Fi-Fi-Fi-Fibonacci? Truly the astrology of TA, but with even less logic. Yuki
Friday, May 9, 2008, 8:57:30 PM, you wrote: w> I don't buy that (i.e., "both right, but not at the same time"). w> When used properly price levels (e.g., S&R, Fibonacci, Gann, etc.) w> and momentum provide distinctly different information and are not w> duplicative. As a result, there is no reason not to use them w> together and I for one always do. w> Bill w> ----- Original Message ----- w> From: brian_z111 w> To: [email protected] w> Sent: Thursday, May 08, 2008 7:54 PM w> Subject: [amibroker] Re: Jake Bernstein Momentum formula w> As Yuki said, "they are both right, but not at the same time". w> The company, and dicussion, around the coffee table is good but as w> Ralph Vince said "trading is not an intellectual exercise, it is more w> like a street fight". w> Forget right or wrong - get in there and beat the heck out of every w> opponent (mean reversion, trend trading, Hurst, S/R) what ever comes w> along. w> (that means work them over with backtesting - what is the most you w> can squeeze out of that style e.g. a reversion to mean trade - can w> you do better if you change it up a bit - when you reach exhaustion w> point with that trade then you know exactly what its limits are - be w> honest with yourself - have you really squeezed all of the juice out w> of that style - after a while you start to see that sometimes the w> same opponent returns in another outfit and you can't be bothered w> beating up on the same old foe over and over). w> When they are all defeated keep your eyes peeled and your nerves w> steeled for any new challengers who are coming along and give them a w> hiding too. w> P.S. anyone can see my trading biases but they can also see I am w> thinking about, and paying respect to, trading styles that don't come w> naturally to me. w> brian_z w> --- In [email protected], "Louis Préfontaine" w> <[EMAIL PROTECTED]> wrote: w> > w> > Thanks Brian. Indeed, that looks like prehistoric stuff... w> > w> > BTW, what is your opinion about the S/R breakout vs reversion to w> mean w> > debate? w> > w> > Thanks, w> > w> > Louis w> > w> > 2008/5/8 brian_z111 <[EMAIL PROTECTED]>: w> > w> > > If your trading system rules are based on things like "buy when w> the w> > > short term moving ave crosses the long term moving ave". w> > > w> > > The MA is looking back so many periods to make its calculation w> e.g. MA w> > > (C,15) is looking back 15 periods. w> > > w> > > If you test a range of MA periods, to select your best MA w> crossover w> > > system, then you are optimising the lookback period (at least w> that is w> > > what I mean). w> > > w> > > brian_z w> > > w> > > --- In [email protected] <amibroker% w> 40yahoogroups.com>, "Louis w> > > Préfontaine" w> > > <rockprog80@> wrote: w> > > > w> > > > Hi Brian and everyone, w> > > > w> > > > What exactly do you mean by "optimisation of lookback period"? w> > > > w> > > > I had a lot of fun reading this thread. I wonder what is better: w> > > > support/resistance breakout or reversion to mean. Worked with w> > > both; don't w> > > > know yet what works better. I've seen people been sure of their w> > > opinions, w> > > > but I'd like to read some arguments... w> > > > w> > > > Louis w> > > > w> > > > 2008/5/8 brian_z111 <brian_z111@>: w> > > > w> > > > > It's just an opinion, but it is based on observation. w> > > > > w> > > > > I'm referring to systems designed by optimising lookback w> periods. w> > > > > w> > > > > I'm happy to be proved wrong ...so you are saying we can w> achieve w> > > > > better than 30-40%PA, on long term average (through various w> market w> > > > > cycles) using 'optimisation of lookback period' techniques? w> (EOD, w> > > no w> > > > > leveraging). w> > > > > w> > > > > brian_z w> > > > > w> > > > > w> > > > > --- In [email protected] <amibroker% w> 40yahoogroups.com><amibroker% w> > > 