Hi Louis,
I think that you should be happy with the little bit of extra detail, about timeframes, that I put in my answer for Ara (I basically answered your question there). Something personal for you (I don't give an absolute answer because that would fence you in - I give suggestive, illustrative answers to stimulate you to your own discoveries): We can't buy experience so these things will gel for you later if you persevere. You like to philosophise - so do I, although I am untrained. Philosophy will pay off for you both in life and trading. You can take a break from it though and get some easy gains with a purely pragmatic approach. So, one of the pragmatic reasons for choosing a timeframe is the possible net gain (ave % movement - commissions) - we are not all paying the same commissions so 'what works' varies between traders. Other pragmatic reason could be your temperament e.g. Herman likes working with cutting edge ideas/code so he did a lot of work to pioneer ATR applications for AB and ATR ticks himself (AFAIK). I am on the other side if the world, with Australian commissions, plus, I just make it with very average speed broadband, since I live in regional Australia and only qualify for it courtesy of the fact that I am right at the end of a 15KLM copper cable from the nearest exchange (another 1k up the road and I would have to move house to be able to trade) - facts like this plus the 'IT overheads' of tick/ATR trading keep my preferences elsewhere (not to say I won't do it in the future to stretch my skills etc or if the market DICTATES that I trade that way). Re the trade I mentioned in Ara's post: I can see the trade in RT charts irrespective of whether they are 2, 5 or 10 minute charts - that is the nature of that particular trade - it doesn't necessarily apply to other trades - it starts with the strategy - in this case the charts confirm the strategy in letters as big as the neon sign outside your movie house. People are going to scoff at this but I could even have a winning year, with that trade, using only Yahoo delayed intraday data (I would simply modify the trade to make it work with those charts/timeframes) - it just wouldn't pay as much, in terms of annual return, as running it in RT (keep in mind that my broker(s) run RT charts). Re momentum/trend/timeframes It isn't anything deep or meaningful. Few of us operate with the aim of making money out of a static market, so we rely on movement. Trend only has two playable directions. Momentum has rate (distance per time). If a stock moves up 1% day, when nothing else does, then it is momentum (for that day). Momentum is relative, to other stocks and to the timeframe (look out because local events can cause a stock to have short term momentum compared to long term/endemic momentum - short term/ stock specific momentum probably won't last beyond a few days but it is playable in that time/space - also it can reverberate for a while and replay OR even reverse with playable negative momentum i.e. go back to where it came from, or part of the way). Re the three ducks: - IMO that was a continuation trend trade - granted it could be considered momentum also - depending on the semantics - it relied on an established trend, with a confirming pivot, to signal that the trend would continue (I don't necessarily accept an MA as a trend indicator but for the sake of the argument) - if the rules of that trade stipulated that the pivot required a > 1% move then it would be a momentum trade (depending on where you measure the % change) - if you are making a continuation trade then you missed the start of the trend - any playable trend/momentum, in one timeframe, must have it's beginning in a lower timeframe - how low should you go? - there is absolutely no point in going one timeframe below what stacks up at the pragmatic level (why drill down to ticks if my commissions/internet won't allow me to trade profitably at that level?) brian_z --- In [email protected], "Louis Préfontaine" <[EMAIL PROTECTED]> wrote: > > 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" > > <jcasavant@> 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 > > > > > > > > > >
