Spydertrader's Jack Hershey Equities Journal

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There has been statistical work done to show that classic TA patterns.. like flags, h&s, pennants, triangles.. confirmed with high volume breakout do have a better edge. One book that comes to mind is Encyclopedia of Chart Patterns.. by Bulkowski. ( however u spell it:)
 
Hello:
Here on the west coast we are having a dismal day. I am done with my homework for the evening, and wanted to mention something about volume.
First it seems to me that the relationship between volume and price is indisputable. After all, it takes a market participant to put on or to take off a position. No participants, no volume, no price movement. Also there are many studies, both academic and private that show the corellation between volume and price movement. An interested party could search the academic libraries of business colleges like Wharton, as well as papers published by NY Bank for instance. In addition the work of MarketProfile is available from CBOT in the form of a 356 page PDF document titled "A Six Part Study Guide to Market Profile" that can be found at

http://www.cbot.com/cbot/docs/handbook.pdf

Finally, one can do their own study on the subject. If you have acess to historical intraday data, through charts or from a service, it is rather easy to see where price and volume intersect. For those who have only a chart/data feed like Esignal, just take a look at the intraday data over any short period of time (minimum of several days). Using charts with 15 min bars, scan back through time and look for wide range bars. Pick one, then switch to 5 min bars or less and see how volume acts prior to the 15 bar you found first. In time it will become easy to see how important volume is, not only the absolute volume level, but how it ramps up and down prior to a significant move. On a larger time frame (daily bars) one can also see the limiting effect that wide range bars represent to price movement. Using daily bars, scroll back in time and find wide range bars, then look at how many times the midpoint of a bar has served to stop a move. Then look at the volume associated with those bars. There is a story to tell there and only traders who take the time and effort to look for it will profit.
Good luck,
Lefty
 
Quote from makosgu:

OMGoodness... I have nearly lost my breath... I saw jack in these boards... This is great!

Also for the record, I've pulled the trigger and I'm doing it for real! 1 Day of loss (the first day when you realize your own emotions - fear factoresque), all the rest profitable... I'm in the High beta world intraday which jack sparsely spoke of but needless to say, I get what is essentially the quintessential core after relentless debriefing; continuation vs change (first derivative <> 0; first derivative = 0). To the PM'ers, I'll get to you. I've taken the back road, which is intraday and the dumping into swings. I've managed to do some scrubbing down of the ES stuff people were getting trapped on... I can't wait to quit my dayjob... Spyder, I'm still working on your request, I haven't forgotten. Just not enough after hours after working these 100+ hour weeks in corporate america.

:D
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GM334K

Congrats on the successful execution of your plan. If I may ask, are you applying the Excel sheet that you created for Hershey stocks to high beta stocks?

In regards to derivative, are you referring to the the subtraction of MACD from Signal? I think you and I discussed this a while back. I will try to find the post.

Thanks for any info that you can provide.

Take care
RZ
 
Quote from Trend Fader:

Basically, if anyone can come up with some type of strategy testing that can show how your volume analysis does provide a statistical edge.. i would be more than happy to look it over.
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I encourage a healthy dose of skepticism from everybody that follows the Journal. I recommend to everyone that sends me an email or Elitetrader PM to read the extensive background material to understand the "Why" and the "How" behind the system itself. I do these things in order that everyone can see the results for themselves without taking my word for it.

Maybe you and I just think differently. I really have no other explanation for it. When I read the above quote, I was reminded of the time when I first stumbled across the teachings of Jack Hershey. I recall thinking then, "everything appears to good to be true," and how impossible it seemed for anyone to know in advance where price would head in the future. I even said to Jack directly, "It is as if you know the cup and handle stocks before they become cup and handles." (referring of course to the popular and profitable practice of trading stocks who's patterns form the Cup & Handle Formation) I recall marveling at the amazing results, and wondering if it all wasn't just some fancy magic trick. You and I differ little in the amount of skepticism we each carried when first introduced to the success of these methods.

However, our responses to this discovery differ greatly. Rather than ask that somebody prove to me the validity of Jack's claims, I set out on my own to test, experiment and perform the Due Diligence required. The results of my tests and experiments conducted by other traders can be found at the MSN Web Site.

Lefty's comments regarding his (and many published) observations pertaining to volume and price hit the mark. A wealth of information remains easily accessible to any interested party willing to exert minimal effort.

I'm not selling anything here, nor do I have any vested interest in convincing anyone Jack's Methods work. It simply isn't my job to convince you. The market does its job, and I do mine. In between, I post to this Journal in order to pay back a promise I once made to Jack - to share with others the methods of my success as Jack once shared his with me. I continue to post my results as others before me have done, and continue to expect disbelief. It remains your prerogative to believe no relationship exists between price and volume - even to believe I made the whole thing up if you like. You could choose to avail yourself of the educational opportunities presented within this Journal (and the various links to background material linked within), or you could choose to continue to dismiss out of contempt that which you do not yet fully comprehend. I mean you no disrespect when I say, either way, the decision remains solely yours and affects me none. What you believe or disbelieve with respect to the PVAD relationship simply has no effect on my profitability.

I wish you nothing but continued success in your trading career, and if I can be of any additional assistance, please feel free to call on me anytime.

