All these 5 or so types cover the different systems we have , we need to combine them into one system for all purposes
- See this for 'UI sample' on Explorer window for Candlestick Recognition , we should have similar ones
http://www.patternexplorer.com/candlestick-recognition.html
- Chart Pattern explorer with names -- see if this guy sells only ChartPattern for say 40 bucks ( no source code reqd. , but need our FORMAT of all FoRMATS )
- see all code is in 1 file ( chart, exploration etc.. )
- Chart Patterns
- see Bulkowski stats at this url: http://www.trending123.com/scantimeframes/index.html
Tom Bulkowski's Patternz software picked up a complex head and shoulders bottom. ( side note: see author Technical analysis after GS upgrade , how he is watching different tech. indicators )
- notice Bulkowski software captured complex pattern
- asr: take some 5 to 6 screen shots from bukowski (free s/w) and ask patternexplorer guy to send same screen shots and compare how good PE guy is. Otherway, we can save Bulkowsi data in the s/w and read in Amibroker and parse ( can be a project for Amibroker forum )
0. complete system code - Automatic Analysis (AA) Settings This formula can be used for the following purposes: 1 - Indicator, 2 - Commentary, 3 - Scan, 4 - Exploration, 5 - Backtest, Optimize
Graham did a nice job of capturing much of the essence of a basic script. In working with a group of programmers we've come up with some enhancements to his formula that makes it useful in the Automatic Analysis (AA) component.
1. AMIBROKER, CROSSOVER SYSTEM. heikin-ashi candlesticks with 55-day zero-lag moving averages and arrows marking entry and exit points. ( no indicator just BUY/SELL)
http://www.traders.com/Documentation/FEEDbk_docs/2008/05/TradersTips/TradersTips.html#amibroker
2. AMIBROKER, PREMIER STOCHASTIC INDICATOR. ( indicator separate plot )
http://www.traders.com/Documentation/FEEDbk_docs/2008/08/TradersTips/TradersTips.html#amibroker
3. calling PROCEDURE CODE
the code, vstop_proc.afl needs to be placed in your include directory which by default is Formulas/Include. Below code how to call the procedure. The procedure returns trailLong and trailShort. These arrays can be used to define entries or exits.
4. All Odds system shows Exploaration with Columns
http://www.amibroker.com/library/detail.php?id=29
5. Smart System Design MetaStock example
http://www.metastocktools.com/MetaStock/SmartSys.txt
Showing posts with label Trading-Strategies. Show all posts
Showing posts with label Trading-Strategies. Show all posts
Tuesday, January 26, 2010
Tuesday, January 19, 2010
World Cup Trading Championships
World Cup Trading Championships 2009 Standings
asr: see prizes, no cash prizes this is just free software.. top traders get JOBS as big trading firms , Hedge funds, but first you have to do with real account and register with world cup to track ..
World Cup Championship of Futures Trading®
Final
1) Andrea Unger 115%
2) Ari Masters* 63%
3) Brady Preston 25%
*Cash Prize Pool participant
World Cup Championship of Stock Trading®
Final
1) Chuck Hughes 122%
2) Bryan Johnson 95%
3) Kurt Sakaeda 52%
*Cash Prize Pool participant
World Cup Championship of Forex Trading™
Final
1) Tim Rayment 44%
2) Kurt Sakaeda* 2%
*Cash Prize Pool participant
Standings show percentage increase in account net worth over initial deposit. For a complete explanation of World Cup Championship rules and standings computation criteria, please click on the following links:
2010 World Cup Championship of Futures & Forex Trading Entry Agreement
2010 World Cup Championship of Stock Trading Entry Agreement
asr: Kurt Sakaeda won 2007 Forex with 107% return check below
____________________________________________
World Cup Championship of Futures Trading
Top Overall Performance - All Divisions
2008: Andrea Unger 672%
2007: Michael Cook 250%
2006: Kevin Davey 107%
2005: Ed Twardus 278%
2004: Kurt Sakaeda 929%
2003: Int'l. Capital Mngt. 88%
2002: John Holsinger 608%
2001: David Cash 53%
2000: Kurt Sakaeda 595%
1999: Chuck Hughes 315%
1998: Jason Park 99%
1997: Michelle Williams 1,000%
1996: Reinhart Rentsch 95%
1995: Dennis Minogue 219%
1994: Frank Suler 85%
1993: Richard Hedreen 173%
1992: Mike Lundgren 212%
1991: Thomas Kobara 200%
1990: Mike Lundgren 244%
1989: Mike Lundgren 176%
1988: David Kline 148%
1987: Larry Williams 11,376%
1986: Henry Thayer 231%
1985: Ralph Casazzone 1,283%
1984: Ralph Casazzone 264%
World Cup Championship of CME Group® E-mini Index Trading
2009 (third quarter): Rick Scatterday 2%
2008 (fourth quarter): Richard Sorota 21%
2008 (third quarter): Triphase Corp. 83%
2008 (second quarter): Richard Sorota 25%
2008 (first quarter): Mitchell Family 57%
2007 (fourth quarter): Rrichard Sorota 61%
2007 (third quarter): Ken Goldberg 121%
World Cup Championship of Stock Trading
2008: Bryan Johnson 48%
2007: Chuck Hughes/Legacy Publishing 229%
2006: Wenchen Zhang 73%
2005: Chuck Hughes 30%
2004: Ash Matar 26%
2003: Jeff Stearns 245%
2002: Tom Jensen 71%
2001: Larry Jacobs 3%
2000: Steve Garner 24%
World Cup Championship of Forex Trading
2007: Kurt Sakaeda* 104%
2006: John Holsinger 18%
2004: Tim Rayment 63%
asr: wow these the Japan cup avarage is 500%
Japan World Cup (Futures)
2008: Kazutoshi Kondo 2,357%
2007: Samurai 1,528%
2006: Dragon SP 644%
2005: Messara 588% (May-Dec.)
