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> > Disclaimer: DON'T USE THIS SYSTEM! As far as I can tell it loses
> > money across all time frames and parameter sets.
I stand corrected, it did make about $15/trade before slippage/comm.
on one test of 1 minute SPH2 data.
> > > > My take is the ticki is generally too noisy...
The test showed 2100+ trades in 11 days,
BW
>From: "Wes Williams" <softexcl@xxxxxxx>
>Reply-To: <softexcl@xxxxxxx>
>To: "Bill Wynne" <tradewynne@xxxxxxxxxxx>, <softexcl@xxxxxxx>,
><mr_bond@xxxxxxxxx>, <ebonugli@xxxxxxxx>, <omega-list@xxxxxxxxxx>
>CC: <rfurse@xxxxxxxxxxxx>
>Subject: RE: OddBall as a market timing tool
>Date: Thu, 21 Feb 2002 13:34:06 -0700
>
>Bill,
>
>I am unsure of your intent or the timeframes you used, but were you using
>1-minute bars on the TIKI or something else? Program trading only lasts for
>a short while and when it starts, the TIKI will move but then return to
>"normal," whatever that may be in a few minutes. So, if you were using a
>longer timeframe for Data2 perhaps you have a reason why? The TIKI is for
>day trader timing only, in my opinion. Even then, there are other things
>that can make the TIKI move other than program trading, which is why it is
>imperfect. But program trading will move it.
>
>Sincerely,
>Wes
>
> > -----Original Message-----
> > From: Bill Wynne [mailto:tradewynne@xxxxxxxxxxx]
> > Sent: Thursday, February 21, 2002 1:00 PM
> > To: softexcl@xxxxxxx; mr_bond@xxxxxxxxx; ebonugli@xxxxxxxx;
> > omega-list@xxxxxxxxxx
> > Cc: rfurse@xxxxxxxxxxxx
> > Subject: RE: OddBall as a market timing tool
> >
> >
> > {S&P data1, TICKI data2}
> >
> > Inputs: RL(14);
> > If rsi(Close Data2, RL) > rsi(Close[1] Data2, RL) Then Buy;
> > If rsi(Close Data2, RL) < rsi(Close[1] Data2, RL) Then Sell;
> >
> > Here you go, check how "robust" it is for yourself.....sorry,
> > I just can't help it some times. :-)
> >
> > BW
> >
> > Disclaimer: DON'T USE THIS SYSTEM! As far as I can tell it loses
> > money across all time frames and parameter sets.
> >
> >
> > >From: "Wes Williams" <softexcl@xxxxxxx>
> > >Reply-To: <softexcl@xxxxxxx>
> > >To: "Bill Wynne" <tradewynne@xxxxxxxxxxx>, <mr_bond@xxxxxxxxx>,
> > ><softexcl@xxxxxxx>, <ebonugli@xxxxxxxx>, <omega-list@xxxxxxxxxx>
> > >CC: <rfurse@xxxxxxxxxxxx>
> > >Subject: RE: OddBall as a market timing tool
> > >Date: Thu, 21 Feb 2002 12:16:18 -0700
> > >
> > >I agree with David's assessment on the TIKI as it stands, but do
> > this: Run
> > >an RSI against it and use that as your indicator rather than the
> > TIKI per
> > >se
> > >(you won't read that in the books). It is still imperfect but I had a
> > >friend
> > >who used it to verify the trade he was about to take. If the RSI on the
> > >TIKI
> > >was strongly pointing the other direction, he wouldn't take the
> > trade until
> > >more information came in.
> > >
> > >Jim Johnson cited the Larry McMillan book I read on the TIKI. I
>wouldn't
> > >recommend the book for just the chapter on the TIKI unless you can get
>it
> > >from the library or borrow it.
> > >
> > >Sincerely,
> > >Wes
> > >
> > > >
> > > >
> > > > David:
> > > >
> > > > My take is the ticki is generally too noisy, while in
> > > > strong trends it may not get to some arbitrary point
> > > > (say -20) and you miss the move. But hey, if someone
> > > > has a ticki system that beats the basic OB, or whatever,
> > > > please post the results.
> > > >
> > > > Perhaps my comment "a complete waste of time" is too
> > > > harsh, but I think there are better places to look.
> > > >
> > > > BW
> > > >
> > > >
> > > > >From: "David Folster" <mr_bond@xxxxxxxxx>
> > > > >To: "Bill Wynne" <tradewynne@xxxxxxxxxxx>, <softexcl@xxxxxxx>,
> > > > ><ebonugli@xxxxxxxx>, <omega-list@xxxxxxxxxx>
> > > > >CC: <rfurse@xxxxxxxxxxxx>
> > > > >Subject: Re: OddBall as a market timing tool
> > > > >Date: Thu, 21 Feb 2002 10:28:01 -0800
> > > > >
> > > > >Bill,
> > > > >
> > > > >I found TIKI had some value as a daytrading technique if you
> > > > used it as an
> > > > >oversold measure in a rising market and vice versa for a falling
> > >market.
> > > > >i.e. If 5 minute SP > than 25 period MA and tiki = -20 or less,
>buy.
> > > > >Didn't
> > > > >define an exit technique but one possibility would be exit when
> > > > you have a
> > > > >profit and the majority of a 5 minute tiki bar is < 0. Possibly
> > > > adding my
> > > > >OB DB as a filter for longs/shorts would work better.
> > > > >
> > > > >Any comments?
> > > > >
> > > > >David
> > > > >
> > > > > > Raschke, Conners, Schwartz all talk about tick and tiki
> > >methodologies
> > > > > > in recent books..... (IMHO a complete waste of time...the tiki
> > >systems
> > > > >that
> > > > > > is). Ned Davis and many others have been doing breadth (i.e.
> > > > > > A/D) research for decades.
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