Hi Brian and everyone,
What exactly do you mean by "optimisation of lookback period"?
I had a lot of fun reading this thread. I wonder what is better:
support/resistance breakout or reversion to mean. Worked with both; don't
know yet what works better. I've seen people been sure of their opinions,
but I'd like to read some arguments...
Louis
2008/5/8 brian_z111 <[EMAIL PROTECTED]>:
> It's just an opinion, but it is based on observation.
>
> I'm referring to systems designed by optimising lookback periods.
>
> I'm happy to be proved wrong ...so you are saying we can achieve
> better than 30-40%PA, on long term average (through various market
> cycles) using 'optimisation of lookback period' techniques? (EOD, no
> leveraging).
>
> brian_z
>
>
> --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>,
> "bilbo0211" <[EMAIL PROTECTED]> wrote:
> >
> > "I will stick to my prediction that around 30%PA EOD trading is a
> > limit for indicators that use lookback periods and that to achieve
> > more than this requires a different approach (as I say you are both
> > correct except I believe that Steve is talking about >30%PA
> returns)."
> >
> > Is this just your opinion or do you have something that approaches
> > 'scientific proof' of this allegation?
> >
> > In "The Profit Magic of Stock Transaction Timing" by J M Hurst, the
> > author claims the theoretical maximum annual ROI for stock trading
> is
> > 2400%. ROI is directly related to the holding period for each trade
> > and being fully invested at all times (the 'Magic' is in the power
> of
> > compounding).
> >
> > Hurst recorded the results of a 6 week real time trading experiment
> in
> > which his performance trading high beta stocks approached his
> > theoretical maximum annual ROI.
> >
> > Hurst waited until the dominant cycles in his trading instrument
> were
> > in alignment before trading (this is also called multiple time frame
> > or multiple fractal alignment). He primarily used daily and weekly
> charts.
> >
> > The theoretical maximum ROI is actually much higher than 2400% if
> you
> > use intraday charts and leveraged trading instruments.
> >
> > If you look in the Amibroker Trading System Yahoo group, you will
> find
> > a poll of results of people's mechanical trading systems. IIRC, the
> > best ones listed returned over 400% per year.
> >
> > Bill
> >
> > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>,
> "brian_z111" <brian_z111@> wrote:
> > >
> > > 20 - (- 9.3_ == approx delta 30% PA in my books.
> > >
> > > Thanks Yuki for confirming this.
> > > Now I don't have to post a 30% system (as I promised Louis) to
> prove
> > > my benchmark is correct.
> > >
> > > Actually I agree with both you and Steve (the real problem is
> > > semantics since IMO close analysis would show that most of us are
> > > moementum traders and also that most of us are using a kind of
> S/R in
> > > some way - the difference is how we perceive and define these
> things).
> > >
> > > I will stick to my prediction that around 30%PA EOD trading is a
> > > limit for indicators that use lookback periods and that to
> achieve
> > > more than this requires a different approach (as I say you are
> both
> > > correct except I believe that Steve is talking about >30%PA
> returns).
> > >
> > > (Steve - care to confirm?)
> > >
> > > brian_z
> > >
> > >
> > >
> > >
> > > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>, Yuki
> Taga <yukitaga@> wrote:
> > > >
> > > > Gee, then I guess I should give back my ~20 percent a year that
> is
> > > > largely based on short-term momentum swings, yes? (I'm sitting
> plus
> > > > 13 percent YTD this year already, as of yesterday, versus -9.3
> > > > percent for my Nikkei 225 benchmark.)
> > > >
> > > > You do have to be agile however. And you cannot overstay your
> > > > welcome. But the money is there for momentum systems if
> designed
> > > > and tested properly.
> > > >
> > > > "Support" exists, but everyone knows where it is. Exactly
> where it
> > > > is. And somebody (I'll leave it to you to guess who) is going
> to
> > > > ring the bell and tell you that (resistance failed) or (support
> > > > failed). What are you going to do, then? You're going to stop
> > > > yourself out of course. With a loser.
> > > >
> > > > Which is likely to be more profitable, and for a longer period
> of
> > > > time? Systems that compel you to do the psychologically
> difficult,
> > > > or systems that suggest that you do the patently obvious?
> > > >
> > > > Is there anyone beyond 7th grade that doesn't know where
> support and
> > > > resistance is? Are there great systems that rely on widely
> known
> > > > community knowledge?
> > > >
> > > > Look for a system that has good metrics, but a system that also
> > > > suggests that what you need to do will be psychologically
> difficult
> > > > for you to do, in spite of having back-tested results
> indicating
> > > that
> > > > you are foolish if you *don't* do it. Then you are good to go,
> as
> > > > they say. Good to go as long as you do it, of course.