2004: OK-Linda 533%
2003: Fairy 1,131%
2002: Mystery Tiger 500% (July-Dec.)
2002: Fairy 709% (Jan.-June)
2001: Fairy 1,098% (July-Dec.)
Competitors use handle names.
Investments in futures forex, and stocks are subject to risk, including the potential loss of principal invested, and are not suitable for all investors. Past performance is not necessarily indicative of future results.
asr: see prizes, no cash prizes this is just free software.. top traders get JOBS as big trading firms , Hedge funds, but first you have to do with real account and register with world cup to track ..
World Cup Championship of Futures Trading®
Final
1) Andrea Unger 115%
2) Ari Masters* 63%
3) Brady Preston 25%
*Cash Prize Pool participant
World Cup Championship of Stock Trading®
Final
1) Chuck Hughes 122%
2) Bryan Johnson 95%
3) Kurt Sakaeda 52%
*Cash Prize Pool participant
World Cup Championship of Forex Trading™
Final
1) Tim Rayment 44%
2) Kurt Sakaeda* 2%
*Cash Prize Pool participant
Standings show percentage increase in account net worth over initial deposit. For a complete explanation of World Cup Championship rules and standings computation criteria, please click on the following links:
2010 World Cup Championship of Futures & Forex Trading Entry Agreement
2010 World Cup Championship of Stock Trading Entry Agreement
asr: Kurt Sakaeda won 2007 Forex with 107% return check below
____________________________________________
World Cup Championship of Futures Trading
Top Overall Performance - All Divisions
2008: Andrea Unger 672%
2007: Michael Cook 250%
2006: Kevin Davey 107%
2005: Ed Twardus 278%
2004: Kurt Sakaeda 929%
2003: Int'l. Capital Mngt. 88%
2002: John Holsinger 608%
2001: David Cash 53%
2000: Kurt Sakaeda 595%
1999: Chuck Hughes 315%
1998: Jason Park 99%
1997: Michelle Williams 1,000%
1996: Reinhart Rentsch 95%
1995: Dennis Minogue 219%
1994: Frank Suler 85%
1993: Richard Hedreen 173%
1992: Mike Lundgren 212%
1991: Thomas Kobara 200%
1990: Mike Lundgren 244%
1989: Mike Lundgren 176%
1988: David Kline 148%
1987: Larry Williams 11,376%
1986: Henry Thayer 231%
1985: Ralph Casazzone 1,283%
1984: Ralph Casazzone 264%
World Cup Championship of CME Group® E-mini Index Trading
2009 (third quarter): Rick Scatterday 2%
2008 (fourth quarter): Richard Sorota 21%
2008 (third quarter): Triphase Corp. 83%
2008 (second quarter): Richard Sorota 25%
2008 (first quarter): Mitchell Family 57%
2007 (fourth quarter): Rrichard Sorota 61%
2007 (third quarter): Ken Goldberg 121%
World Cup Championship of Stock Trading
2008: Bryan Johnson 48%
2007: Chuck Hughes/Legacy Publishing 229%
2006: Wenchen Zhang 73%
2005: Chuck Hughes 30%
2004: Ash Matar 26%
2003: Jeff Stearns 245%
2002: Tom Jensen 71%
2001: Larry Jacobs 3%
2000: Steve Garner 24%
World Cup Championship of Forex Trading
2007: Kurt Sakaeda* 104%
2006: John Holsinger 18%
2004: Tim Rayment 63%
asr: wow these the Japan cup avarage is 500%
Japan World Cup (Futures)
2008: Kazutoshi Kondo 2,357%
2007: Samurai 1,528%
2006: Dragon SP 644%
2005: Messara 588% (May-Dec.)
2004: OK-Linda 533%
2003: Fairy 1,131%
2002: Mystery Tiger 500% (July-Dec.)
2002: Fairy 709% (Jan.-June)
2001: Fairy 1,098% (July-Dec.)
Competitors use handle names.
Investments in futures forex, and stocks are subject to risk, including the potential loss of principal invested, and are not suitable for all investors. Past performance is not necessarily indicative of future results.
