people on this forum were rude and are fake traders

How do you know when a trend has started? Ended? This forum is for discussions about trend indicators and signals.
AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2040
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:

Post by AFJ Garner » Fri May 12, 2006 6:24 pm

Here is another taste of how these syndicates tended to operate. Whether you would call this gearing, leverage, borrowing - I don't know.

Many of the early operators in the US started 25 years ago on a shoestring. They would deposit $20,000 (or some small amount) with a broker who would settle their trades delivery against payment ("DVP").

In the US and some other markets, if you sell on the day of allocation ("flip"), your settlement dates for the buy and sell match. Hence such brokers would settle a trade for $500,000 for you even if you only had some nominal amount in the account.

Once the canny operator had sussed this one out, he would get a few mates in to deal off his DVP account. And in very little time he would have done rather nicely, thank you very much.

But for the less wily operator it could sometimes go horribly wrong.

CrAcKhOuR
Senior Member
Senior Member
Posts: 32
Joined: Sun May 07, 2006 11:03 am
Location: uk

Post by CrAcKhOuR » Fri May 12, 2006 10:19 pm

Hang on..Hang on.....Just a minuuuute..

Guys its not the same...I am shocked :shock:..See!

Option gearing allows you to gain exposure greater amounts of shares for less initial cash outlay..

Example:
Glaxo shares are trading at 1773p per share, and you think the shares will rise... So you buy 1000 x Glaxo 1800p july call options at a premium of 105p x 1000 = £1050.....
You can now buy 1000 glaxo shares at 1800p before the july expiry should you wish...But your not obliged to...

So five days later they rise to 1834p, and your call option rises to 132.5p
You have just made a profit of £275 (105p-132.5p x 1000 options) A gain in five days of..... 26.19% on your initial outlay of £1050...

Had you bought 1000 underlying shares, it would have cost £17730...If you sold these shares at £18340 you would make £610 , or a profit of only 3.44% on your initial outlay ...Such is the gearing advantage of options....

Further to this, if you had waited and sold Glaxo at £19.55 your call option would be worth 198p and you would make £930 profit, or a gain of 88.57% on your initial premium outlay of £1050...In five days.

As you can see this is very different to what we all know risky leverage to be ie: A long stay in risksville.. Option gearing is strictly limited risk.

P.s Afj I would really benefit from you not being quite so opinionated.. Without wanting to react to your seeming pretentiosity ..Yeah, you may have been in the game longer than me but I wonder who the is the most in control of their trading ?

I think You take a lot for granted , a danger signal for the trader??

I am in no doubt that I can learn a lot from you, maybe you should'nt shut yourself off from the reverse scenario.

A word outside please!

AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2040
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:

Post by AFJ Garner » Sat May 13, 2006 3:58 am

Thank you, yes, I had realised that you can not lose more than your outlay when you buy rather than sell options. I realise too of course that you can still lose all your trading capital very quickly. Or indeed double it very quickly if all goes well.

The "quants" at the hedge funds write their own software and endlessly test their trading ideas, whatever instruments these involve. Provided you can describe your strategy in computer code, Trading Blox will allow you to test your trading ideas to your heart's content on futures and stocks - not on options, unfortunately. It is also difficult to obtain an historical data stream on options - or so my friends who trade options tell me.

It is undeniable that there are discretionary traders and investors who make very good money using all manner of methods. Chart interpretation, fundamentals, inside information, front running client accounts, and a plethora of other methods both legal and illegal.

As c.f. pointed out above, this forum tends to be populated by people who are more comfortable with being able to test out their ideas using historical data and computer code. And who then use the information gained to trade a mechanical system.

There is room in the world for all manner of different opinions and methods.

I wish you success in your trading.

CrAcKhOuR
Senior Member
Senior Member
Posts: 32
Joined: Sun May 07, 2006 11:03 am
Location: uk

Post by CrAcKhOuR » Sun May 14, 2006 1:51 am

Hey Dude,

In relation to historical testing, and computer code.
I am unsure if a computer could, for instance, combine volume, momentum, volatility and cycle analysis.

