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--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> Dimitris,
>
> >>When i give EXACTLY individual analysis, you ask "why use it ONLY
on the QQQ? ". It is strange, isnt it?>>
>
> In your very first post on this subject, it appeared, at least to
me, you were suggesting it for the QQQ. You made no mention of it
being used for anything else. So, naturally, I had the impression you
had developed this system for QQQ only.
>
> >>[have you seen anything more simple than this ?]>>
>
> Yes, the time-proven Turtle breakout system. They go long when the
highest high of the last 55 days is exceeded (breakout) or go short
when the lowest low of the last 55 days is exceeded. They exit the
long position when the lowest low of the last 20 days is exceeded or
the short position when the highest high for the last 20 days is
exceeded. That's it. No indicators, no moving averages, no
stochastics, no oscillators, only the high and low. I don't know of
any simpler system than that (although, there are other nuances, like
not taking the signal if the last theoretical trade was a winner).
The thing about that system is that it makes logical sense. It's easy
to understand and picture in the mind. The idea is that if a security
(stock or commodity) breaks out of a trading range, there is likely
to be a continuing momentum that will carry it into a long term
trend. There are lots of false signals, but when it is not false, the
profits are really big. Lots of people who follow the Turtle system
have made lots of money with it over the years.
>
> When I read your code with no explanatory notes, I was puzzled as
to the meaning of the lines, and frankly I still am. The coefficiet
0.001 is likely good only for the QQQ. True?
No, this is not true. The D-ratio=(H-L)/(H+L) has similar range for
all stocks, see the suggested explorations or wait for the detailed
examples later today.
I suppose it has to be different if a $200 stock is being used,
right?
Negative again, the D-ratio is a relative quantity, not an absolute
one.
What's the fundamental basis of the 0.001?
It is a coefficient to arrange D-ratio values in the scale 0-100
The H+L? The other parameter coefficients? If the H/L spread shrinks
at the peak in price, then adding the high to the low value and
multiplying it by a bigger number compensates for when the H/L spread
increases at the trough, where you multiply the sum of the H and L by
a lower number.
H+L is used as an "average" of intraday values instead of C.
In MANY indicators we use (H+L)/2 or (H+L+C)/3 or (H+L+2*C)/4 instead
of C.
You buy when the range is greater than the product of H+L*0.001*43.
It's all completely and totally empirical.
I do not see any problem to use empirical relations. If, someday,
they will be replaced by more "scientific" ones, I will be glad, but
they will be much more complicated and there is no doubt about it.
14 and 43 were the optimal values for QQQ, nothing more, nothing
less. I did not speak for something universal, it was just an
individual study.
Again, as I said for the 0.001 coefficient, I suspect each stock
would have to have its own d1 and d2 parameter values, right? If
that's true, it would be too complicated, at least for my feeble
mind, to keep track of all those different parameter values.
I agree with you but what can I do ?
>
> >>Do you understand the same question for the indicators you use ?
Do you "see" the meaning of StochD()<30 for example?>>
>
> This may come as a surprise to you, Dimitris, but I try to avoid
use of indicators as much as possible, and most especially if I don't
understand the indicator. I like ADX as a trigger for the beginning
of a trend. I can go into a long explanation as to why, but that
would be counterproductive on this board. I use simple trailing
stops. I don't use Stochastics, RSI, DEMA, TEMA, etc., etc.
I consider the analytic RSI formula by far more complicated than the
H/L relations. As for DEMA and TEMA, I will not discuss it at all.
If you really have a "common" understanding for TEMA, please, do not
hesitate to post it, everybody will read it.
All I was saying was when you suggest and post a trading system on
the board, it would be nice to have a short explanatory dialogue for
its use or in support of its basis. That's all. You said Stoch()<30
is much more complicated than a simple H/L relation. You are right.
But, I didn't understand the particular H/L relation you were
proposing. Thanks for your contribution.
I will post the D-ratio study today. After reading it, please ask
anything you want and I will try to respond.
DT
PS: Shall we open a new thread re:Turtles ?
Do you Have any experience ? Any recent backtesting results ?
Have you coded the system ?
>
> AV
>
>
> ----- Original Message -----
> From: dtsokakis
> To: amibroker@xxxx
> Sent: Sunday, June 23, 2002 4:06 PM
> Subject: [amibroker] Re: QQQ Individual Analysis
>
>
> Well,
> I try to respond as fast as possible, as you see.