40yahoogroups.com>, w> > > w> > > > > "bilbo0211" <bilbod@> wrote: w> > > > > > w> > > > > > "I will stick to my prediction that around 30%PA EOD w> trading is w> > > a w> > > > > > limit for indicators that use lookback periods and that to w> > > achieve w> > > > > > more than this requires a different approach (as I say you w> are w> > > both w> > > > > > correct except I believe that Steve is talking about >30%PA w> > > > > returns)." w> > > > > > w> > > > > > Is this just your opinion or do you have something that w> > > approaches w> > > > > > 'scientific proof' of this allegation? w> > > > > > w> > > > > > In "The Profit Magic of Stock Transaction Timing" by J M w> Hurst, w> > > the w> > > > > > author claims the theoretical maximum annual ROI for stock w> > > trading w> > > > > is w> > > > > > 2400%. ROI is directly related to the holding period for w> each w> > > trade w> > > > > > and being fully invested at all times (the 'Magic' is in the w> > > power w> > > > > of w> > > > > > compounding). w> > > > > > w> > > > > > Hurst recorded the results of a 6 week real time trading w> > > experiment w> > > > > in w> > > > > > which his performance trading high beta stocks approached w> his w> > > > > > theoretical maximum annual ROI. w> > > > > > w> > > > > > Hurst waited until the dominant cycles in his trading w> instrument w> > > > > were w> > > > > > in alignment before trading (this is also called multiple w> time w> > > frame w> > > > > > or multiple fractal alignment). He primarily used daily and w> > > weekly w> > > > > charts. w> > > > > > w> > > > > > The theoretical maximum ROI is actually much higher than w> 2400% w> > > if w> > > > > you w> > > > > > use intraday charts and leveraged trading instruments. w> > > > > > w> > > > > > If you look in the Amibroker Trading System Yahoo group, you w> > > will w> > > > > find w> > > > > > a poll of results of people's mechanical trading systems. w> IIRC, w> > > the w> > > > > > best ones listed returned over 400% per year. w> > > > > > w> > > > > > Bill w> > > > > > w> > > > > > --- In [email protected] <amibroker% w> 40yahoogroups.com><amibroker% w> > > 40yahoogroups.com>, w> > > > > "brian_z111" <brian_z111@> wrote: w> > > > > > > w> > > > > > > 20 - (- 9.3_ == approx delta 30% PA in my books. w> > > > > > > w> > > > > > > Thanks Yuki for confirming this. w> > > > > > > Now I don't have to post a 30% system (as I promised w> Louis) to w> > > > > prove w> > > > > > > my benchmark is correct. w> > > > > > > w> > > > > > > Actually I agree with both you and Steve (the real w> problem is w> > > > > > > semantics since IMO close analysis would show that most w> of us w> > > are w> > > > > > > moementum traders and also that most of us are using a w> kind of w> > > > > S/R in w> > > > > > > some way - the difference is how we perceive and define w> these w> > > > > things). w> > > > > > > w> > > > > > > I will stick to my prediction that around 30%PA EOD w> trading w> > > is a w> > > > > > > limit for indicators that use lookback periods and that to w> > > > > achieve w> > > > > > > more than this requires a different approach (as I say w> you are w> > > > > both w> > > > > > > correct except I believe that Steve is talking about >30% w> PA w> > > > > returns). w> > > > > > > w> > > > > > > (Steve - care to confirm?) w> > > > > > > w> > > > > > > brian_z w> > > > > > > w> > > > > > > w> > > > > > > w> > > > > > > w> > > > > > > --- In [email protected] <amibroker% w> 40yahoogroups.com><amibroker% w> > > 40yahoogroups.com>, Yuki w> > > w> > > > > Taga <yukitaga@> wrote: w> > > > > > > > w> > > > > > > > Gee, then I guess I should give back my ~20 percent a w> year w> > > that w> > > > > is w> > > > > > > > largely based on short-term momentum swings, yes? (I'm w> > > sitting w> > > > > plus w> > > > > > > > 13 percent YTD this year already, as of yesterday, w> versus - w> > > 9.3 w> > > > > > > > percent for my