|
PureBytes Links
Trading Reference Links
|
Ira,
Which do you trade..the 80%, 70% or 60% scenario...there is only one
answer that's
correct for maximising profits. I find the expectancy's pretty hard to
believe still :-)
Adrian
> -----Original Message-----
> From: ira [mailto:irat@xxxxxxxxx]
> Sent: Friday, 5 July 2002 4:37 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to
> the Hurst cycle?
>
>
> 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.
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > > > 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/
> > > > > >
> > > > > >
> > > > >
> > > > >
> > > > >
> > > > > 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
> ---------------------~--> Will You Find True Love? Will You
> Meet the One? Free Love Reading by phone!
> http://us.click.yahoo.com/ztNCyD/zDLEAA/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/
>
>
------------------------ 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/
|