Thursday, December 3, 2009
trade software reviews
VantagePoint reviews
Posted By: TradersLog
-------------
The Fusion Trader’s Secret Weapon
A Review of VectorVest Online Stock Trading Software
By Matt Blackman
asr: this vectorvest combines both fundamental and technial . Mr. K uses fudamental based scanners AAII etc.. check those also ..
If the efficient market hypothesis were true, great traders like T. Boone Pickens, Steve Cohen, Paul Tudor Jones and Dan Zanger (to name but a few) would not make as much money as they do. Those at the top of their game win consistently by looking at the market in a different way than the majority. The very best traders are masters of the technical and fundamental; they utilize statistics, quantitative analysis and rely on a variety of factors from macro-economic to micro-technical. In short, the fusion traders use whatever works and do not limit themselves to any single field of market study.
So why are there so few stock charting and analysis programs that do an effective job of handling fundamentals and technicals together? Most utilize one technique thereby requiring the trader/investor to master a number of programs. But is this absolutely necessary?
Advertised as a program that does an excellent job in addressing the above challenges, does VectorVest live up to expectation?
Conclusion
There are a number of online and computerized stock screeners on the market today. The challenge is that most concentrate on either fundamentals or technicals; few do an adequate job of integrating the two together for the new breed of fusion trader or investor.
VectorVest combines fundamental and technical search parameters in a fashion that allows the user to narrow his or her search so that only stocks meeting the complex combination of fundamental and technical criteria are produced. On top of well-known performance ratios, the program provides some very useful proprietary indicators to help streamline the process.
VectorVest is not perfect. Since it is a web-based program, it can be slower than a machined-based program, and the speed at which it moves will depend on the speed of your Internet connection. Another challenge with the program is that there are so many functions and possibilities available, it can seem daunting to the new user. It is not for the faint of heart or uncommitted market player. But from this author’s perspective, such shortfalls were far outweighed by the program’s benefits.
Posted By: TradersLog
-------------
The Fusion Trader’s Secret Weapon
A Review of VectorVest Online Stock Trading Software
By Matt Blackman
asr: this vectorvest combines both fundamental and technial . Mr. K uses fudamental based scanners AAII etc.. check those also ..
If the efficient market hypothesis were true, great traders like T. Boone Pickens, Steve Cohen, Paul Tudor Jones and Dan Zanger (to name but a few) would not make as much money as they do. Those at the top of their game win consistently by looking at the market in a different way than the majority. The very best traders are masters of the technical and fundamental; they utilize statistics, quantitative analysis and rely on a variety of factors from macro-economic to micro-technical. In short, the fusion traders use whatever works and do not limit themselves to any single field of market study.
So why are there so few stock charting and analysis programs that do an effective job of handling fundamentals and technicals together? Most utilize one technique thereby requiring the trader/investor to master a number of programs. But is this absolutely necessary?
Advertised as a program that does an excellent job in addressing the above challenges, does VectorVest live up to expectation?
Conclusion
There are a number of online and computerized stock screeners on the market today. The challenge is that most concentrate on either fundamentals or technicals; few do an adequate job of integrating the two together for the new breed of fusion trader or investor.
VectorVest combines fundamental and technical search parameters in a fashion that allows the user to narrow his or her search so that only stocks meeting the complex combination of fundamental and technical criteria are produced. On top of well-known performance ratios, the program provides some very useful proprietary indicators to help streamline the process.
VectorVest is not perfect. Since it is a web-based program, it can be slower than a machined-based program, and the speed at which it moves will depend on the speed of your Internet connection. Another challenge with the program is that there are so many functions and possibilities available, it can seem daunting to the new user. It is not for the faint of heart or uncommitted market player. But from this author’s perspective, such shortfalls were far outweighed by the program’s benefits.
Wednesday, November 25, 2009
Volatility Trading,
asr: all reviews 5 star ( I have one other volatility book )
Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is.
- The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade.
- He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists.
- This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology.
- Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals.
review
This is a must for any volatility trader. That being said, it offers a lot to people who trade other products, invest, or make decisions about investment managers. Looking through it now, I would say at least half the book is useful for any type of investor. Perhaps the book should be called "trading with an emphasis on volatility" since it probably doesn't reach a wide enough audience.
asr: the above reviewer other reviews (good books), seems it is needed for any investor as he said
http://www.amazon.com/gp/cdp/member-reviews/AGTYO77U15BCO/ref=cm_cr_pr_auth_rev?ie=UTF8&sort_by=MostRecentReview
Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is.
- The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade.
- He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists.
- This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology.
- Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals.
review
This is a must for any volatility trader. That being said, it offers a lot to people who trade other products, invest, or make decisions about investment managers. Looking through it now, I would say at least half the book is useful for any type of investor. Perhaps the book should be called "trading with an emphasis on volatility" since it probably doesn't reach a wide enough audience.
asr: the above reviewer other reviews (good books), seems it is needed for any investor as he said
http://www.amazon.com/gp/cdp/member-reviews/AGTYO77U15BCO/ref=cm_cr_pr_auth_rev?ie=UTF8&sort_by=MostRecentReview
Tuesday, November 17, 2009
setup Northington RSIV
Be a Lean, Mean Investing Machine
Momentum indicators, such as the Relative Strength Index and the stochastic oscillator, are commonly used to identify price points that are considered oversold or overbought. In range-bound markets, these classic tools can work well. However, once price begins a solid directional trend, these indicators’ ability to identify relevant oversold and overbought levels is greatly handicapped by the nature of their arithmetic.