Nikkei 225 benchmark.) w> > > > > > > > w> > > > > > > > You do have to be agile however. And you cannot overstay w> > > your w> > > > > > > > welcome. But the money is there for momentum systems if w> > > > > designed w> > > > > > > > and tested properly. w> > > > > > > > w> > > > > > > > "Support" exists, but everyone knows where it is. w> Exactly w> > > > > where it w> > > > > > > > is. And somebody (I'll leave it to you to guess who) is w> > > going w> > > > > to w> > > > > > > > ring the bell and tell you that (resistance failed) or w> > > (support w> > > > > > > > failed). What are you going to do, then? You're going to w> > > stop w> > > > > > > > yourself out of course. With a loser. w> > > > > > > > w> > > > > > > > Which is likely to be more profitable, and for a longer w> > > period w> > > > > of w> > > > > > > > time? Systems that compel you to do the psychologically w> > > > > difficult, w> > > > > > > > or systems that suggest that you do the patently w> obvious? w> > > > > > > > w> > > > > > > > Is there anyone beyond 7th grade that doesn't know where w> > > > > support and w> > > > > > > > resistance is? Are there great systems that rely on w> widely w> > > > > known w> > > > > > > > community knowledge? w> > > > > > > > w> > > > > > > > Look for a system that has good metrics, but a system w> that w> > > also w> > > > > > > > suggests that what you need to do will be w> psychologically w> > > > > difficult w> > > > > > > > for you to do, in spite of having back-tested results w> > > > > indicating w> > > > > > > that w> > > > > > > > you are foolish if you *don't* do it. Then you are good w> to w> > > go, w> > > > > as w> > > > > > > > they say. Good to go as long as you do it, of course. w> > > > > > > > w> > > > > > > > If your system is easy to follow (by that, I mean that w> it's w> > > > > > > > psychologically easy for you to make the trades), it's w> > > probably w> > > > > a w> > > > > > > > loser. And vice-versa. The best systems have good w> metrics, w> > > yet w> > > > > > > > despite that they almost defy the trader w> (psychologically) w> > > to w> > > > > make w> > > > > > > > the trades. There is no free lunch. w> > > > > > > > w> > > > > > > > Yuki w> > > > > > > > w> > > > > > > > Thursday, May 8, 2008, 11:50:01 AM, you wrote: w> > > > > > > > w> > > > > > > > w> > > > > > > > s> Anthony, w> > > > > > > > w> > > > > > > > s> Do yourself a big favor. Don't waste your precious w> time w> > > on w> > > > > this w> > > > > > > > s> earth with this kind of drivel. Chasing price with w> > > > > momentum w> > > > > > > > s> indicators is not going to get you where you want to w> be. w> > > > > > > > w> > > > > > > > s> Coming up with a support/resistance system is all you w> > > need w> > > > > to w> > > > > > > make w> > > > > > > > s> whatever you want from the markets. w> > > > > > > > w> > > > > > > > s> I've seen hundreds of traders get wiped out trying w> to go w> > > on w> > > > > the w> > > > > > > path w> > > > > > > > s> you're following and all of the successful traders w> I've w> > > been w> > > > > > > around w> > > > > > > > s> in the e-mini futures have used S/R as the w> foundation of w> > > > > their w> > > > > > > > s> trading methodology. w> > > > > > > > w> > > > > > > > s> And, above all, embrace your emotions in trading w> because w> > > > > they w> > > > > > > teach w> > > > > > > > s> you what you should and shouldn't do going forward. w> > > > > Computers w> > > > > > > learn w> > > > > > > > s> nothing while you learn from every win and loss you w> make. w> > > > > > > > w> > > > > > > > s> Finding an edge in trading is easy. It's only hard if w> > > > > you're w> > > > > > > using a w> > > > > > > > s> computer to find a needle in a haystack because you w> > > didn't w> > > > > make w> > > > > > > a w> > > > > > > > s> good enough investment in real-time observations of w> the w> > > > > markets