Who wants to be a Billionaire?

kbehr · Jan 24, 2004

acrary
could you share the specific parameters for the two MA's? I am new and would appreciate the information.
Thanks
Ken

harrytrader · Jan 24, 2004

yes historical not ... <font color=BLUE>futu<font color=RED>RISK</FONT>al</FONT>

I remind that the turtle fund sunked not so long ago ... a bit like LTCM. And since it is result in high scale it is tighly linked with the bull's market of this century, since it is a phenomena that occurs only once maybe in 50 or 100 years it's a dice play for those who comes too late in the game ...

BTW about MAs one of my past thread :
http://www.elitetrader.com/vb/showthread.php?s=&postid=260515&highlight=simulation#post260515
"Simulation is an important concept. By injecting the expected results into the (MA) "models" allow to control its validity and avoid taking position against the trend."

Quote from rgelite:

This seems similar, with historically proven results.

http://www.originalturtles.org/system.htm

rgelite · Jan 24, 2004

Quote from Runningbear:

Actually in this regard you are right. It is some what similar. However the 5 points you outline are really common to all mechanical systems.

I was comparing the basic use of an MA based strategy in two time frames to a break out strategy using one time frame.

Runningbear

Ah, okay. We're on the same page now and I agree with you. The Turtles did a breakout on a single MA. And there are other good systems in which a MA crossover (or other trend signaling method) on a smaller timeframe is used to trigger entry in the same direction as a larger timeframe's trend. You're right, my comments were more general.

abogdan · Jan 25, 2004

Quote from metooxx:

Text version; I don't have Tradestation?

Inputs: Length(40);
Vars: Top(0), Bottom(0), Middle(0);

Top = LinearRegValue( H, Length, 0 );
Bottom = LinearRegValue( L, Length, 0 );
Middle = LinearRegValue( ((C+L+H)/3), Length, 0 );

If c >= Top Then Begin
SellShort Next bar H Limit;
End;

If c <= Bottom Then Begin
Buy Next Bar at L Limit;
End;

If MarketPosition = 1 And (C >= Middle or Close > AvgEntryPrice) Then Begin
Sell This bar on Close;
End;

If MarketPosition = -1 And (C <= Middle or Close < AvgEntryPrice) Then Begin
BuyToCover This bar on Close;
End;

If MarketPosition = 1 Then Begin
Sell Next Bar at (AvgEntryPrice + 0.01) Limit;
End;

If MarketPosition = -1 Then Begin
BuyToCover Next Bar at (AvgEntryPrice - 0.01) Limit;
End;

metooxx · Jan 25, 2004

Quote from abogdan:

Inputs: Length(40);
Vars: Top(0), Bottom(0), Middle(0);

Top = LinearRegValue( H, Length, 0 );
Bottom = LinearRegValue( L, Length, 0 );
Middle = LinearRegValue( ((C+L+H)/3), Length, 0 );

If c >= Top Then Begin
SellShort Next bar H Limit;
End;

If c <= Bottom Then Begin
Buy Next Bar at L Limit;
End;

If MarketPosition = 1 And (C >= Middle or Close > AvgEntryPrice) Then Begin
Sell This bar on Close;
End;

If MarketPosition = -1 And (C <= Middle or Close < AvgEntryPrice) Then Begin
BuyToCover This bar on Close;
End;

If MarketPosition = 1 Then Begin
Sell Next Bar at (AvgEntryPrice + 0.01) Limit;
End;

If MarketPosition = -1 Then Begin
BuyToCover Next Bar at (AvgEntryPrice - 0.01) Limit;
End;

Thank you ...

Samson77 · Jan 25, 2004

Quote from balda:

This is just one of many little thing that I learned from Acrary's posts

"Did you know that after the first 2 hours of SP trading, there is a 90% chance that either the high or the low is in for the day?"

this is very valuable information.

thank you, acrary.

Great strategy if true?

At 11:30 on days the market is at or close to the Highs SELL with a stop just above the HOD.

At 11:30 on days the market is at or close to the Lows BUY with a stop just below the LOD.

90% success rate right ?

abogdan · Jan 25, 2004

Quote from Samson77:

Great strategy if true?

At 11:30 on days the market is at or close to the Highs SELL with a stop just above the HOD.

At 11:30 on days the market is at or close to the Lows BUY with a stop just below the LOD.

90% success rate right ?

I've been running this system for 8 months real money on one of our test accounts. We use 10 stock portfolio, we spread capital evenly between them, then we enter initially in each stock with only 10% of capital allowing 10 time pyramiding. We averaged around 83.4% accuracy.

P.S. Be careful with stocks you choose! They have to be at least 2.5 beta!

ig0r · Jan 25, 2004

Quote from Samson77:

Great strategy if true?

At 11:30 on days the market is at or close to the Highs SELL with a stop just above the HOD.

At 11:30 on days the market is at or close to the Lows BUY with a stop just below the LOD.

90% success rate right ?

Seems like the start of a good strategy

There are very many people trading like this

Ditch · Jan 25, 2004

Quote from Samson77:

Great strategy if true?

At 11:30 on days the market is at or close to the Highs SELL with a stop just above the HOD.

At 11:30 on days the market is at or close to the Lows BUY with a stop just below the LOD.

90% success rate right ?

You're overlooking one thing: the high or low is in with 90% probability. Key is to find which one will hold, the high or the low.

abogdan · Jan 25, 2004

Quote from ig0r:

Seems like the start of a good strategy There are very many people trading like this

I know. I always present the bare bones ideas leaving the room for you guys to experiment. In real life we always use something more tuned (we use B/A analysis to refine the system).
Have Fun!