eliot, Hurst, Fib.
> > numbers
> > > > then risk should be reduced as you step down in time frames and the
> > > > compounding effect increased as the number of cycles, movements of
> price
> > > > action up and down, occur more frequently. So if the bars, as an
> > example,
> > > > are cycling from low to low every 10 bars, then there would be 2
> trades
> > > > every 30 minutes on a 3 min. chart and every 10 days on a daily
chart.
> > > > There would be one trend trade and one contra trend trade. Granted
> that
> > > > this is all dependent upon sufficient volatility to justify the
trade,
> > but
> > > > the trades would be there. And yes, my system works in all time
> frames
> > > > with varying degrees of risk, but the same degree of probability.
Ira
> > > > ----- Original Message -----
> > > > From: "Adrian Pitt" <apitt@xxxxxxxxxxxxx>
> > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > Sent: Thursday, July 04, 2002 5:02 AM
> > > > Subject: RE: HOLDING PERIOD...was RE: [RT] What happened to the
Hurst
> > > cycle?
> > > >
> > > >
> > > > > M. Simms,
> > > > >
> > > > > The most optimal trading period in theory is the distance between
> > ticks.
> > > > >
> > > > > If you had a system which could trade from tick to tic and your
> costs
> > > > > were less than one tick...
> > > > > And you could trade unlimited volume..then in time you would own
the
> > > > > universe.
> > > > >
> > > > > Now back to reality....the optimum time period all depends on your
> > > > > system. Simple as that.
> > > > > A floor trader can compound returns far quicker than any of
us...but
> > > > > like any trader, that
> > > > > isn't the real problem..the problem is you will run into
difficulty
> > > > > getting filled with low slippage.
> > > > > Ultimately it ALWAYS becomes a trade-off of trying to trade as
short
> a
> > > > > time as possible to maximise compounding benefits but at the same
> > time,
> > > > > long enough that you can actually keep slippage in check so the
> > systems
> > > > > still keeps working. Once again, it all comes down to the system
you
> > > > > decide to use.
> > > > > Answering which is the best system is a complex question..one best
> > dealt
> > > > > with by reading Ralph Vinces books.
> > > > >
> > > > > Adrian
> > > > >
> > > > > > -----Original Message-----
> > > > > > From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> > > > > > Sent: Thursday, 4 July 2002 8:41 AM
> > > > > > To: realtraders@xxxxxxxxxxxxxxx
> > > > > > Cc: Ed Kiers
> > > > > > Subject: HOLDING PERIOD...was RE: [RT] What happened to the
> > > > > > Hurst cycle?
> > > > > >
> > > > > >
> > > > > > Jim - do you have any further research references that
> > > > > > indicate : EXACTLY HOW SHORT OF A HOLDING PERIOD is optimal ?
> > > > > >
> > > > > > and of course, based on that HOLDING PERIOD, which should be
> > > > > > equivalent to the AVG. LENGTH OF TRADE, what is the BAR
> > > > > > INTERVAL that is best for that length. Once this is
> > > > > > determined, then implied is the vital LENGTH OF TRADE to BAR
> > > > > > INTERVAL ratio.
> > > > > >
> > > > > > What I am getting at is this:
> > > > > > if your trades are averaging 21 trading hours or so,
> > > > > > should the trader be using 15 min, 30 min, 1 hour, bars, or
which
> ?
> > > > > >
> > > > > >
> > > > > > > -----Original Message-----
> > > > > > > From: Jim White [mailto:jwhite43@xxxxxxx]
> > > > > > > Sent: Wednesday, July 03, 2002 5:51 PM
> > > > > > > To: realtraders@xxxxxxxxxxxxxxx
> > > > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > > > > >
> > > > > > >
> > > > > > > Unfortunately Norman, the data does not agree. Research has
> > > > > > shown tha
> > > > > > > ROI decreases with holding period - so taking quick profits
and
> > > > > > > compounding the results is the way to maximize profits. The
data
> > is
> > > > > > > sighted in "A Random Walk Down Wall Street", page 404. Of
> > > > > > course you
> > > > > > > need a trading methodology
> > > > > > > to reliably capture the short term moves.
> > > > > > > Jim
> > > > > > > ----- Original Message -----
> > > > > > > From: "Norman Winski" <nwinski@xxxxxxxxxxxxxxx>
> > > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > > > Sent: Wednesday, July 03, 2002 2:38 PM
> > > > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > > > > >
> > > > > > >
> > > > > > > >
> > > > > > > > ----- Original Message -----
> > > > > > > > From: "Jim White" <jwhite43@xxxxxxx>
> > > > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > > > > Sent: Wednesday, July 03, 2002 5:16 PM
> > > > > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > > > > > >
> > > > > > > >
> > > > > > > > > I have followed the discussion on Hurst cycles with
silence
> > but
> > > > > > > > > now I believe it is time to speak up. The Hurst book
> > > > > > actually has
> > > > > > > > > some very significant content however his
> > > > > > > > basic
> > > > > > > > > premise has been proven to be incorrect. Hurst presents
> > several
> > > > > > > statements
> > > > > > > > > with out verification. For example " The impact of wars,
> > global
> > > > > > > financial
> > > > > > > > > crisis, and all other similar events on market price
action
> is
> > > > > > > > > utterly negligible." It has been shown through the
> > > > > > application of
> > > > > > > chaotic models
> > > > > > > > > that these impulses do have an impact although they are
> > > > > > > limited in their
> > > > > > > > > duration.