Best Practices
Here are some recommended best practices for the Northington RSIV:
• The Northington RSIV is for use in a confirmed price trend. Use other methods to determine the beginning and end of a trend.
• Consider entering a long position in an uptrend when the Northington RSIV (30, 40) crosses below 30.
• Consider entering a short position in a downtrend when the Northington RSIV (30, 40) crosses above 70.
• When a countertrend signal is generated, consider taking in the position for 25 percent to 33 percent of the look-back duration of the indicator. Be sure that the broader market is also similarly overbought or oversold. This is to be used as part of an overall risk-reduction practice.
• Gaps can nullify an extreme reading. Allow price to move away from the gap by the number of the look-back periods. Gaps can cause issues with many technical analysis indicators.
Momentum indicators, such as the Relative Strength Index and the stochastic oscillator, are commonly used to identify price points that are considered oversold or overbought. In range-bound markets, these classic tools can work well. However, once price begins a solid directional trend, these indicators’ ability to identify relevant oversold and overbought levels is greatly handicapped by the nature of their arithmetic.
Best Practices
Here are some recommended best practices for the Northington RSIV:
• The Northington RSIV is for use in a confirmed price trend. Use other methods to determine the beginning and end of a trend.
• Consider entering a long position in an uptrend when the Northington RSIV (30, 40) crosses below 30.
• Consider entering a short position in a downtrend when the Northington RSIV (30, 40) crosses above 70.
• When a countertrend signal is generated, consider taking in the position for 25 percent to 33 percent of the look-back duration of the indicator. Be sure that the broader market is also similarly overbought or oversold. This is to be used as part of an overall risk-reduction practice.
• Gaps can nullify an extreme reading. Allow price to move away from the gap by the number of the look-back periods. Gaps can cause issues with many technical analysis indicators.
Friday, November 13, 2009
a Moving avarage Trading System
a Moving average Trading System
asr: Nice post from good Indian trader ( india)
Simple daily moving averages of 3,13 and 39 can keep you in and out of markets fairly efficiently and profitably, (in any time frame actually). Here's how.
Some basic principles to understand are:
-The market moves in long (secular) trends.
-Intermediate trends can last for months to years.
-Short term trends can last for days to weeks.
-Trade intermediate trends in either direction.
-Trade short term trends only in the direction of the intermediate trend.
Proxies:
3 Day MA - a proxy for price
13 Day MA - a proxy for the short term trend (a moving trend line)
39 Day MA - a proxy for the intermediate trend (a moving trend line).
The Basics of MAs
MAs lag market reversals at tops and bottoms, the larger the MA the longer the lag period, the shorter the MA the shorter the lag but the more frequent the whipsaws. MAs work well when markets trend but get frequently whipsawed when they are in a range.
Therefore, trade trends with the MAs but do not trade ranges using MAs. Just stand aside and be patient until a new trend emerges.
The intermediate trend is in the direction of the 39 MA which acts like a moving trend line. If the 39 MA is pointing up then the intermediate trend is up, if down the trend is down. If the 39 MA is horizontal the market is in a range, from which a trend will, sooner or later, emerge.
Simple Trading Rules
1. When the 39 MA is moving up buy when the 3 MA crosses up over the 13 MA. and/or when the 3 MA crosses above the 39 MA.. When the 13 MA crosses above the 39 MA consider adding to your long position. Exit and stand aside when the 3 crosses back below the 13 MA..
2. When the 39 MA is moving down sell short when the 3 MA crosses below the 13 MA. and/or when the 3 MA crosses below the 39 MA.. When the 13 MA crosses below the 39 MA consider adding to your short position. Exit and stand aside when the 3 MA crosses back up over the 13 MA.
3. Only initiate trades
in the opposite direction of the intermediate trend when the 3 MA crosses above or below the 39 MA, preferably after the 39 MA has already changed direction.
4. This 3:13 MA crossover will keep you trading in the trend with only a small lag and on the sidelines during corrections. The lag only becomes more substantial at reversals of the intermediate trend (a 3:39 crossover), a small price to pay at these uncertain times of trend transition.
You can set your technical analysis sofware to show bar charts with these 3X13x39 simple MAs. This trading system will help you select the best traders while avoiding the less profitable trades in choppy markets.
Reply With Quote
asr: when 13 cross 39 on upside adding to already existing LONG position is interesting concept, basically at that point it became Triple moving avg. all 3 in perfect alignment . We can use same logic of 'add to LONG' position with our VP triple system
---
another system from good traders from india
Its a trend following system. Its built on ema of 5,13,21,34,55 and 89. They are the Fibonacci numbers that play a very vital role on our trading life. These ema form the cloud that tells me if the trend is bullish or bearish.
asr: Nice post from good Indian trader ( india)
Simple daily moving averages of 3,13 and 39 can keep you in and out of markets fairly efficiently and profitably, (in any time frame actually). Here's how.