I am also confident that backtesting of historical data works to a degree, But I cannot see how it would, for example, manage price, speed, and acceleration in the way a chart could.

I tend to rely on many factors correlating with eachother to try and increase my probability factor before taking the plunge, then if im wrong, I quickly reverse myself and follow the dominant force.

If I could find a mechanical way to spot, for instance, that RSI-ROC-MACD and stocastic indicators were all oversold together, aswell as a trendline breach and a crossover of moving averages, maybe with supporting price acceptance in relation to summation, harmonisation, synchronisation and proportionality, then I would consider myself a lucky puppy indeed.

I have enjoyed enough success thus far to know for sure that im not just painting pretty pictures, and feel that charts simply show market crowd psychology in a visual format. It also allows charts to be compared from many data sources, so one can spot any inconsistencies of historical info.

Since the trader can only act on best information, if you discover your data feed from CSI has been off by even a small amount, (-which it probably always is-), all of your data from that point is going to have suffered the 'butterfly effect', and may as well be thrown out with the baby, and the bathwater, in terms of the high level of accuracy and precision you endeavour to achieve.

All I opine is wether computers can any more spot these subtle interrelationships then they can spot a friendly face....
I would, however, love to mechanise my technical analysis, then I could go down the pub and have a right old jolly up every day, safe in the knowlege that R2D2 and C3PO were in charge of my finances :?

I would though, concur that as long as we can both end up hob-nobbing with the jet set, (c.f. et al), then all is well..

Regards.
Last edited by CrAcKhOuR on Sun May 14, 2006 9:14 am, edited 1 time in total.

Forum Mgmnt
Roundtable Knight
Roundtable Knight
Posts: 1842
Joined: Tue Apr 15, 2003 11:02 am
Contact:

Post by Forum Mgmnt » Sun May 14, 2006 9:14 am

As one who has written software that analyzes trading systems for over 20 years and one who has also written the computer code that draws charts, lines, and indicators, I'll say to you that if you can get a computer to draw it, then there exists some internal representation that the computer understands.

You can take that representation and turn it into a set of rules. You can then apply these rules to see how important they are. This may not be easy in all cases but it is very possible.

If you can show me a repeatable set of conditions on a chart, I can get a computer to detect those conditions using just the price information used to construct the chart.

Without doing this, it is very hard to know which of the many pieces of the ideal "setup" are most important, or even if they are all valuable.

I have found that most of the traders that I know who are discretionary have been successful for a short period of time, say one to three years. Many of them have based their trading on the overall set of market conditions that have existed during their experience as traders. Then when the overall conditions change they find their methods no longer work. I knew a lot of traders in the late 90s who were completely incapable of making money from 2001 on.

The best discretionary traders can figure out how to adapt to new circumstances but many of them, maybe even most of them, can't.

Most mechanical traders find the transitions easier because they have already analyzed their approaches over historical timeframes which cover the various types of market conditions one is likely to encounter while trading.

- Forum Mgmnt

P.S. One more thing to consider: I have known many discretionary traders who have over time started to mechanize and test their ideas. I have never known any traders who once having started this sort of analysis have reverted to purely discretionary trading.

BARLI
Roundtable Knight
Roundtable Knight
Posts: 650
Joined: Sat Jan 17, 2004 6:01 pm
Location: USA

Post by BARLI » Sat May 20, 2006 9:05 pm

CrAcKhOuR wrote:
Example:
Glaxo shares are trading at 1773p per share, and you think the shares will rise... So you buy 1000 x Glaxo 1800p july call options at a premium of 105p x 1000 = £1050.....
You can now buy 1000 glaxo shares at 1800p before the july expiry should you wish...But your not obliged to...

So five days later they rise to 1834p, and your call option rises to 132.5p
You have just made a profit of £275 (105p-132.5p x 1000 options) A gain in five days of..... 26.19% on your initial outlay of £1050...