> > > > > > > > > The use of static cycles to forecast future price
> > > > > > movement is also
> > > > > > > doomed
> > > > > > > > to
> > > > > > > > > failure. There have been many attempts to duplicate and
> > > > > > forecast
> > > > > > > > > price action with composite static cycles and all have
> failed
> > > > > > > > > simply because
> > > > > > > the
> > > > > > > > > market is not composed of static cycles. Even an attempt
to
> > > > > > > > > determine
> > > > > > > the
> > > > > > > > > current dominant cycles will fail because the cycles will
> > > > > > > change due to
> > > > > > > > > lateset conditions. The new information may or may not be
in
> > the
> > > > > > > direction
> > > > > > > > > of the old cycles.A much more likely composition, also
> > > > > > supported
> > > > > > > > > by
> > > > > > > > studies
> > > > > > > > > of chaotic models, is that the market is composed of
dynamic
> > > > > > > cycles with
> > > > > > > > > diminishing amplitude. Since these cycles are always
> > > > > > changing, due
> > > > > > > > > to
> > > > > > > the
> > > > > > > > > latest impulse to impact the market, they are
> > > > > > predictable only in
> > > > > > > > > the
> > > > > > > very
> > > > > > > > > short term. The real value of Hurst's work is to show
> > > > > > that profits
> > > > > > > > > are maximized by short term trading. Jim White
> > > > > > > >
> > > > > > > > Jim,
> > > > > > > >
> > > > > > > > I was going to stay out of this until your last statement
".
> > The
> > > > > > > > real
> > > > > > > value
> > > > > > > > of Hurst's work is to show that profits are > maximized by
> short
> > > > > > > > term trading." Most of the studies I have seen indicate
that
> > the
> > > > > > > > more you
> > > > > > > trade
> > > > > > > > the greater your risk of ruin. Each time you trade you
> > > > > > take a risk.
> > > > > > > > The
> > > > > > > more
> > > > > > > > you trade, the greater the risk. Very few of the really
> > > > > > big traders
> > > > > > > > - investors such as George Soros or Warren Buffett made
> > > > > > their money
> > > > > > > > doing
> > > > > > > alot
> > > > > > > > of short term trades. The big money is made riding the
> > > > > > big moves and
> > > > > > > > not getting in and out. Some of the saviest traders I met
> > > > > > during my
> > > > > > > > Chicago
> > > > > > > days
> > > > > > > > made their big money on a few big moves. The short term
> > > > > > > trading was just
> > > > > > > > rent money. I propose to ammend the above statement to
read,
> > > > > > > > "...that brokers profits are maximized by short term
trading."
> > > > > > > >
> > > > > > > > Regards,
> > > > > > > >
> > > > > > > > Norman
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > > ----- Original Message -----
> > > > > > > > > From: "Clyde Lee" <clydelee@xxxxxxxxxxxx>
> > > > > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > > > > > Sent: Wednesday, July 03, 2002 10:34 AM
> > > > > > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > > More likely the parameters for generation of the
> > > > > > prediction of
> > > > > > > > > > the cycle were wrong.
> > > > > > > > > >
> > > > > > > > > > We will have to wait for the Centered Moving Averages
> > > > > > to catch
> > > > > > > > > > up with the data to make the kind of judgment you
> > > > > > have made with
> > > > > > > > > > insufficient data.
> > > > > > > > > >
> > > > > > > > > > Remember, the REALTIME values for the Hurst channels are
> an
> > > > > > > > > > ATTEMPT to predict what the real values of the CMAs
> > > > > > will be and
> > > > > > > > > > that ATTEMPT to estimate can be really wrong at times.
> > > > > > > > > >
> > > > > > > > > > Everyone needs to understand that the attempt to
estimate
> > the
> > > > > > > > > > realtime CMA values is strictly that -- an attempt.
> > > > > > Currently
> > > > > > > > > > we are using classical Fourier analysis and have limited
> > > > > > > > > > ourselves to only 3 components to construct
> > > > > > envelopes. We may
> > > > > > > > > > be using too many or too few -- at this stage in
> > > > > > development I
> > > > > > > > > > do not have a good feeling of what it takes to better
> > > > > > match the
> > > > > > > > > > eventual values of the CMAs but you can bet we are
> > > > > > still working
> > > > > > > > > > on it.
> > > > > > > > > >
> > > > > > > > > > Clyde
> > > > > > > > > >
> > > > > > > > > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > > > > > > > > > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > > > > > > > > > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> > > > > > > > > > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > > > > > > > > > Houston, TX 77063 Fax: (713) 783-1092
> > > > > > > > > > Details at: www.theswingmachine.com
> > > > > > > > > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > > > > > > > > >
> > > > > > > > > > ----- Original Message -----
> > > > > > > > > > From: "bondo92677" <bruce.larson@xxxxxxxxxxxxx>
> > > > > > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > > > > > > Sent: Wednesday, July 03, 2002 12:25 PM
> > > > > > > > > > Subject: [RT] What happened to the Hurst cycle?
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > > I guess we fell into the 10% of the time its wrong.
> > > > > > > > > > >
> > > > > > > > > > >
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