Some basic principles to understand are:
-The market moves in long (secular) trends.
-Intermediate trends can last for months to years.
-Short term trends can last for days to weeks.
-Trade intermediate trends in either direction.
-Trade short term trends only in the direction of the intermediate trend.
Proxies:
3 Day MA - a proxy for price
13 Day MA - a proxy for the short term trend (a moving trend line)
39 Day MA - a proxy for the intermediate trend (a moving trend line).
The Basics of MAs
MAs lag market reversals at tops and bottoms, the larger the MA the longer the lag period, the shorter the MA the shorter the lag but the more frequent the whipsaws. MAs work well when markets trend but get frequently whipsawed when they are in a range.
Therefore, trade trends with the MAs but do not trade ranges using MAs. Just stand aside and be patient until a new trend emerges.
The intermediate trend is in the direction of the 39 MA which acts like a moving trend line. If the 39 MA is pointing up then the intermediate trend is up, if down the trend is down. If the 39 MA is horizontal the market is in a range, from which a trend will, sooner or later, emerge.
Simple Trading Rules
1. When the 39 MA is moving up buy when the 3 MA crosses up over the 13 MA. and/or when the 3 MA crosses above the 39 MA.. When the 13 MA crosses above the 39 MA consider adding to your long position. Exit and stand aside when the 3 crosses back below the 13 MA..
2. When the 39 MA is moving down sell short when the 3 MA crosses below the 13 MA. and/or when the 3 MA crosses below the 39 MA.. When the 13 MA crosses below the 39 MA consider adding to your short position. Exit and stand aside when the 3 MA crosses back up over the 13 MA.
3. Only initiate trades
in the opposite direction of the intermediate trend when the 3 MA crosses above or below the 39 MA, preferably after the 39 MA has already changed direction.
4. This 3:13 MA crossover will keep you trading in the trend with only a small lag and on the sidelines during corrections. The lag only becomes more substantial at reversals of the intermediate trend (a 3:39 crossover), a small price to pay at these uncertain times of trend transition.
You can set your technical analysis sofware to show bar charts with these 3X13x39 simple MAs. This trading system will help you select the best traders while avoiding the less profitable trades in choppy markets.
Reply With Quote
asr: when 13 cross 39 on upside adding to already existing LONG position is interesting concept, basically at that point it became Triple moving avg. all 3 in perfect alignment . We can use same logic of 'add to LONG' position with our VP triple system
---
another system from good traders from india
Its a trend following system. Its built on ema of 5,13,21,34,55 and 89. They are the Fibonacci numbers that play a very vital role on our trading life. These ema form the cloud that tells me if the trend is bullish or bearish.
Thursday, November 12, 2009
Time (Again) For Crack Trades? OIL 3-2-1 Crack Spread
asr: Wow , see from SEPT to MARCH every year the spread has increased , what an easy trade for patient 4 months buy crack and waiting.
- wait a month or so then Take 'short' of this crack for next 4 months. what is great cyclical trade to keep money in whole year for every year . Use MCRI seasonal to find out exact dates
asr: this 3-2-1 crack may be hard to achieve see below contracts are priced low in those months , our other post WTI intra months is better and simpler way to go.
asr: this chart gives Nice JUNE to OCTOBER spread DOWN , then OCT to JUNE spread RISE
this URL gives crack spread formula as =(28*XRB)+(14*HO)-CL
so giving values from 4/27/10 CL: $82 RBob: 2.323 Heating OIL HO = 2.249 gave crack spread value as $14.5 seems inline with the value given in the future source chart (28 * 2.25200) + (14 * 2.35100) - 82 = 13.97
|
Trade Spot Forex & More, All from 1 Account--
Time (Again) For Crack Trades?
By Brad Zigler
www.hardassetsinvestor.com
October 30th, 2009
http://321energy.com/editorials/zigler/zigler103009.html
http://www.hardassetsinvestor.com/features-and-interviews/1/1830-time-again-for-crack-trades.html
Halloween's approaching, and with it comes the prospect of tricks and treats for oil market traders. For traders plying the "crack spread," one of the market's tricks actually turns out to be more of a treat.
These ghoulish-sounding crack spreads ("crack" refers not to the crushing of bones but the busting of hydrocarbon molecules) simulate the economics of oil refining. For example, a refiner typically buys crude oil and processes it into products, such as gasoline and heating oil, for subsequent sale. Thus, a refiner's profits are highly dependent upon purchasing crude at a sufficient discount to the proceeds of the refined product.
There are two main types of crack spreads to note. The so-called 2-1-1 crack, geared for either winter refining or the use of heavier grades of crude, yields one barrel each of gasoline and heating oil for every two barrels of input crude. Lighter, sweeter inputs such as West Texas Intermediate can supply incrementally more gasoline and may be cracked in a "3-2-1" ratio; that is, every three barrels of crude supply two barrels of gasoline and one barrel of heating oil.
