You ARE aware that you were replying to a post from 6 years ago? d
> -----Original Message----- > From: [email protected] > [mailto:[EMAIL PROTECTED] On Behalf Of brian_z111 > Sent: Tuesday, July 08, 2008 11:12 PM > To: [email protected] > Subject: [amibroker] Re: Sector Analysis > > 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 > > > > > > > > > > > > > > > > > > > ------------------------------------ > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > Yahoo! Groups Links > > >