w> > > > > > > while w> > > > > > > > s> researching an edge you'd like to trade.. That makes w> all w> > > > > the w> > > > > > > > s> difference in the world for knowing what works and w> what w> > > > > doesn't. w> > > > > > > > w> > > > > > > > s> You'll come up with 10 edges to trade if you put the w> > > time in w> > > > > to w> > > > > > > > s> experience a live market on a regular basis without w> > > trying w> > > > > so w> > > > > > > hard. w> > > > > > > > s> It will bring out your imagination and creativity to w> find w> > > > > what w> > > > > > > you're w> > > > > > > > s> looking for. w> > > > > > > > w> > > > > > > > s> I wish someone had told me that 4.5 years ago when I w> > > started w> > > > > > > trading w> > > > > > > > s> the ER2 e-mini. It would have saved me a lot of time w> > > > > chasing w> > > > > > > > s> nonsense. w> > > > > > > > w> > > > > > > > w> > > > > > > > s> --- In [email protected]<amibroker% w> 40yahoogroups.com><amibroker% w> > > 40yahoogroups.com>, w> > > w> > > > > "ihsaham" <ihsaham@> wrote: w> > > > > > > > >> w> > > > > > > > >> Hai Tomasz, w> > > > > > > > >> w> > > > > > > > >> This is simple Jake Bernstein Momentum Formula for w> chart w> > > and w> > > > > > > > s> scanner. w> > > > > > > > >> Please help me give arrow buy and sell. Buy arrow is w> > > Green w> > > > > > > colour w> > > > > > > > s> and w> > > > > > > > >> Sell Arrow is Red Colour. w> > > > > > > > >> w> > > > > > > > >> I really appreciate and thanks for you in advance. w> > > > > > > > >> w> > > > > > > > >> Best Regards, w> > > > > > > > >> Anthony Idic w> > > > > > > > >> w> > > > > > > > >> w> > > > > > > > >> w> > > > > > > > >> _SECTION_BEGIN(" $ Momentum "); w> > > > > > > > >> w> > > > > > > > >> w> > > > > > > > >> /* Bernstein Momentum Indicator */ w> > > > > > > > >> /* Set Scaling to Automatic, Show dates On, Percent w> On, w> > > > > Middle w> > > > > > > On */ w> > > > > > > > >> w> > > > > > > > >> Title = "Bernstein MOM Close - Ref(Close,-7)"; w> > > > > > > > >> GraphXSpace = 5; w> > > > > > > > >> Graph0 = MA(Close - Ref(Close,-7),1); w> > > > > > > > >> Graph0Style = 5; w> > > > > > > > >> Graph0Color = 29; w> > > > > > > > >> Graph1 = MA(Graph0,5); w> > > > > > > > >> Graph1Style = 1; w> > > > > > > > >> Graph1Color = 32; w> > > > > > > > >> w> > > > > > > > >> w> > > > > > > > >> DaysAgo =Optimize("DaysAgo",-28,-40,-16,4); w> > > > > > > > >> Fast = Optimize("Fast", 1, 1,5,1); w> > > > > > > > >> Slow = Optimize("Slow",28,16,40,4); w> > > > > > > > >> /* Note: It is merely a coincidence that DaysAgo and w> Slow w> > > > > use w> > > > > > > the w> > > > > > > > >> same parameter set. */ w> > > > > > > > >> w> > > > > > > > >> Buy = Cross( MA(Close - Ref(Close,DaysAgo),Fast), w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Slow) ); w> > > > > > > > >> w> > > > > > > > >> Sell = Cross( MA(Close - Ref(Close,DaysAgo),Slow), w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Fast) ); w> > > > > > > > >> w> > > > > > > > >> w> > > > > > > > >> Short = Cross( MA(Close - Ref(Close,DaysAgo),Slow), w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Fast) ); w> > > > > > > > >> w> > > > > > > > >> Cover = Cross( MA(Close - Ref(Close,DaysAgo),Fast), w> > > > > > > > >> MA(Close - Ref(Close,DaysAgo),Slow) ); w> > > > > > > > >> _SECTION_END(); w> > > > > > > > >> w> > > > > > > > w> > > > > > > w> > > > > > w> > > > > w> > > > > w> > > > > w> > > > w> > > w> > > w> > > w> > w> ------------------------------------ w> Please note that this group is for discussion between users only. w> To get support from AmiBroker please send an e-mail directly to w> SUPPORT {at} amibroker.com w> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: w> http://www.amibroker.com/devlog/ w> For other support material please check also: w> http://www.amibroker.com/support.html w> Yahoo! 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