Spread Calculations
The first step in determining the potential profit represented by a crack is rationalizing the spread's components.
Crude oil is priced by the barrel, but gasoline and heating oil prices are denominated in gallons. Both futures contracts, however, call for the delivery of 1,000 barrels, albeit indirectly in the case of distillate futures. (Heating oil and gasoline contracts, priced in cents per gallon, require a 42,000-gallon delivery, but with each barrel holding 42 U.S. gallons, it's really just 1,000 barrels, like crude futures. To determine the gross crack spread implied by futures, a trader simply multiplies distillate prices by 42 to obtain their barrel equivalents.)
Let's walk through an example. Suppose that nearby NYMEX crude futures are offered at $80.00 per barrel. That represents a refiner's input cost.
The processing output is typically represented by gasoline and heating oil contracts deliverable in the month following crude delivery, as this better simulates the actual storage, refining and marketing timeline. So let's suppose gasoline a month forward of the crude delivery is bid at $2.00 a gallon, while heating oil's fetching $2.10.
Converting the distillates to their barrel equivalents makes gasoline worth $84 a barrel ($2.00 a gallon x 42 gallons) and heating oil $88.20 a barrel ($2.10 a gallon x 42 gallons).
The 3-2-1 crack spread can then be calculated using the simple arithmetic:
3-2-1 Crack Spread = [(2 x Gasoline) + (1 x Heating Oil)] - (3 x Crude Oil)
or [(2 x $84.00) + (1 x $88.20)] - (3 x $80.00) = $16.20 per 3 barrels of crude, or $5.40 per barrel.
The math for a 2-1-1 crack is similar:
2-1-1 Crack Spread = [(1 x Gasoline) + (1 x Heating Oil)] - (2 x Crude Oil)
or [(1x $84.00) + (1x $88.20)] - (2 x $80.00) = $12.20 per 2 barrels of crude, or $6.10 per barrel.
The 2-1-1 crack commands a premium over the 3-2-1 spread typically in the fall and winter, as the demand for heating oil increases. Fortunes reverse ahead of the summer driving season, when the gasoline-heavy 3-2-1 crack tends to outperform the 2-1-1 spread.
Interpreting The Crack Spread
Variances in the crack spread reflect the pricing of input crude relative to its output products. Generally speaking, there's a negative correlation between crude oil prices and the crack spread; meaning when oil prices increase, profit margins tend to contract.
Also, in great part, crude oil tends to re-price more quickly than the products, so crack spreads tend to widen or narrow when crude oil prices move precipitously. For example, last year, when crude peaked at $145.29 just before Independence Day, the 3-2-1 crack spread stood at $13.12 a barrel. By the time oil bottomed at $33.98 in mid-February 2009, the spread had widened to $22.98. In broader terms, crack spreads also reflect the demand for refining capacity. Because there's a limit on refining capacity, when appetites for refined products spike, spreads are more likely to widen. Refiners can throttle operations up or down to meet demand (presently, refineries are operating at only 81 percent of capacity), but there's always a certain amount of capacity off-line for repair or switchover. If recent history is any guide, utilization maxes out at 94 percent.
Additionally, there's a positive correlation between the crack spread and capacity utilization, reflecting refiners' ability to modulate their product availability. Refinery operators clearly have more maneuvering room on the downside to deal with slackening demand. For example, in September 2008, after the summer driving season ended, utilization dropped below 67 percent as refining margins thinned.
Refinery capacity constraints will likely be felt even in a robust economic recovery, should demand for products overtax existing facilities. After all, it'll take a long time to put new refining capacity online.
Refining Utilization And Crack Spreads
Refiners regularly trade crack spreads in the futures market to hedge their operating margins against market volatility. Speculators, too, trade the spreads, enticed by the 75 percent margin credit granted by the NYMEX clearinghouse.
Those anticipating an expansion in refiner profits—in other words, fatter cracks—typically sell crude oil futures and simultaneously purchase heating oil and gasoline contracts. "Buying the crack" in this fashion makes money, as crude oil costs lag increases in the prices of refined products.
Conversely, shrinking refiner margins can be profitably exploited by "selling the crack"—buying crude while shorting gasoline and heating oil.
Cracking The Current Market With ETFs
When the economy faltered, crack spreads narrowed, so, it makes sense that they'd widen as we pull out of recession. Earlier this month, the 3-2-1 crack was scraping along at $4.45 a barrel, while its 2-1-1 analogue was $5.13. Just two weeks later, the spreads have built up to $7.40 and $7.94, respectively.
Impressive as these gains are, the spreads are still well below their year-to-date medians—$10.80 for the 3-2-1 crack and $11.65 for the 2-1-1 spread. Keeping that in mind, there's likely to be more upside potential for traders buying the crack, even at these levels.
Nowadays, however, traders can capture spread changes without resorting to the futures market. The introduction of crude oil, gasoline and heating oil exchange-traded funds allows investors to trade the spread margin free—at least the 2-1-1 version, anyway.