Had you bought 1000 underlying shares, it would have cost £17730...If you sold these shares at £18340 you would make £610 , or a profit of only 3.44% on your initial outlay ...Such is the gearing advantage of options....

Further to this, if you had waited and sold Glaxo at £19.55 your call option would be worth 198p and you would make £930 profit, or a gain of 88.57% on your initial premium outlay of £1050...In five days.


A word outside please!

So what if you buy Glaxo's July call and the stock trades sideways, time decay will make the price go lower and if it goes down it will go to 0 in no time, same goes for the put. In order to trade options by buying them the one has to have uncanny accuracy predicting day to day moves.
Another thing, all those RSI, MACD and stochastic dont work...

CrAcKhOuR
Senior Member
Senior Member
Posts: 32
Joined: Sun May 07, 2006 11:03 am
Location: uk

Post by CrAcKhOuR » Sun May 21, 2006 10:00 am

Hi Barli.

In relation to what you said, I suppose you could say time decay is the risk you have when trading options, I mean nobody makes money in a sideways market.
You might say well with futures or shares you have more time to become 'right', but that sounds like wishing to me.

My point was to draw attention to gearing within options, (I am aware that gearing works both ways,) However, as you are probably aware, you can only loose your initial outlay, obviously as long as you dont excercise.

There is also the chance that you will 'bleed to death', if the underlying item does'nt move I appreciate that, but it is a strictly limited risk and the profit potential is still unlimited. I am though, not married to options and feel there is a time and place for them.

As for the technical indicators you mentioned, I think you may be confused by what your favorite books say, coupled with the fact that you might have never been able to use them effectively.

Indicators are just a measure...... I agree, a measure on its own wont work, Its like saying a moving average doesnt work , well it just averages the price....But how you interperate that is where one trader succeeds and another fails..Im not saying you fail either dude.. Just 'Are you sure??

I use indicators successfully, so saying to me, (and everyone else), that 'they dont work' is like me saying you are not looking at your monitor right now...You are though arent you... If you study unbiasedly each of the indicators you MAY see why I can make consistant profit by utilising them, using options...futures...whatever... They are not a crystal ball, this much I know, But for your own financial health, I Think you should investigate further. This is Just My Opinion.

Cheers

BARLI
Roundtable Knight
Roundtable Knight
Posts: 650
Joined: Sat Jan 17, 2004 6:01 pm
Location: USA

Post by BARLI » Sun May 21, 2006 6:01 pm

well as zz double said: test it , test it and test it again. So far you got MACD and 4 SMA/12EMA crossover strategy right?
all test are being done on Futures from Aussie to Wheat (US futures only)and the data from 1995 through 2005

lets see
we're going to backtest 'MACD and 9 period Signal Line' system now. Tested in Wealth Lab Developer 3.0

Code: Select all

 var MPane, MHist, MPane1, MHist1, MPane2, MHist2, MPane3, MHist3: integer;
var Bar, p: integer;
MHist := SubtractSeries( MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) );
MHist1 := SubtractSeries( MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) );
MHist2 := SubtractSeries( MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) );
MHist3 := SubtractSeries( MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) );
MPane := CreatePane( 100, true, true );
PlotSeries( MACDSeries( #Close ), MPane, #Maroon, #Thick );
PlotSeries( EMASeries( MACDSeries( #Close ), 9 ), MPane, 111, #Thin );
PlotSeries( MHist, MPane, #Black, #Histogram );
DrawLabel( 'MACD and 9 period Signal Line', MPane );
for Bar := 20 to BarCount - 1 do
begin
  if LastPositionActive then
  begin
    p := LastPosition;
    if PositionLong( p ) then
    begin
      if CrossUnder( Bar, MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) ) then
      begin
        SellAtMarket( Bar + 1, p, '' );
      end;
    end;
    if PositionShort( p ) then
    begin
      if CrossOver( Bar, MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) ) then
      begin
        CoverAtMarket( Bar + 1, p, '' );
      end;
    end;
  end
  else
  begin
    if not LastPositionActive then
    begin
      if CrossOver( Bar, MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) ) then
      begin
        BuyAtMarket( Bar + 1, '0' );
      end;
    end;
    if not LastPositionActive then
    begin
      if CrossUnder( Bar, MACDSeries( #Close ), EMASeries( MACDSeries( #Close ), 9 ) ) then
      begin
        ShortAtMarket( Bar + 1, '4' );
      end;
    end;
  end;
end;

