"Historic price pattern confirms why fading the bear (buy low) is tougher than fading the bull (sell high)."
Sorry about the typo, I meant fading the bear (buy low) is EASIER than fading the bull (sell high) Sursod --- In amibroker@yahoogroups.com, "sursod" <[EMAIL PROTECTED]> wrote: > > Bullish market price pattern has made it tougher for shorts > historically. Look at NDX from 1986 and 2005: > > FLIP A COIN: > Of a total 5047 days (of 5 no-change days 3 are counted as > continuation and 2 as reversal in hindsight) there are 2731 up and > 2316 down days, that is up:dn 54:46. Flip a coin it would give > better odds on the long side > But the trend has shifted somewhat post 2000, up:down is 51:49. > For the 3 bear years (00-02) up:dn is 49:51 (better for short). > For the 3 bull years (03-05) up:dn is 54:46, in line with the larger > sample. > > TREND FOLLOWING: > Long is more "trending" than short, if we enter long at some zig > point signalled by trend following systems we have better odds of > letting profit run. The trend has shifted somewhat post 2000 (stats > in brackests) > up / dn > Incidence of min 2 consecutive days 689 (198) / 589 (184) > Incidence of min 3 consecutive days 376 (95) / 296 (92) > Incidence of min 4 consecutive days 212 (44) / 138 (40) > Incidence of min 5 consecutive days 108 (21) / 59 (17) > Incidence of min 6 consecutive days 67 (13) / 26 (5) > Incidence of min 7 consecutive days 37 (6) / 10 (2) > Incidence of min 8 consecutive days 18 (2) / 3 (1) > Incidence of min 9 consecutive days 9 (0) / 2 (1) > Incidence of min 10 consecutive days 7 / 0 > Incidence of min 11 consecutive days 5 / 0 > Incidence of min 12 consecutive days 3 / 0 > Incidence of min 13 consecutive days 2 / 0 > Incidence of min 14 consecutive days 1 / 0 > ------------ > Incidence of 19 consecutive moves 1 / 0 > > FADING (SELL OB BUY OS): > Whether we use single indicator or voting / synchronization among a > flock, OB signals are generally less reliable and more difficult to > use than OS signals. Historic price pattern confirms why fading the > bear (buy low) is tougher than fading the bull (sell high). > (2000-2005 numbers in first bracket) > [2003-2005 numbers in square beacket] > Fade the bull odds: > Fade after 1. day up 42% (50%) [48%] > Fade after 2. day up 45% (52%) [56%] > Fade after 3. day up 44% (54%) [55%] > Fade after 4. day up 49% (52%) [52%] > Fade after 5. day up 38% (38% ) [20%] > Fade after 6. day up 45% (54% ) [38%] > Fade after 7. day up 51% (67% ) [60%] > > Odds for shorts are in general under 50:50 historically but over > 50:50 post 2000. This is the general tendency although some of the > consecutive zigzag samples are too few for statistic confidence, > Historically odds decrease again as we go higher into strong bull > territory. > > At any rate shorting NDX is less unfavorable post 2000 > > Sursod > I hope the tables are readable, formatting is usually messed up when > posting from web browser > > > --- In amibroker@yahoogroups.com, "Brian" <brianrichard99@> wrote: > > > > Thanks for all the great advice, everyone -- much appreciated ;-) > > > > Something in return, since this last post touches on it... sector > > correlations... > > > > ProFunds offers a sector correlation matrix on their web site that > > is quite interesting -- find it at > > http://staging.profunds.com/usermedia/pdf/Matrix-1001.pdf > > > > And, I agree with the importance of money management. Scaling in > and > > out and using small "feeler" trades has helped me control my > > emotions, which from my perspective is the most important aspect > of > > trading successfully. > > > > Enjoy! > > > > Brian > > > > > > > > --- In amibroker@yahoogroups.com, dimension@ wrote: > > > > > > I have a couple of systems that work very well with giving buy > and > > > sell/short signals (although I need to alter some parameters > > slightly > > > depending on if I am testing for long vs short). They > absolutely > > shine with > > > the indices or etfs, but are HORRIBLE with individual stocks. I > > think that > > > is to be expected...every security has its own psychology behind > > it and > > > hence the need for software like AmiBroker in helping to > identify > > that > > > psychology. That said, what works for a given security may also > > work well > > > for other stocks that fall within the same sector. I have also > > found that > > > just about every system can be improved upon with a good money > > management > > > policy applied to it. It would be a mistake I think to implement > a > > system > > > with out a sound exit/stop/loss policy. > > > > > > Those are the quick advice I can give...they may be common sense > > to most I > > > suppose. > > > > > > -----Original Message----- > > > From: amibroker@yahoogroups.com > [mailto:[EMAIL PROTECTED] > > On Behalf > > > Of Brian > > > Sent: Thursday, March 09, 2006 2:12 PM > > > To: amibroker@yahoogroups.com > > > Subject: [amibroker] Short system advice? > > > > > > I have some nice, well-tested long systems in place. I was > > surprised > > > when testing my discretionary systems, to find that none of my > > short > > > signals performed nearly as well as the long signals, in the > > > optimization/backtest/monte carlo simulations. > > > > > > Is this common? > > > > > > In addition, I am looking for some ideas around what indicators > to > > use > > > as the foundation for building an adequate short system. Any > > ideas? I > > > did some searches on previous messages here, and did not find > > anything > > > of value. General rules of thumb, and bits of experiential > wisdom, > > are > > > also welcome -- as they apply to short systems. > > > > > > Thanks in advance, > > > > > > Brian > > > > > > > > > > > > > > > > > > > > > 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 other support material please check also: > > > http://www.amibroker.com/support.html > > > > > > > > > Yahoo! Groups Links > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> Try Online Currency Trading with GFT. Free 50K Demo. Trade 24 Hours. Commission-Free. http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. 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