> Different questions from different points of view.
> It is not only QQQ, we have had the same discussion with Don
today
> for MSFT.
> QQQ was an example. Just an example.
> This excellent forum is strange.
> When I give Trade the Market systems, many people ask for
individual
> analysis. When i give EXACTLY individual analysis, you ask "why
use
> it ONLY on the QQQ? ".
> It is strange, isnt it?
> Many people ask for a "copy/paste" formula without explanations.
> When I give a SIMPLE, PRE-INDICATOR formula with H and L only,
[have
> you seen anything more simple than this ?], nobody is satisfied,
> because they want to learn something "behind" the formula.
> Please, do not make simple things to look as complicated.
> When the stock is near the peak the H/L spred shrinks, when it is
> near the trough the spread widens and thats all.
> It is just an observation and it may be translated to some
trading
> rules. Is it more complicated than RSI mechanism ?
> I think no.
> I would like to read what you do not understand, but, before
posting
> your [interesting] question just think : Do you understand the
same
> question for the indicators you use ?
> Do you "see" the meaning of StochD()<30 for example ?
> I think it is much more complicated than a simple H/L relation ?
> I would like to have your opinion.
> DT
> --- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> > DT,
> >
> > Several people have asked you to explain the rationale behind
your
> latest "system", but you have not responded. I think it would be
very
> helpful that, whenever someone submits a trading idea to the
group,
> he/she at least includes a short paragraph with some brief
> explanation or support for the rationale behind the system or
idea. I
> look at the code and it baffles me what it is trying to say. You
buy
> when the today's range exceeds 0.1% of a fudge factor multiplying
the
> sum of the high and low, and you sell when today's range is less
than
> this product. What the heck does that mean? And, why use it ONLY
on
> the QQQ? Very baffling.
> >
> > Al V.
> > ----- Original Message -----
> > From: Nurudin Kaba
> > To: amibroker@xxxx
> > Sent: Sunday, June 23, 2002 6:18 PM
> > Subject: RE: [amibroker] Re: QQQ Individual Analysis
> >
> >
> > 14,43 happen to be the optimum numbers...though it does form
an
> island using Herman's 3D graphing via excel...
> >
> > Interesting...but still don't understand the rational behind
the
> system.
> >
> > Thanks
> > -----Original Message-----
> > From: dtsokakis [mailto:TSOKAKIS@x...]
> > Sent: Sunday, June 23, 2002 12:10 PM
> > To: amibroker@xxxx
> > Subject: [amibroker] Re: QQQ Individual Analysis
> >
> >
> > As you see in settings, the final result is for Long &
short
> trades.
> > If you select Long only, or Short only, you get the
respective
> results
> > ///QQQ [14,43]=+177% [LONG]
> > ///QQQ [14,43]=+359% [SHORT] AND
> > ///QQQ [14,43]=+1175% [LONG & SHORT]
> > for parameters values 14, 43
> > DT
> > --- In amibroker@xxxx, "Nurudin Kaba" <n.kaba@xxxx> wrote:
> > > DT, what is the premise behind HL.afl.
> > >
> > > Thanks
> > > -----Original Message-----
> > > From: dtsokakis [mailto:TSOKAKIS@x...]
> > > Sent: Sunday, June 23, 2002 11:16 AM
> > > To: amibroker@xxxx
> > > Subject: [amibroker] Re: QQQ Individual Analysis
> > >
> > >
> > > Peter,
> > > My data begin on 3/1/2000.
> > > See analytic #
> > > http://groups.yahoo.com/group/amibroker/message/20095
> > > DT
> > > --- In amibroker@xxxx, "bluesinvestor" <investor@xxxx>
> wrote:
> > > > Dimitris,
> > > >
> > > > Again great performance and yet not the same trades
or
> > results ...
> > > does your
> > > > history go back further than Jan 2000?
> > > >
> > > > Peter
> > > > -----Original Message-----
> > > > From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> > > > Sent: Sunday, June 23, 2002 11:59 AM
> > > > To: amibroker@xxxx
> > > > Subject: [amibroker] QQQ Individual Analysis
> > > >
> > > >
> > > > If you are fed up from my Composite Analysis, let
us
> make a
> > break
> > > with an
> > > > individual one.
> > > > Simple logic, simple profits, pre-indicator era.
[High,
> Low
> > and
> > > thats all
> > > > !!]
> > > > Dimitris Tsokakis
> > > >
> > > >
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