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Hi Ron,
This
is what I am set to find out, basically through extensive testing, in the coming
weeks. First thing I'd like to clarify though is that what you are really
talking about are entry signals and not systems. Entry signals, although
important, are only a very small part of a successful
system.
These
are my observations up to now:
Whenever I try detecting a reliable price pattern -
e.g. Cup and Handle I find that my resultset it too small (<100
trades per year (EOD data)) to be able to say if it is reliable or not. I
am not sure how i can improve this - for the time being I am using the US-stocks
database available on the amibroker website.
All
entry signals which I tried designing based on any of the "common" indicators
(Stoch, CCI, RSI etc..) or a combination thereof, and which give a
large-enough result set to determine if it gives constant results or not, never
seem to give a result better than random entry.
I
perform my testing on an entry signal as follows:
A)
Time Base Test
1) I
set up multiple timeframes for my testing scenario
2) I
run a test run using a random entry and a 5 day time based stop for each of
those timeframes, and record the % of winning trades
3) I
run a test run using my entry signal and check whether the # of trades is
greater or less than the random entry benchmark
4)
Repeated over several timeframes I see whether the result is consistent or
not.
B) PL
Ratio Test
Same
as above, but I set 2 stops - one is a Max Stop Loss and one is a Profit Stop,
which is set to a multiple of the Max Stop Loss. Again here I see the number of
winning trades over losing trades. The higher the ratio, the less winning
trades. I personally try my tests using a mutiple of 4.
I
personally would never use a system where the sell condition is the
inverse of the buy condition (e.g. Stoch - Buy on xover of 30, sell on xover of
70) as this type of system for me is totally uncontrollable
and will not apply to my current style of trading. Usually, when
adding a stoploss to such a basic system, the results are
disappointing.
I am
still very new to Amibroker (4 weeks) and trading in general (1 year
experience, mostly negative, trading on fundumentals with tight stops - which i
have come to realise is a losing setup). I have taken a break from trading
activities, purchased Amibroker and I am determined to create a system which
works for me. If there is anybody who can contribute with their own
observations, or disagree with any of my observations above, I would really
appreciate any comments.
regards,
Claude
Does anyone out there think that, at least
theoretically, a holygrail system is possible, and if so, do you
think it would it would it would more likely be possible
via very creative use of the basic indicators such a RSI,
STOCHK, OBV, etc, or would it more likely result from someone's very
creative coding that would be able identify the various price patterns that
happen just before a big breakout occurs. What are your thoughts. Ron
D
----- Original Message -----
Sent: Wednesday, February 09, 2005 6:19
PM
Subject: Re: [amibroker] OT:Re: Technical
Vs technofundumental trading -- For Steve Dugas
Do not despair Richard!
Once I have discovered the
Grail and am making $$ MILLIONS $$ every month, I
will probably sell it to
the general public for a couple hundred bucks. Then
you too can share in
the unlimited riches. : - )
PS - Maybe I will also
tour the country holding seminars. Keep your fingers
crossed :
- )
Steve
----- Original Message -----
From: "Richard
Semock" <semockr@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent:
Wednesday, February 09, 2005 7:08 AM
Subject: [amibroker] OT:Re: Technical
Vs technofundumental trading -- For
Steve
Dugas
>
>
>
> FYI,
> I was rejected due
to not meeting email requirements, they don't like
> my hotmail addr. My
hopes for the quest are dashed!
>
> --- In amibroker@xxxxxxxxxxxxxxx,
"quanttrader714"
> <quanttrader714@x...>
wrote:
>>
>> http://finance.groups.yahoo.com/group/holygrailsm/
>>
>
>
>
>
>
>
>
>
>
>
Check AmiBroker web page at:
> http://www.amibroker.com/
>
>
Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
Yahoo! Groups
Links
>
>
>
>
>
>
>
>
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