|
PureBytes Links
Trading Reference Links
|
Thanks....and good discourse I might add.
Keep in mind with the advent of the E-MINIS and the advent of a cheap broker
like INTERACTIVE BROKERS,
the "rules have changed" pretty dramatically I might add.
Slippage is much less and commissions are much less....
this should favor the LOWER TIME FRAMES or LOWER TICK LEVELS.....as the "new
rules" would make 10 or even 20 RT trades per day possible. Smaller net
profits for sure, but much, much less risk/exposure.
It would be a good study to contrast 1-3 minute emini time frames with
50-150 tick intervals.....
the latter would automatically compensate for the lower activity in the
11am->1pm "deadzone" time period.
It <MAY> indicate tick intervals for e-mini trading are preferable to time
intervals.
> -----Original Message-----
> From: Adrian Pitt [mailto:apitt@xxxxxxxxxxxxx]
> Sent: Thursday, July 04, 2002 8:03 AM
> To: realtraders@xxxxxxxxxxxxxxx
> 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.
> > > > > > >
> > > > > > >
> > > > > > > To unsubscribe from this group, send an email to:
> > > > > > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > Your use of Yahoo! Groups is subject to
> > > > > http://docs.yahoo.com/info/terms/
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > To unsubscribe from this group, send an email to:
> > > > > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > > > > >
> > > > > >
> > > > > >
> > > > > > Your use of Yahoo! Groups is subject to
> > > > http://docs.yahoo.com/info/terms/
> > > > > >
> > > > > >
> > > > >
> > > > >
> > > > > To unsubscribe from this group, send an email to:
> > > > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > > > >
> > > > >
> > > > >
> > > > > Your use of Yahoo! Groups is subject to
> > > http://docs.yahoo.com/info/terms/
> > > > >
> > > > >
> > > >
> > > >
> > > > To unsubscribe from this group, send an email to:
> > > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > >
> > >
> >
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> >
> >
> >
> >
> >
> > To unsubscribe from
> > this group, send an email to: realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> >
> >
>
>
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxxxxxx
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Free $5 Love Reading
Risk Free!
http://us.click.yahoo.com/Pp91HA/PfREAA/Ey.GAA/zMEolB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|