  
Results

Image

Image


Now we'l test another MACD strategy:

MACDEx(12,26) and 9 period Signal Line'



Code: Select all

 {$I 'MACDEx'}
var MPane, MEx, MHist, MPane1, MEx1, MHist1, MPane2, MEx2, MHist2, MPane3, MEx3, MHist3: integer;
var Bar, p: integer;
MEx := MACDExSeries( #Close, 12, 26 );
MHist := SubtractSeries( MEx, EMASeries( MEx, 9 ) );
MEx1 := MACDExSeries( #Close, 12, 26 );
MHist1 := SubtractSeries( MEx1, EMASeries( MEx1, 9 ) );
MEx2 := MACDExSeries( #Close, 12, 26 );
MHist2 := SubtractSeries( MEx2, EMASeries( MEx2, 9 ) );
MEx3 := MACDExSeries( #Close, 12, 26 );
MHist3 := SubtractSeries( MEx3, EMASeries( MEx3, 9 ) );
MPane := CreatePane( 100, true, true );
PlotSeries( MEx, MPane, #Maroon, #Thick );
PlotSeries( EMASeries( MEx, 9 ), MPane, 111, #Thin );
PlotSeries( MHist, MPane, #Black, #Histogram );
DrawLabel( 'MACDEx(12,26) and 9 period Signal Line', MPane );
for Bar := 26 to BarCount - 1 do
begin
  if LastPositionActive then
  begin
    p := LastPosition;
    if PositionLong( p ) then
    begin
      if CrossUnder( Bar, MEx1, EMASeries( MEx1, 9 ) ) then
      begin
        SellAtMarket( Bar + 1, p, '' );
      end;
    end;
    if PositionShort( p ) then
    begin
      if CrossOver( Bar, MEx3, EMASeries( MEx3, 9 ) ) then
      begin
        CoverAtMarket( Bar + 1, p, '' );
      end;
    end;
  end
  else
  begin
    if not LastPositionActive then
    begin
      if CrossOver( Bar, MEx, EMASeries( MEx, 9 ) ) then
      begin
        BuyAtMarket( Bar + 1, '0' );
      end;
    end;
    if not LastPositionActive then
    begin
      if CrossUnder( Bar, MEx2, EMASeries( MEx2, 9 ) ) then
      begin
        ShortAtMarket( Bar + 1, '4' );
      end;
    end;
  end;
end;
 
Image
Image



Now lets see hows your favorite SMA 4/12EMA crossover is doing:

Code: Select all

var BAR, MP: integer; 
for Bar := 20 to BarCount - 1 do 
begin 
  MP := MarketPosition; 
  if SMA( Bar, #Close, 4 ) < EMA( Bar , #Close, 12 ) then 
  
  if MP >= 0 then 
  begin 
    SellAtMarket( Bar+1, LastPosition, '' ); 
    ShortAtMarket( Bar+1, '' ); 
  end; 
  if SMA( Bar, #Close, 4 ) > EMA( Bar , #Close, 12 ) then 
  
  if MP <= 0 then 
  begin 
    CoverAtMarket( Bar+1, LastPosition, '' ); 
    BuyAtMarket( Bar+1, '' ); 
  end; 
end; 
PlotSeries( SMASeries( #Close, 4 ), 0, #Red, #solid ); 
 
PlotSeries( EMASeries( #Average, 12 ), 0, #blue, #solid ); 






Image
Image



so what ya think now? :wink:

RedRock
Roundtable Knight
Roundtable Knight
Posts: 939
Joined: Fri Jan 30, 2004 3:54 pm
Location: Chicago

Post by RedRock » Sun May 21, 2006 8:55 pm

Barli, you devil... :twisted:

:wink:

CrAcKhOuR
Senior Member
Senior Member
Posts: 32
Joined: Sun May 07, 2006 11:03 am
Location: uk

Post by CrAcKhOuR » Sun May 21, 2006 9:11 pm

Dude!!