Buying equal lots of the ProShares UltraShort DJ-UBS Crude Oil ETF (NYSE Arca: SCO), the United States Gasoline Fund (NYSE Arca: UGA) and the United States Heating Oil Fund (NYSE Arca: UHN) effectively puts an investor short two units of crude oil and long one unit each of gasoline and heating oil. In other words, this three-legged purchase simulates buying the crack.
The ETF version of the spread makes life fairly simple for an investor. It can be transacted in a securities account; no futures account is needed. Even better, the spread can be held with relative impunity, even when refining margins aren't improving.
For example, the returns earned from holding the ETF spread since the top of the year—not the most favorable of margin environments—would have been 3 percent. That's a 3 percent gain, mind you, which doesn't sound all that impressive until you compare it with the results of holding the futures analogue: A fully collateralized futures spread would have lost 14.6 percent. Factor in the leverage afforded by margin, and you're talking about a much larger potential loss.
Part of this risk disparity is due to volatility, which is much smaller in the ETF version of the spread—less than a fifth of the volatility of the futures-based spread, in fact.
There's a lot less maintenance required of the ETF spread as well. Contracts don't have to be rolled over, there's no contango or backwardation to deal with (not directly, that is) and investors don't have to worry about changes in margin requirements.
2-1-1 Crack Spread: Futures Vs. ETFs
You can see that the ETF version tracks the 2-1-1 crack fairly well, although not exactly. The differential is due to a couple of factors. First of all, the ETF spread reflects the last sale data typically available to retail investors, while the futures spread is based upon settlement values, not last-sale data. Using end-of-day bids or fund NAVs would narrow the apparent difference significantly.
Nor is contango reflected in the ETF spread. By design, the product ETFs are continuously invested in front-month futures, rather than the back-month contracts dictated by a refining simulation. Contango's generally shrinking now, but earlier this year, it was a significant source of dissonance.
The economy may still have a few tricks up its sleeve this Halloween, but those traders eager to wager on recovery now have a trick of their own that just might turn the crack spread into a real treat.
By Brad Zigler
www.hardassetsinvestor.com
October 30th, 2009
http://321energy.com/editorials/zigler/zigler103009.html
http://www.hardassetsinvestor.com/features-and-interviews/1/1830-time-again-for-crack-trades.html
Halloween's approaching, and with it comes the prospect of tricks and treats for oil market traders. For traders plying the "crack spread," one of the market's tricks actually turns out to be more of a treat.
These ghoulish-sounding crack spreads ("crack" refers not to the crushing of bones but the busting of hydrocarbon molecules) simulate the economics of oil refining. For example, a refiner typically buys crude oil and processes it into products, such as gasoline and heating oil, for subsequent sale. Thus, a refiner's profits are highly dependent upon purchasing crude at a sufficient discount to the proceeds of the refined product.
There are two main types of crack spreads to note. The so-called 2-1-1 crack, geared for either winter refining or the use of heavier grades of crude, yields one barrel each of gasoline and heating oil for every two barrels of input crude. Lighter, sweeter inputs such as West Texas Intermediate can supply incrementally more gasoline and may be cracked in a "3-2-1" ratio; that is, every three barrels of crude supply two barrels of gasoline and one barrel of heating oil.
Spread Calculations
The first step in determining the potential profit represented by a crack is rationalizing the spread's components.
Crude oil is priced by the barrel, but gasoline and heating oil prices are denominated in gallons. Both futures contracts, however, call for the delivery of 1,000 barrels, albeit indirectly in the case of distillate futures. (Heating oil and gasoline contracts, priced in cents per gallon, require a 42,000-gallon delivery, but with each barrel holding 42 U.S. gallons, it's really just 1,000 barrels, like crude futures. To determine the gross crack spread implied by futures, a trader simply multiplies distillate prices by 42 to obtain their barrel equivalents.)
Let's walk through an example. Suppose that nearby NYMEX crude futures are offered at $80.00 per barrel. That represents a refiner's input cost.
The processing output is typically represented by gasoline and heating oil contracts deliverable in the month following crude delivery, as this better simulates the actual storage, refining and marketing timeline. So let's suppose gasoline a month forward of the crude delivery is bid at $2.00 a gallon, while heating oil's fetching $2.10.
Converting the distillates to their barrel equivalents makes gasoline worth $84 a barrel ($2.00 a gallon x 42 gallons) and heating oil $88.20 a barrel ($2.10 a gallon x 42 gallons).
The 3-2-1 crack spread can then be calculated using the simple arithmetic:
3-2-1 Crack Spread = [(2 x Gasoline) + (1 x Heating Oil)] - (3 x Crude Oil)
or [(2 x $84.00) + (1 x $88.20)] - (3 x $80.00) = $16.20 per 3 barrels of crude, or $5.40 per barrel.
The math for a 2-1-1 crack is similar:
2-1-1 Crack Spread = [(1 x Gasoline) + (1 x Heating Oil)] - (2 x Crude Oil)
or [(1x $84.00) + (1x $88.20)] - (2 x $80.00) = $12.20 per 2 barrels of crude, or $6.10 per barrel.
