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.
The Stochastic Indicator
- Thread starter jack hershey
- Start date
- Status
- Not open for further replies.
Well, obviously someone doesn't know what they're doing. We have Jack talking about tripling accounts and we have elindydotcom saying that Jack's system is 30.5% profitable with a profit factor of .8. Question is, who's right?Quote from elindydotcom:
Unfortunately, with commissions and 1 tick of slippage, the profit is still substantially in the red.
Summary of Results over 2 years: 30.5% profitable trades, .80 profit factor.
Ummm...not sure that I'm saying anything Gordon. I just put the rules into TS6 as I understand them and see what pops out. I could very well be way off the mark in my understanding of how the rules should work - that's why I provided the code and my interpretation of the rules.
-eLindy
-eLindy
Quote from Gordon Gekko:
Well, obviously someone doesn't know what they're doing. We have Jack talking about tripling accounts and elindydotcom saying that Jack's system is 30.5% profitable with a profit factor of .8. Question is, who's right?
The answers are:
1. 1849 Trades.
2. $4.00/contract/side (8.00 RT) for comissions
3. Some trades were held overnight. It doesn't make a material difference if they're not.
"My guess is you're not going to be Jack's favorite fellow!"
It's not my intention to contradict anyone. This is a way of looking at a set of indicators that caught my attention and, just like everyone else does, the first thing I do is to see how it worked in the past. For all I know, I may not fully comprehend the rules - hence I'm disclosing the code I'm using and my interpretation of the rules.
I tried uploading the detailed spreadsheet that TS6 spitted out for me but I kept getting a timeout from the forum - probably because the file was too big (800K). PM me if you need it and I'll email to you.
-eLindy
1. 1849 Trades.
2. $4.00/contract/side (8.00 RT) for comissions
3. Some trades were held overnight. It doesn't make a material difference if they're not.
"My guess is you're not going to be Jack's favorite fellow!"
It's not my intention to contradict anyone. This is a way of looking at a set of indicators that caught my attention and, just like everyone else does, the first thing I do is to see how it worked in the past. For all I know, I may not fully comprehend the rules - hence I'm disclosing the code I'm using and my interpretation of the rules.
I tried uploading the detailed spreadsheet that TS6 spitted out for me but I kept getting a timeout from the forum - probably because the file was too big (800K). PM me if you need it and I'll email to you.
-eLindy
Quote from OldTrader:
Lindy:
Thanks for running that....that must take some work. My guess is you're not going to be Jack's favorite fellow!
A couple of questions:
1. Do you know how many total trades over the 2 years, how many profitable and unprofitable?
2. What commission factor did you use?
3. Did you assume that trades were held overnight? If so, are you able to tell how overnight trades fared over the 2 years?
Thanks for all the time.
OldTrader
It improved. The Profitability went from approx -24K or so to approx -20.5K or so over the two year period (1 contract).
-eLindy
-eLindy
Quote from himself:
elindy-
Would the results be profitable if there were an additional MACD condition:
Adding that no long entry unless the MACD histogram were then not only above .4 but also greater than it was 5 minutes ago?
[and the opposite for shorts]?
Quote from elindydotcom:
It's not my intention to contradict anyone. This is a way of looking at a set of indicators that caught my attention and, just like everyone else does, the first thing I do is to see how it worked in the past. For all I know, I may not fully comprehend the rules - hence I'm disclosing the code I'm using and my interpretation of the rules.
Thanks for the information lindy. I understand that you're just the messenger. I also understand that you may not have interpreted correctly...there's been some confusion. Or perhaps something was lost in the translation into code. Whatever the case, there's a wide discrepancy between these results and Jack's claims. That discrepancy will need to be resolved in some fashion.
Just a quick comment on backtesting. I'm not particularly a fan. Markets definitely change over time. So whatever the results in one period, they will probably differ in another. This is clearly one of the drawbacks to systems.
