Mecanicaly Trading the QQQ's

jj -

The return of buying anything at 5 and selling it later at 34 is not 192% - it's always almost 600%. Nat logs have nothing to do with the calculation nor does being a daytrader vs. a position trader.

In your example, buying something at 5 and selling it at 10 and then buying it at 10 and selling it at 5. Your return is not (100%-50%)/2 = 25% it's ((10-5)+(5-10))/(5+10)/2=0% (i.e., ((total profit)/(total at risk))/(# of trades))
 
Hi jj,

I'd like to know more about your system. Is it the same as a bollinger band with length at 8 days and standard dev set at 1x (default is 20 days, 2x std.dev)?

Standard deviation of what? - 8 days of closing price?
Historical average of what? - the standard deviation of the past 8 days?

Here's a mechanical system for the QQQ - http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=3812

Just type QQQ in the stock symbol box and press "Execute Chartscript'

Thanks,

pretzel
 
Originally posted by ArchAngel
...Nat logs have nothing to do with the calculation...
More...
When time is involved, as it logically should be, natural logs have a tendency of creeping into these type of calculations.
 
AA; my point exactly, that's why I use log normal returns.
Pretzel: I use the 8 day standard deviation of the daily price changes, based on opening price. Example: If in the past 8 days the daily standard deviation was .16 and the historical average is .145, I would be looking to sell. I would be looking to buy when the market becomes less volatile than normal, <.145.
I looked at the Wealth Lab site and that program looks interesting. As I'm not familiar with their language, what is the exhaustion program's theory?
Thanks : jj
 
Does anyone have this QQQ code for TS6?

Or know where I can get it?









Originally posted by pretzel
Hi jj,

I'd like to know more about your system. Is it the same as a bollinger band with length at 8 days and standard dev set at 1x (default is 20 days, 2x std.dev)?

Standard deviation of what? - 8 days of closing price?
Historical average of what? - the standard deviation of the past 8 days?

Here's a mechanical system for the QQQ - http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=3812

Just type QQQ in the stock symbol box and press "Execute Chartscript'

Thanks,

pretzel
More...
 
Maybe I missed it, but I'd still like to know how you are determining your exit of each trade. Is it mechanical or intuitive or voodoo ?
 
Originally posted by aphexcoil
As soon as advanced mathematics gets involved, I know the system is going to suck.

aphie
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What do you consider "advanced mathematics"? Anything that contains the words "standard deviation"? or "average"?
 
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