Spydertrader's Jack Hershey Equities Journal II

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Quote from svrz:

Thanks, Doug. Our graphs look vastly different.

Here is my WL code for these calcs. Do they somewhat match yours (ignoring the langauge differences, of course :))?

Thanks and take care.

--------------------------------------

{$I 'T3'}

function Dot(series : integer) : integer;
begin
var factor : float = 100 *(390/BarInterval);

SNIP

end;
More...

Sorry, I don't understand WL code; could you write it in algebraic notation?

DS
 
Quote from dougcs:

Sorry, I don't understand WL code; could you write it in algebraic notation?

DS
More...

Sure.

Function Dot is just the first derivative.

1) Constant = 100 * (390/BarInterval) where BarInterval is 30, 15, 5, etc.

2) Momentum(series,1) = series[this bar] - series[one bar ago];

3) OffSetSeries(series, -1) = shift the series to the right. Yesterday's close is now today's close. In other words series[one bar ago];

4) so we have x= constant*(series[this bar] - series[one bar ago];

5) Result of function Dot = x/series[one bar ago];

Function DotDot is the second derivative:

1) x = T3(series, 6, 0.7); which is just T3 average of a series.

2) y = offsetseries(series, 1); Same as above series[one bar ago];

3) Result of function DotDot = x - y;

These two functions are applied to price and volume.

Was anything left out?

Thanks again.
 
Quote from Dantheman:

what exactly are you guys trying to do/program? lol. i'm clueless.
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Doug has created an algorithm for determining velocity and acceleration of price and volume. I'm just trying to duplicate his efforts. :)
 
i just wanted to check my understanding of what jack means by intentionally doing wash trades. he says 'practice wash trades'....well how? below is my heretofore only way of doing it.

it seems to me that the only way to intentionally 'create' the situation where you can exit for no loss (nearly at will) would be to enter on Pro Rata Volume + price increase....

then... IF PRV volume fails to reach desired volume levels (example would be say PRV 50% of DU by 10-1030am)
...you would exit theoretically within a small window of where you entered.

reason being you had entered when you had a proportional DU equivalent volume pace that petered out by 11am.


certainly during that hold time volume and price could do a hard 180 on you which you would necessarily see as a volume increase and price decrease triggering an early exit scenerio that would be 'worse than wash'...though probably not by a huge amount yes?

I took a wash in gmxr today.
 
Quote from Dantheman:

I just wanted to check my understanding of what jack means by intentionally doing wash trades.
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You present an excellent method for practicing the wash trade. In the early days of Journal One, I often entered into a trade based on Pro-Rata Volume levels and a price increase. I found the 50% PRV to provide the best balance for risk vs. reward. Today we use the Low Band Dry Up Volume levels generated by our chartscripts. In reality, the LBDU Volume levels function as a Pro-Rata level. Therefore, if you enter on a LBDU volume signal prior to 10:30 AM Eastern Time, one would expect actual volume levels to exceed Average Dry Up Volume by 11:30 AM Eastern Time, and FRV levels by EOD. If, at any time, volume 'pace' began to slow, one could exit. Perhaps, Jack could post additional methodologies for practicing the wash trade rule.

- Spydertrader
 
Hello, I was hoping someone that is trading this method would post there hotlist and final universe for Monday the 6th. I just want to make sure I am following the method currectly. Thank-you
 
Quote from cwitr329:

I was hoping someone that is trading this method would post there hotlist and final universe for Monday the 6th.
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For Today, Monday - 2005-02-06, I used 80 EPS and 80 RS from the Stocktables web site.

Hotlist

BNT BOOM BTUI CERS CKCM CUTR ENG GMXR GROW IIJI LIFC LMS NDAQ NWRE PETS SIMO TALX

Dry Up Stocks

BOOM ENG MTEX NGAS PETS

Current Final Universe

BNT BOOM BTUI CERS CKCM CTHR CUTR DXPE ENER ENG ETS FORD GMXR GROW HANS IIJI LIFC LMS MTEX NDAQ NFLX NGAS NWRE PETS PWEI RATE REDF SIMO SIRF TALX TIE VIVO VPHM

Out of the above Final Universe of 33 Equities, I currently show two (2) which no longer have a rank (ETS & VIVO). Failure of these two stocks to reacquire their rank by month's end results in removal from the Final Universe.

- Spydertrader

Edit: I neglected to mention NTRI, TRLG & UEPS currently have a place "on the bench" awaiting placement into the Final Universe. Once each has acquired a minimum number of "days traded" under the current stock symbol, I plan to move each into the Final Universe at that time.
 
Quote from Spydertrader:

You present an excellent method for practicing the wash trade. In the early days of Journal One, I often entered into a trade based on Pro-Rata Volume levels and a price increase. I found the 50% PRV to provide the best balance for risk vs. reward. Today we use the Low Band Dry Up Volume levels generated by our chartscripts. In reality, the LBDU Volume levels function as a Pro-Rata level. Therefore, if you enter on a LBDU volume signal prior to 10:30 AM Eastern Time, one would expect actual volume levels to exceed Average Dry Up Volume by 11:30 AM Eastern Time, and FRV levels by EOD. If, at any time, volume 'pace' began to slow, one could exit. Perhaps, Jack could post additional methodologies for practicing the wash trade rule.

- Spydertrader
More...

thank you sir....now back to it.
 
Quote from svrz:

Sure.

Function Dot is just the first derivative.

1) Constant = 100 * (390/BarInterval) where BarInterval is 30, 15, 5, etc.

2) Momentum(series,1) = series[this bar] - series[one bar ago];

3) OffSetSeries(series, -1) = shift the series to the right. Yesterday's close is now today's close. In other words series[one bar ago];

4) so we have x= constant*(series[this bar] - series[one bar ago];

5) Result of function Dot = x/series[one bar ago];

Function DotDot is the second derivative:

1) x = T3(series, 6, 0.7); which is just T3 average of a series.

2) y = offsetseries(series, 1); Same as above series[one bar ago];

3) Result of function DotDot = x - y;

These two functions are applied to price and volume.

Was anything left out?

Thanks again.
More...

I'm still a little confused:

Is y the value of the T3 avg one bar ago?

I'm using the T3 of the first derivitive which may be different from what you are doing.

In algebraic notation:

First Derivitive =
x = 100*factor*(close-close one bar ago)/close one bar ago.

Second derivitive=
y = T3(x-x one bar ago, 6, 0.7)

I think this may be why we get different results.

Here is a table of my d2P/dT2 for BTUI for today using 39 minute bars:

909.00 d2P/dT2= 0.21
948.00 d2P/dT2= -0.14
1027.00 d2P/dT2= -0.60
1106.00 d2P/dT2= 0.39
1145.00 d2P/dT2= -0.23
1224.00 d2P/dT2= -0.55
1303.00 d2P/dT2= -0.83
1342.00 d2P/dT2= -1.52

Doug
 
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