The human brain is capable of analyzing and synthesizing information in ways that could probably not be systematized at this time. Yet our desire to exert some type of formal control over the trading process leads away from this marvel, the human brain, to rather one dimensional types of strategies that seem inferior to my way of thinking.
Just my thoughts.
OldTrader
Quote from jack hershey:
A lot of people here will begin to comment on alternative uses of stochastics. There are some lulu's and it takes guts to put them on the table.
I like to be supportive of others and I want to go through a transition with this from beginner to other levels.
jack,
I'm not the least of those, seeing as how elindy has put in a lot of time and how Oldtrader has gone to the trouble of setting up his charts with the suggested parameters and how traderkay has, in the past, questioned me about polarized fractal efficiency and you yourself have mentioned fractal pairs, maybe this link will take some of the sting of loss out of all the effort that has gone into this thread. After all, 18 pages and counting is not a small amount of response given the pitch and the promise, so to speak. http://www.elitetrader.com/vb/attachment.php?s=&postid=131850
I'm sure you understand this isn't a struggle for thread domination, but in fact, is being able to follow through and execute on a promise of benefit for energy and time expended. I don't expect a great deal from you, but lets give people some starting blocks that they can squarely plant their feet on.
The stochastics were created by taking the standard slow formula used by Lane and and smoothing it with a 3-period exponential moving average. The default lookback periods for the lowest low values are 43, while the lookbacks for the highest high values are 15. Several users probably have Lane's formula in their software. For those who want it, you can do a search for George Lane using any good search engine. As can be seen in the picture the fast stochastics (red and green lines) will quickly get you into a trade while the slow stochastics (purple and yellow lines) will tell you the strength of the trend. To achieve that picture I used the parameters 43 and 15 for red/green lines and 172/60 for the purple/yellow lines.
The polarized fractal efficiency was developed by Hans Hanula and is also standard in a lot of software. To create the picture I used two intervals: a fast interval using 11 periods and a smoothing factor of 2; and a slow interval using 13 periods and a smoothing factor of 3. I'm pretty sure you can also find him using a web search.
Finally, I want to contribute as much as anyone else here on ET, as I've lurked and learned a good deal from others here. Above all I've learned some discipline and some respect for the thoughts and efforts of others, I'm hoping this post will payback some of what I've learned as well as communicate the thought that people deserve to be treated here with some respect. As another trader puts it, "Forget the jerk around BS."
Bruce
Quote from jack hershey:
**** Short answer. There are two lines on the stochastic. One precedesthe other. "last one in" means both lines must be there so the signal is the slow line. Verse visa, "first one out" means the signal is when the fast line leaves.
verification:
On the beginners level: is it correct to enter the market when both lines appear on the overbought or oversold zone and to exit the market as soon the fast line moves out of the overbought or oversold zone? I quote Jack "Exit as both leave the 20 or 80 always first one out" Couldn't you say "Exit as one leaves the 20 or 80" ?
question:
If the above information is correct then how are trend continuation handled? When the slow line stays in the zone but the fast line moves out of the zone and back in. Should reentering be avoided at beginners level or how would this be handled with this method? Without the consideration of cheating.
See attached chart to see what I mean...
Thank You,
Alain
Attachments
Good question.Quote from alain:
question:
If the above information is correct then how are trend continuation handled? When the slow line stays in the zone but the fast line moves out of the zone and back in. Should reentering be avoided at beginners level or how would this be handled with this method?
F. P.
If you had done it Jack's way...
09:35 Short at 843
10:20 Covered at 840.25
Plus 2.75 points.
Using other methods Jack has spoken of, you could have done even better.
Of course the "Backtesting Boys" would have not taken the trade, since the method doesn't work. Some others would have passed because they were once on a message board where some Guru was wrong.
09:35 Short at 843
10:20 Covered at 840.25
Plus 2.75 points.
Using other methods Jack has spoken of, you could have done even better.
Of course the "Backtesting Boys" would have not taken the trade, since the method doesn't work. Some others would have passed because they were once on a message board where some Guru was wrong.
- Status
- Not open for further replies.