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Hello Heiko,
right. not to be shill for Ruggerio but Murray also has some code,
don't know if its inthe book, that uses on on-going corellation of
variables as a signal. In his case I recall he uses the cor betw open
interest and volume as an indicator of commercial behavior.
--
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxxxxxxx
Wednesday, March 13, 2002, 9:28:25 AM, you wrote:
>> I believe it is Mark Cook who describes Bonds and equities as cycling
>> thru phases--dating, married, divroced. That may explain the 1999
HS> For this you can use correlation.
>>0.X they married
HS> <-0.X they divorced
HS> Then you now in with direction you can use the TBond or better not.
HS> Heiko
HS> ----- Original Message -----
HS> From: "Jim Johnson" <jejohn@xxxxxxxxxxxxxxxx>
HS> To: "Beyond OddBall" <beyond_oddball@xxxxxxxxx>
HS> Cc: <omega-list@xxxxxxxxxx>
HS> Sent: Wednesday, March 13, 2002 12:38 AM
HS> Subject: Re: BondBall beats OddBall in year 2002
>> Hello Beyond,
>>
>> I believe it is Mark Cook who describes Bonds and equities as cycling
>> thru phases--dating, married, divroced. That may explain the 1999
>> findings for example. this type of system may be a great candidate
>> for equity curve filtering. Murray Ruggerio presents some code for
>> this in his book, Cybernetic Trading Strategies, as I recall.
>>
>> --
>> Best regards,
>> Jim Johnson mailto:jejohn@xxxxxxxxxxxxxxxx
>>
>> Tuesday, March 12, 2002, 2:22:27 PM, you wrote:
>>
>>
>> BO> I'm getting ~$60,000 TNP, with a profit factor of 3.55
>> BO> and ~$8,000 MIDD.
>>
>> BO> Constructing OddBall systems with data offsets running
>> BO> ADV issues earlier than S&P is cheating yourself. But
>> BO> US Bond futures DO open over an hour earlier, so why
>> BO> not explore any possible advantage. Even besides
>> BO> 8:30am news events, Bond traders are known to be some
>> BO> of the first to react.
>>
>> BO> Too bad it does not perform as well under long term
>> BO> historical testing (needs tweaking ?). But maybe there
>> BO> is some use for the concept - as a filter - or as an
>> BO> addition to . . .
>>
>>
>> BO> This code is roughly opposite of OddBall, but with
>> BO> lookback of only 2 bars. This strategy failed during
>> BO> most all of 1999 (when running a normal oddball code
>> BO> on bonds made money), I would still hope a strategy
>> BO> could be devised to characterize the changing cycles
>> BO> of the bond futures so when the bonds started moving
>> BO> in synch with the S&P's you could stop trading this
>> BO> code and monitor it until it returns decent
>> BO> profitability.
>>
>> BO> {Data1 = S&P 500 futures.
>> BO> Data2 = CBOT 30 yr. Bond Futures
>> BO> Always natural hour bars}
>>
>> If time >> 1100 and time <= 1600 then begin
>>
>> BO> Inputs: RL(2), BZ(0), SZ(0);
>>
>> BO> If RateOfChange(Close Data2, RL) < BZ Then Buy;
>> BO> If RateOfChange(Close Data2, RL) > SZ Then Sell;
>>
>> BO> End;
>>
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