- Spydertrader
 
Current Final Universe List

BCSI BLTI CALM COGT DCAI ELOS EXM EZPW FFIV FORD FRD HANS IPXL ISSC JUPM KEYW LCBM MFLX MIPS PACT PMTI SGTL SIGM SINA SNDA SYNA TASR TOPT TRGL UBET ULBI

The stocks posted above comprise my Final Universe List as of Thursday, March 17, 2005 EOD. I have yet to perform an update to include Friday's Data. In addition, some of the above stocks remain in the list even though they violate certain (volume, EPS, float) parameters due to their 'tenured stock' status. Lastly, depending on the data source used to evaluate stocks in the above list, some stocks may appear to violate our rules with one data source, but comply with our culling rules using another data source. FORD falls into this category, as Yahoo showed Float outside Normal parameters, but Qcharts did not.

- Spydertrader
 
2005-03-21, Monday - Lists

I used RS and EPS Settings of 90 for the following lists

Stocktables.com
Sevens - Ones - Zeros
ELOS - MT - CENX
VPI - PMTI - MDRX
GEOI - ISRG - WCC
LCBM - POG - VTIV
CCJ - MIPS - HOLX
JLG - MUSA - CMC
ACI - CTSH - MFLX
SPTN - MHR - XTO
NSS - TOPT
AAPL - WWCA

Wealth-Lab Chartscript/Manual
Hotlist

GEOI
ELOS
MFLX
MIPS
LCBM
TOPT
SPTN

Wealth-Lab Data/Yahoo Data
Watch List

CUTR - DU Cycle
DCAI - DU Cycle
TASR - DU Cycle
FRD - DU Cycle
SYNA - DU Cycle
COGT - DU Cycle
BCSI - DU Cycle
MIPS - DU Cycle
TOPT - DU Cycle - DU5
SINA - DU Cycle - DU5 - DU10 - DU20
SGTL - DU Cycle
FFIV - DU Cycle
ISSC - DU Cycle
ULBI - DU Cycle

Wealth-Lab Developer Data & Equations/G33M4K Equations
SRVZ Wealth Lab Equations - Dry Up (with G33M4K Score)

JUPM - 0
SINA - 2
SYNA - 0

Eyeball
Gallas2 "Keep an Eye on These" Stocks

FFIV (Attached)

Yahoo Data/G33M4K Equations
Dry Up Stocks with G33M4K Master List Score of Zero

SYNA
TOPT
ULBI

Wealth-Lab DU Volume Range - Hershey V2.0.1 / QCharts Data
Dry Up Stocks and G33M4K Master List Score

SINA - 2
TASR - 2
TOPT - 0

Stocktables Sort/Qcharts/G33M4K Equations/
Test Culling Method with Score Hotlist

TOPT 0
TRGL 0
KEYW 1
MFLX 2
MIPS 6
ELOS 7
PMTI 7

GEOI failed to make the Final Universe List due to insufficient float.

The following Stocks have been ADDED to the Final Universe List as of 2005-03-18: SPTN.

Both SPTN & LCBM have Average Daily Volume below desired parameters, but traders with smaller account sizes may not find it difficult to trade these stocks as their volume falls outside the definition of "thinly traded equities." As a result, I have left both in the Final Universe List.

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=709397>
 

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Spydertrader,

Long time reader, first time poster. First and foremost, great job and thanks for all the work! Interesting thread.
Second, has anyone converted this to Amibroker? I am having problems with totaling up the peaks and troughs. Also having problems coding the volume aspects.

tia,

nt
 
Quote from ntfs:

Spydertrader,

Long time reader, first time poster. First and foremost, great job and thanks for all the work! Interesting thread. Second, has anyone converted this to Amibroker? I am having problems with totaling up the peaks and troughs. Also having problems coding the volume aspects.
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Thank-you for the kind words. An individual, using the name Izeikl, sent me the following code nearly three years ago. I cannot speak to the efficacy of the code, but felt you might find it helpful. I apologize for the lack of completeness of the code, but it is all I had.

I performed a search on the Amibroker.com web site using the keyword "rank." the list of possibilities failed to include anything referencing Jack Hershey. However, several of the possibilities appeared to incorporate "user defined variables" counting back a certain period of time - which may point you in the correct direction. Sorry I couldn't provide you with additional assistance.

############

//This draws a graph of 6 or 8 day 20% + gains
//And adds commentary for start/end price
//It uses close for the workings

PrevSixPrice = Ref(Close,-6);
PrevEightPrice = Ref(Close,-8);

SixGain = (Close / PrevSixPrice * 100)-100;
EightGain = (Close / PrevEightPrice * 100)-100;
SixTwentyGain = IIf(SixGain > 20, SixGain, False);
EightTwentyGain = IIf(EightGain > 20, EightGain , False);

Plot(SixTwentyGain, "Six Day 20% Gainers", 5, 1);
Plot(EightTwentyGain , "Eight Day 20% Gainers", 4, 1);

WriteIf(SixGain>20, "6 Day %" + SixTwentyGain + " Gain.\nStart Price: " + PrevSixPrice + "\nEnd Price: " + Close,"");
WriteIf(EightGain >20, "\n8 Day %" + EightTwentyGain + " Gain.\nStart Price: " + PrevEightPrice + "\nEnd Price: " + Close,"");

##################

- Spydertrader
 
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