You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
For you, Technical Analisys lovers!
- Thread starter abogdan
- Start date
Quote from Roxyman:
You gave me 6 stocks KLAC, MXIM, ERTS,INTU,AMGN,AMAT.
TODAY THE RESULTS WERE
KLAC CLOSE LONG AND SHORT
MXIM CLOSED LONG
ERTS CLOSED SHORT
INTU CLOSED SHORT
AMGN CLOSED SHORT
AMAT CLOSED SHORT.
LETS SEE WHAT HAPPENS THIS AFTERNOON
You can add QLGC as well. I just finished analyzing it. It follows the method the same way!
Regards,
>Please share with us your results.
Yes please do.
We all know what the best day holds for this model, it would be interesting for someone else to determine what happens on days such as the following...(all 2003)
3/11, 5/9, 7/10, 9/19, 9/29, 9/23, 10/14, 10/20, 10/21, 10/29 (the list goes on but that's 10 of the finest).
In short, (or long for that matter) these days are crippling.
Is a bad day with this model the inverse of a winning day?...2x, 3x, 10x, 50x, 100x?
Looking forward to confirmation.
JB
Yes please do.
We all know what the best day holds for this model, it would be interesting for someone else to determine what happens on days such as the following...(all 2003)
3/11, 5/9, 7/10, 9/19, 9/29, 9/23, 10/14, 10/20, 10/21, 10/29 (the list goes on but that's 10 of the finest).
In short, (or long for that matter) these days are crippling.
Is a bad day with this model the inverse of a winning day?...2x, 3x, 10x, 50x, 100x?
Looking forward to confirmation.
JB
Quote from Turok:
>Please share with us your results.
Yes please do.
We all know what the best day holds for this model, it would be interesting for someone else to determine what happens on days such as the following...(all 2003)
3/11, 5/9, 7/10, 9/19, 9/29, 9/23, 10/14, 10/20, 10/21, 10/29 (the list goes on but that's 10 of the finest).
In short, (or long for that matter) these days are crippling.
Is a bad day with this model the inverse of a winning day?...2x, 3x, 10x, 50x, 100x?
Looking forward to confirmation.
There are approximately 8 - 10 % of bad days for this model. But you are not losing much! Your worse drawdown on the day like 9/19 is around 1.2 - 2.5%. The model is not perfect (by any means it is not a holly grail) but it is very agile. I encourage you to test it; you might be surprised. I will be happy to help you with everything I know so far. Mind you that I'm still making it better.
Regards,
I'm not sure I will be able to model this after all. I have much data for volatile NAZ stocks, but do not have data for the necessary stocks that will avoid uptick rule on shorts.
I use WealthLab, but unfortunately, can't get data for the stocks mentioned (i.e., not more than 2 weeks, since I use RealTick as my market feed vendor).
Can anyone out there help with data ???
I use WealthLab, but unfortunately, can't get data for the stocks mentioned (i.e., not more than 2 weeks, since I use RealTick as my market feed vendor).
Can anyone out there help with data ???
>Your worse drawdown on the day like 9/19 is
>around 1.2 - 2.5%
Let's do just a bit of quick and dirty math on that day... (it'll be rough, but not that far off)
30+ flips
Starting shares - 1000
Ending shares - 15,800 (based on 1.1 mulitplier)
Shares traded - 161,185
Commissions paid - $8,000 +
Now, in the perfect world you get to the end of the day and net ~$400. I'll ask a reasonable question...
Can you make it to the end of the day? Do you think that perhaps on the 15th flip when you have to sell 8 thousand shares - 4k of those short, that your slip might start to double from your model?
Let's reasonably suppose that to cover the extra slip caused by size that on the 15th flip we have to mulitply our shares beyond this point by 1.2 rather than the models 1.1. Well, on the 25th flip we got have to move THIRTY THOUSAND shares.
Ok, at 30k shares our slip increases again and we have to go to 1.3 (folks it WILL be a lot more than this in real life) we get to the thirtieth flip and go for home and to make that happen you must move over a hundred and fifty thousand shares. (Uh...huh).
Yeah, go ahead and bail on the 20th and see what it has cost you.
I've gone far enough. Let is just be said that models don't fit the real world.
Perhaps abogdan has a black box that will bypass these realities and make a killing...great. You don't so don't get excited.
JB
(Hayman, I've got the data and WL)
>around 1.2 - 2.5%
Let's do just a bit of quick and dirty math on that day... (it'll be rough, but not that far off)
30+ flips
Starting shares - 1000
Ending shares - 15,800 (based on 1.1 mulitplier)
Shares traded - 161,185
Commissions paid - $8,000 +
Now, in the perfect world you get to the end of the day and net ~$400. I'll ask a reasonable question...
Can you make it to the end of the day? Do you think that perhaps on the 15th flip when you have to sell 8 thousand shares - 4k of those short, that your slip might start to double from your model?
Let's reasonably suppose that to cover the extra slip caused by size that on the 15th flip we have to mulitply our shares beyond this point by 1.2 rather than the models 1.1. Well, on the 25th flip we got have to move THIRTY THOUSAND shares.
Ok, at 30k shares our slip increases again and we have to go to 1.3 (folks it WILL be a lot more than this in real life) we get to the thirtieth flip and go for home and to make that happen you must move over a hundred and fifty thousand shares. (Uh...huh).
Yeah, go ahead and bail on the 20th and see what it has cost you.
I've gone far enough. Let is just be said that models don't fit the real world.
Perhaps abogdan has a black box that will bypass these realities and make a killing...great. You don't so don't get excited.