> > > >
> > > > If your system is easy to follow (by that, I mean that it's
> > > > psychologically easy for you to make the trades), it's probably
> a
> > > > loser. And vice-versa. The best systems have good metrics, yet
> > > > despite that they almost defy the trader (psychologically) to
> make
> > > > the trades. There is no free lunch.
> > > >
> > > > Yuki
> > > >
> > > > Thursday, May 8, 2008, 11:50:01 AM, you wrote:
> > > >
> > > >
> > > > s> Anthony,
> > > >
> > > > s> Do yourself a big favor. Don't waste your precious time on
> this
> > > > s> earth with this kind of drivel. Chasing price with
> momentum
> > > > s> indicators is not going to get you where you want to be.
> > > >
> > > > s> Coming up with a support/resistance system is all you need
> to
> > > make
> > > > s> whatever you want from the markets.
> > > >
> > > > s> I've seen hundreds of traders get wiped out trying to go on
> the
> > > path
> > > > s> you're following and all of the successful traders I've been
> > > around
> > > > s> in the e-mini futures have used S/R as the foundation of
> their
> > > > s> trading methodology.
> > > >
> > > > s> And, above all, embrace your emotions in trading because
> they
> > > teach
> > > > s> you what you should and shouldn't do going forward.
> Computers
> > > learn
> > > > s> nothing while you learn from every win and loss you make.
> > > >
> > > > s> Finding an edge in trading is easy. It's only hard if
> you're
> > > using a
> > > > s> computer to find a needle in a haystack because you didn't
> make
> > > a
> > > > s> good enough investment in real-time observations of the
> markets
> > > while
> > > > s> researching an edge you'd like to trade.. That makes all
> the
> > > > s> difference in the world for knowing what works and what
> doesn't.
> > > >
> > > > s> You'll come up with 10 edges to trade if you put the time in
> to
> > > > s> experience a live market on a regular basis without trying
> so
> > > hard.
> > > > s> It will bring out your imagination and creativity to find
> what
> > > you're
> > > > s> looking for.
> > > >
> > > > s> I wish someone had told me that 4.5 years ago when I started
> > > trading
> > > > s> the ER2 e-mini. It would have saved me a lot of time
> chasing
> > > > s> nonsense.
> > > >
> > > >
> > > > s> --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>,
> "ihsaham" <ihsaham@> wrote:
> > > > >>
> > > > >> Hai Tomasz,
> > > > >>
> > > > >> This is simple Jake Bernstein Momentum Formula for chart and
> > > > s> scanner.
> > > > >> Please help me give arrow buy and sell. Buy arrow is Green
> > > colour
> > > > s> and
> > > > >> Sell Arrow is Red Colour.
> > > > >>
> > > > >> I really appreciate and thanks for you in advance.
> > > > >>
> > > > >> Best Regards,
> > > > >> Anthony Idic
> > > > >>
> > > > >>
> > > > >>
> > > > >> _SECTION_BEGIN(" $ Momentum ");
> > > > >>
> > > > >>
> > > > >> /* Bernstein Momentum Indicator */
> > > > >> /* Set Scaling to Automatic, Show dates On, Percent On,
> Middle
> > > On */
> > > > >>
> > > > >> Title = "Bernstein MOM Close - Ref(Close,-7)";
> > > > >> GraphXSpace = 5;
> > > > >> Graph0 = MA(Close - Ref(Close,-7),1);
> > > > >> Graph0Style = 5;
> > > > >> Graph0Color = 29;
> > > > >> Graph1 = MA(Graph0,5);
> > > > >> Graph1Style = 1;
> > > > >> Graph1Color = 32;
> > > > >>
> > > > >>
> > > > >> DaysAgo =Optimize("DaysAgo",-28,-40,-16,4);
> > > > >> Fast = Optimize("Fast", 1, 1,5,1);
> > > > >> Slow = Optimize("Slow",28,16,40,4);
> > > > >> /* Note: It is merely a coincidence that DaysAgo and Slow
> use
> > > the
> > > > >> same parameter set. */
> > > > >>
> > > > >> Buy = Cross( MA(Close - Ref(Close,DaysAgo),Fast),
> > > > >> MA(Close - Ref(Close,DaysAgo),Slow) );
> > > > >>
> > > > >> Sell = Cross( MA(Close - Ref(Close,DaysAgo),Slow),
> > > > >> MA(Close - Ref(Close,DaysAgo),Fast) );
> > > > >>
> > > > >>
> > > > >> Short = Cross( MA(Close - Ref(Close,DaysAgo),Slow),
> > > > >> MA(Close - Ref(Close,DaysAgo),Fast) );
> > > > >>
> > > > >> Cover = Cross( MA(Close - Ref(Close,DaysAgo),Fast),
> > > > >> MA(Close - Ref(Close,DaysAgo),Slow) );
> > > > >> _SECTION_END();
> > > > >>
> > > >
> > >
> >
>
>
>
