Hi Brian, I really enjoyed reading your last post. You said that you are limited when talking english... well you sure talk well enough for me to understand you even if I am *very* limited in that matter.
The thing that strucked me in your post is the time question. That's somethingthat have been puzzling me for the last weeks. I just can't make my mind on the timeframe I want to work with. I used to work with 15-minute bars, but then I realized that there was a maximum number of streaming symbols, so I tried to find a way to be able to choose the tickers to go in a watchlist with a maximum number of 500... but that's very difficult (if not impossible) to do. I'd like to read more from you about timeframe and what you consider can be done to work with them in a better way. Thank you, Louis 2008/7/8 brian_z111 <[EMAIL PROTECTED]>: > Jayson, > > Thanks for your post. > > I have an interest in the subject and don't mind to share a little. > > My batteries are a bit flat from a heavy weekend so it won't be my > best effort. > > Lightly referencing posts in this thread. > > Sectors: > > a) it is worth clarifying definitions e.g S&P versus ICB (the Boston > tea party is still ongoing so London/NewYork have to do it > differently) plus there are other players in the sector game > b) then there are sub-sectors, industries etc > c) the business activities, of the constituents of a sector, and > their membership of a sector, don't necessarily equate. > d) you can trade the sectors, themselves, as a sector ETF/option or > other instrument - this possibility tends to fade away outside of > US/Euro (perhaps not for those with local knowledge - it just happens > that I am one of those poor people who is limited to speaking > english). > > Some random links (no idea if they are good/useful but I threw them > in anyway) - there are plenty more to be googled: > > http://www.market-topology.com/ > http://www.sectorspdr.com/correlation/ > > How can we find top sector/industry/stock in AB? > > Technically these things are very easy to do. > More important is selecting a good strategy in the first place. > > IMO the thing to look out for is that 'best' depends on your > definition of 'best' AND also depends on the timeframe (as I told > Dingo - momentum, direction and time are all interelated) - the top > daily sector might not be the top weekly sector (I chose my > timeframes for other reasons e.g. statistical smoothing == high > frequency trading) - highest high of x days or Relative Performance > measures,as mentioned by Jayson are certainly worthwhile thinking > about (I am not limited to that though). > > How do we use it - what are the typcal W/L ratios - how much can we > win etc? > > Per my previous comments: > > - the long term market is the rational market (based on company > valuations) e.g. a stock/sector with stable and growing > earnings/dividends can not keep going down forever - or vice versa > (however they can go down an awful long way 'with the tide' so don't > pre-empt/go against what the charts are telling us). > > Note: we saw, in the dot com bubble, the most extreme example ever(?) > of how pure speculation pushed IT stock prices to unheard of > valuationsNOT before bursting. > > - the short term market is the irrational market - it is almost a > random walk (if we backtest we find so many of our seemingly good > ideas return to near random behaviour over time) - we have to be > competent with evaluation (stats) etc but stats can not 100% confirm > that we are not being 'fooled by randomness' - IMO many times that > traders think they had a good system that was then traded to failure > etc was really an instance of chance luck that faded away with time. > > However - human nature is persistant and predictable (as per > Siddharthas post there are many examples of market inefficiencies, > based on the mechanics of the market, institutional behaviour, human > behaviour, that exist in the market today - not all are short term > e.g. if you follow a good stock all the way down and then wait for > the upturn signals then this long term play will 'beat the market' > for sure - give or take some other techiques thrown in and assuming > random acts of the stock market gods don't overturn the whole game) > > If we can find an edge, based on the psychology of the market, then I > predict we will find a trade that: > > - persists for a long time, > - makes unbelievable W/L ratios,stats, % returns etc (defies the odds) > - probably will survive a lot of small freelance traders playing the > same game > > (thanks to all for a good thread and also the 'new user' thread that > I don't have time to contribute to but enjoyed reading - especially > Siddharthas posts - anything to do with HermanHesse?) > > brian_z > > --- In [email protected] <amibroker%40yahoogroups.com>, "Jayson" > <[EMAIL PROTECTED]> wrote: > > > > All; > > > > A great deal of my work revolves around sector analysis. I like to > select > > stocks whose sectors are strong or advancing. one way to gauge a > sectors > > strength is to measure its components closing price against > previous prices. > > I like to use 25 day new highs as my gauge. The enclosed scan ( ! > sector > > analysis) creates a list of 13 composite symbols. One for each of > the 12 > > sectors plus one of the entire universe under study. By default the > > composites will be stored in group to 253. > > > > To run the scan first choose a universe of stocks. your range > should equal > > one day. On a large universe your initial scan will take a few > minutes. > > > > to view the composites I use a market Strength indicator (CMF or > your > > favorite) as well as the custom indicator, Sector View. this > indicator > > produces a smooth oscillator in histogram form. readings above 0 > indicate > > market strength, below zero indicate weakness. The number > indicates the % > > of stocks within a given sector that have reached new 25 day highs > or Lows. > > in my bottom pane I have a simple line plot and include volume for > the > > sector. > > > > The resulting tab should look something like this.... > > > > > > > > I have collected this data with XL for over year and found to be > very > > useful. AB makes my life so much easier! there may very well > > be a more efficient way to calculate these composites, I'm open to > any > > suggestions or improvements. btw a simple exploration of group 253 > will > > provide a snapshot of RS by each sector. Those falling above > ~Universe are > > out performing, those below are under performing. I hope some of > you may > > find this useful. > > > > Regards, > > > > > > > > Jayson > > > > >