JB
(Hayman, I've got the data and WL)
Quote from Turok:
>Your worse drawdown on the day like 9/19 is
>around 1.2 - 2.5%
Let's do just a bit of quick and dirty math on that day... (it'll be rough, but not that far off)
30+ flips
Starting shares - 1000
Ending shares - 15,800 (based on 1.1 mulitplier)
Shares traded - 161,185
Commissions paid - $8,000 +
Now, in the perfect world you get to the end of the day and net ~$400. I'll ask a reasonable question...
Can you make it to the end of the day? Do you think that perhaps on the 15th flip when you have to sell 8 thousand shares - 4k of those short, that your slip might start to double from your model?
Let's reasonably suppose that to cover the extra slip caused by size that on the 15th flip we have to multiply our shares beyond this point by 1.2 rather than the models 1.1. Well, on the 25th flip we got have to move THIRTY THOUSAND shares.
Ok, at 30k shares our slip increases again and we have to go to 1.3 (folks it WILL be a lot more than this in real life) we get to the thirtieth flip and go for home and to make that happen you must move over a hundred and fifty thousand shares. (Uh...huh).
Yeah, go ahead and bail on the 20th and see what it has cost you.
I've gone far enough. Let is just be said that models don't fit the real world.
Perhaps abogdan has a black box that will bypass these realities and make a killing...great. You don't so don't get excited.
JB
(Hayman, I've got the data and WL)
From what I can tell looking at your posts you do not understand the model at all. But I suspect that there would be enough traders out there who would really understand it and make it work. I have no selfish purpose behind posting this strategy other then trying to help others to apply some thinking towards this direction. I understand that you oppose this technic, as the matter of fact, you oppose everything I say on this forum, I don't know why, but I suspect the reason being: YOU HAVE NOTHING ELSE TO SAY BUT SHIT ON OTHER PEOPLE's THOUGHTS BEFORE ANYBODY COULD EVEN ANALYZE THEM.
>From what I can tell looking at your posts you do
>not understand the model at all.
Ok, fair enough. I'm quite convinced I do but we'll deal with that in the next post.
>I understand that you oppose this technic,
Unlike you, I don't oppose ANY technique that is profitably tradable and that is my only interest here.
>as the matter of fact, you oppose everything I say
>on this forum, I don't know why, but I suspect the
>reason being: YOU HAVE NOTHING ELSE TO SAY BUT
>SHIT ON OTHER PEOPLE's THOUGHTS BEFORE
>ANYBODY COULD EVEN ANALYZE THEM.
That's funny abogdan. You come into a forum where the vast majority utilize some form of TA and make the blanket statement..."TA doesn't work". That would make YOU the guy who opposes pretty much everything EVERYONE has to say on this forum. (yes, that is an exaggeration, but the point stands)
On this forum I raise questions where I have them, learn what I can, help if there is a question I can answer and challenge what is questionable. My body of work on this forum stands as that record.
You ask at the beginning of the thread...
>So, how is this for a random strategy?
Don't ask the question if you don't want answers.
JB
>not understand the model at all.
Ok, fair enough. I'm quite convinced I do but we'll deal with that in the next post.
>I understand that you oppose this technic,
Unlike you, I don't oppose ANY technique that is profitably tradable and that is my only interest here.
>as the matter of fact, you oppose everything I say
>on this forum, I don't know why, but I suspect the
>reason being: YOU HAVE NOTHING ELSE TO SAY BUT
>SHIT ON OTHER PEOPLE's THOUGHTS BEFORE
>ANYBODY COULD EVEN ANALYZE THEM.
That's funny abogdan. You come into a forum where the vast majority utilize some form of TA and make the blanket statement..."TA doesn't work". That would make YOU the guy who opposes pretty much everything EVERYONE has to say on this forum. (yes, that is an exaggeration, but the point stands)
On this forum I raise questions where I have them, learn what I can, help if there is a question I can answer and challenge what is questionable. My body of work on this forum stands as that record.
You ask at the beginning of the thread...
>So, how is this for a random strategy?
Don't ask the question if you don't want answers.
JB
>From what I can tell looking at your posts you do
>not understand the model at all.
Ok, So I don't understand your model at all.
On 9/19...
A: where was your "upper limit" placed and where was your "bottom limit" placed? (Mine were within your prescribed "0.1% - 0.25%.")
B: and where was your profit target? (I used your stated 1.042%).
Let's see if we can agree on the number of flips that day.
Did you use your "1000*(1.1^n)" at each flip or do you have some other formula that is more precise based on the delta between the lines? It is possible to code a formula that takes commissions and the expected slippage into account (say the spread plus some reasonable number based on the shares moved) and purchases just the perfect number of shares to overcome the loss. I have run the model using both such a formula and your "1000*(1.1^n)".
With this information it will be really easy to go through one days data and agree on the flips and shares traded.
If we greatly differ on the flips then we can determine where I have gone wrong.
Anyone else that has coded this I would encourage you to pipe up and tell us how many flips you got on that day.
Thanks
JB
>not understand the model at all.
Ok, So I don't understand your model at all.
On 9/19...
A: where was your "upper limit" placed and where was your "bottom limit" placed? (Mine were within your prescribed "0.1% - 0.25%.")
B: and where was your profit target? (I used your stated 1.042%).
Let's see if we can agree on the number of flips that day.
Did you use your "1000*(1.1^n)" at each flip or do you have some other formula that is more precise based on the delta between the lines? It is possible to code a formula that takes commissions and the expected slippage into account (say the spread plus some reasonable number based on the shares moved) and purchases just the perfect number of shares to overcome the loss. I have run the model using both such a formula and your "1000*(1.1^n)".
With this information it will be really easy to go through one days data and agree on the flips and shares traded.
If we greatly differ on the flips then we can determine where I have gone wrong.
Anyone else that has coded this I would encourage you to pipe up and tell us how many flips you got on that day.
Thanks
JB