Thanks for the short reply!

I do not wish to disrespect your methods of testing, However, (sucks in a long breath!!), I agree wholeheartedly that the MACD does NOT work using the mechanical perameters you have set.

I also never implied that it did so...If you just buy on the signal line every time it signals, you are using the indicator in isolation, This you should never ever ever do. By the same token you should'nt use ANY such indicator in isolation..

Using a blend of them together will give you a reading of the market, If you know how to read them in that way, (which suprise, takes much study like anything)...

If it were as easy as just buying on a signal line, every trader and his dog would just do that mate, and who would there be to loose and pay these winning traders??

It seems to me that you are a very sharp individual, and your thinking very clear. The testing you provided also looks very impressive and detailed...

Please ask yourself the following: What else is happening at the times when MACD does work?? I will also echo what you've read many, many times before, There is no holy grail....(just probability)..

A final note , before retreating to your engrossing coding activities Remember what einstein said....Never loose a holy curiosity..

Good luck Barli..

Regards...

Ah, nearly forgot... I dont use a moving average crossover..no .no. no..... Read again dude..

BARLI
Roundtable Knight
Roundtable Knight
Posts: 650
Joined: Sat Jan 17, 2004 6:01 pm
Location: USA

Post by BARLI » Mon May 22, 2006 12:07 am

lol RedRock you rock. 8)


CrAcKhOuR, when I was just beggining with technical analysis I looked at ADX and SAR when they both confirmed each other and thought :"WOW, this stuff works", then I went to see if it worked on October 87-th crash, guess what? It did work!

Look here:
Image
you'd go short by only these 2 indicators on 10/8/87 and would cover on 10/23/87 cos of SAR reversing to the long side.

When I backtested your 4/12 crossover, I wanted to show you that its not the optimized parameter for using crossover technique in trading. Thats why you need to backtest. Crossovers DO work, but what parameter to take? I looked at what Seykota was doing at his Trading Tribe (he always wants to take no matter what to someone's tribe as an entry point :P , this sentence always makes me laugh when he says that :lol: ), so you'd fidn from this bold trader that 140/20 EMA crossover actually works nicely returning you 25% anually in futures. If you'd use this technique you'd be Long Heating Oil since 10/3/03 untill now

Image

but who holds trades for 3 years?If so that's 60k profit per contract. maybe Seykota does such a thing, most traders would be bored to do that.
CrAcKhOuR wrote:
A final note , before retreating to your engrossing coding activities Remember what einstein said....Never loose a holy curiosity..
I never lose mine, thats why I backtest my ideas to see if they're valid, to do it by hand as old timers used to, well we're in 21-st century my friend.


If you're still not convinced how useful backtesting is in finding the truth about the markets then I cannot help any further :shock:

CrAcKhOuR
Senior Member
Senior Member
Posts: 32
Joined: Sun May 07, 2006 11:03 am
Location: uk

OMGWTF?

Post by CrAcKhOuR » Sat Sep 02, 2006 11:26 pm

BARLI,

I feel that upon re-reading our recent conversation, I seem very patronising, though I didnt mean to, SoZ.

I do understand historical potential, however I just dont trust the data mate.....No trusto un data'o

1+2+3---Sliip--- =62.555....etc

I wish there was a few chartists here though...

all I did was mention charting when I first registered in this forum and was immediately bombarded by rules for writing my name and not to post too much

THIS IS A FORUM FOR MACHANICAL TRADERS they SPAT at me...


Are we not all human? Seriously Barli, (and anyone else reading this)...just look at the replies to some of my posts ....They are like the third riech ...

RULES for this..RULES for that ..... Seriousness for trading ..granted...BUT FUN for a forum ..SURELY....

Can't mechanical data whores, speak to chartists ??

Is charting a dirty word??

If you think so then you dissrespect your forefathers?

And your fathers fathers...

Buffet only uses a computer to play bridge..
dunn can trade on the back of an envelope..

So this should spice the conversation up a tad..

watch as mechanical trading is defended..

Tune in to whitness the next episode .....

bleedin' yanks!! Bunch of nancy boys.......
Last edited by CrAcKhOuR on Sat Nov 11, 2006 8:00 am, edited 1 time in total.

BARLI
Roundtable Knight
Roundtable Knight
Posts: 650
Joined: Sat Jan 17, 2004 6:01 pm
Location: USA

Post by BARLI » Sun Sep 03, 2006 2:09 am

CrAcKhOuR no one meant to offend you on here, dont feel like people here dont like chartists or charting, I'm biased that 70% of the folks here started with pattern recognition when they were starting in the business of trading. I, personally, went through Ted Warren method and his chart book at least 100 times and listened his old records when he was giving a seminar back to 70's. I always use charts, but let me tell you my view on mechanical system trading: MST (mechanical system trading) is automated pattern recognition, whatever you code there will pop up in your market scans and give you a signal for the next trading day. Now imagine 2 guys: one is not using a computer and trading software and goes over 1000 charts of stocks to find something tradebale for the next day and spends 7 hours doing that, another uses his programmed systems and by scanning markets gets all he wants (his patterns and set ups) for the next trading day spending around 5-10 min. What do you like of this two more? Concerning c.f., we simply give him a credit for sharing wealth of his experience, giving away Turtles Rules ( original from Richard Dennis) and creating this wonderful forum. Do not offend others and you'll be treated the same way.

seale1
Senior Member
Senior Member
Posts: 45
Joined: Tue May 20, 2003 3:02 pm
Location: Vancouver, Canada

Post by seale1 » Mon Sep 04, 2006 7:42 pm

I have been watching this thread with some interest since inception and need to agree with the bulk of the replies here crackhoar-sorry I didn't feel like pressing my shift button however many times it would take in replying.

Your last post has taken on the tone of a chastised 5 year old who has just been told he can't have whatever he's been pestering his mother to buy him in the grocery store and has just launched into full-bore tantrum. :x

I don't come away with the feeling that any of the respondants to your thread here have been overly harsh. On the other hand, your response has crossed the line into outright attacks on the guy who has made all this possible, regardless of whether you agree with how c.f. trades, likes his eggs, ties his shoes etc...

c.f. comes across as a fairly humble kinda guy so he won't say what I'm about to(so get ready 'cause here it comes): Don't be a JaCkAsS(pardon my own brief bit of irreverence) and attack the guy who has made all this possible for the rest of us...

Most of the people on this forum will recognize that I don't post very often as I tend to do more reading/listening on this board. To the gang here, I apologize for my brief rant and bout of insanity but really...

The irreverence of youth(that sounds weird to write with me being only 36) is appealing as long as it doesn't cross the line into outright disrespect. Crackwh***-I fear you may have lost your audience here with that tantrum.

Sean

CrAcKhOuR
Senior Member
Senior Member
Posts: 32
Joined: Sun May 07, 2006 11:03 am
Location: uk

wtf?

Post by CrAcKhOuR » Tue Nov 07, 2006 7:02 am

seriously,

if anyone has got this far down the thread!

I was not having a pop at c.f.!!

I was simply trying to promote your own independant thoughts away from c.f., who incidentally I have enourmous respect for...

Dissing this guy would be like preaching psychology to sigmund..
Or trying to tell edison that candles actually work better..

c.f. is a big boy now and can look after himself mmmkay?

Please let this thread lie now as it has become tedious ..

Happy trading ....

Kindest, Kindest regards ...

P.S Barli you are a dude , dude! 8)

Post Reply