The 2-1-1 crack commands a premium over the 3-2-1 spread typically in the fall and winter, as the demand for heating oil increases. Fortunes reverse ahead of the summer driving season, when the gasoline-heavy 3-2-1 crack tends to outperform the 2-1-1 spread.
Interpreting The Crack Spread
Variances in the crack spread reflect the pricing of input crude relative to its output products. Generally speaking, there's a negative correlation between crude oil prices and the crack spread; meaning when oil prices increase, profit margins tend to contract.
Also, in great part, crude oil tends to re-price more quickly than the products, so crack spreads tend to widen or narrow when crude oil prices move precipitously. For example, last year, when crude peaked at $145.29 just before Independence Day, the 3-2-1 crack spread stood at $13.12 a barrel. By the time oil bottomed at $33.98 in mid-February 2009, the spread had widened to $22.98. In broader terms, crack spreads also reflect the demand for refining capacity. Because there's a limit on refining capacity, when appetites for refined products spike, spreads are more likely to widen. Refiners can throttle operations up or down to meet demand (presently, refineries are operating at only 81 percent of capacity), but there's always a certain amount of capacity off-line for repair or switchover. If recent history is any guide, utilization maxes out at 94 percent.
Additionally, there's a positive correlation between the crack spread and capacity utilization, reflecting refiners' ability to modulate their product availability. Refinery operators clearly have more maneuvering room on the downside to deal with slackening demand. For example, in September 2008, after the summer driving season ended, utilization dropped below 67 percent as refining margins thinned.
Refinery capacity constraints will likely be felt even in a robust economic recovery, should demand for products overtax existing facilities. After all, it'll take a long time to put new refining capacity online.
Refining Utilization And Crack Spreads
Refiners regularly trade crack spreads in the futures market to hedge their operating margins against market volatility. Speculators, too, trade the spreads, enticed by the 75 percent margin credit granted by the NYMEX clearinghouse.
Those anticipating an expansion in refiner profits—in other words, fatter cracks—typically sell crude oil futures and simultaneously purchase heating oil and gasoline contracts. "Buying the crack" in this fashion makes money, as crude oil costs lag increases in the prices of refined products.
Conversely, shrinking refiner margins can be profitably exploited by "selling the crack"—buying crude while shorting gasoline and heating oil.
Cracking The Current Market With ETFs
When the economy faltered, crack spreads narrowed, so, it makes sense that they'd widen as we pull out of recession. Earlier this month, the 3-2-1 crack was scraping along at $4.45 a barrel, while its 2-1-1 analogue was $5.13. Just two weeks later, the spreads have built up to $7.40 and $7.94, respectively.
Impressive as these gains are, the spreads are still well below their year-to-date medians—$10.80 for the 3-2-1 crack and $11.65 for the 2-1-1 spread. Keeping that in mind, there's likely to be more upside potential for traders buying the crack, even at these levels.
Nowadays, however, traders can capture spread changes without resorting to the futures market. The introduction of crude oil, gasoline and heating oil exchange-traded funds allows investors to trade the spread margin free—at least the 2-1-1 version, anyway.
Buying equal lots of the ProShares UltraShort DJ-UBS Crude Oil ETF (NYSE Arca: SCO), the United States Gasoline Fund (NYSE Arca: UGA) and the United States Heating Oil Fund (NYSE Arca: UHN) effectively puts an investor short two units of crude oil and long one unit each of gasoline and heating oil. In other words, this three-legged purchase simulates buying the crack.
The ETF version of the spread makes life fairly simple for an investor. It can be transacted in a securities account; no futures account is needed. Even better, the spread can be held with relative impunity, even when refining margins aren't improving.
For example, the returns earned from holding the ETF spread since the top of the year—not the most favorable of margin environments—would have been 3 percent. That's a 3 percent gain, mind you, which doesn't sound all that impressive until you compare it with the results of holding the futures analogue: A fully collateralized futures spread would have lost 14.6 percent. Factor in the leverage afforded by margin, and you're talking about a much larger potential loss.
Part of this risk disparity is due to volatility, which is much smaller in the ETF version of the spread—less than a fifth of the volatility of the futures-based spread, in fact.
There's a lot less maintenance required of the ETF spread as well. Contracts don't have to be rolled over, there's no contango or backwardation to deal with (not directly, that is) and investors don't have to worry about changes in margin requirements.
2-1-1 Crack Spread: Futures Vs. ETFs
You can see that the ETF version tracks the 2-1-1 crack fairly well, although not exactly. The differential is due to a couple of factors. First of all, the ETF spread reflects the last sale data typically available to retail investors, while the futures spread is based upon settlement values, not last-sale data. Using end-of-day bids or fund NAVs would narrow the apparent difference significantly.
Nor is contango reflected in the ETF spread. By design, the product ETFs are continuously invested in front-month futures, rather than the back-month contracts dictated by a refining simulation. Contango's generally shrinking now, but earlier this year, it was a significant source of dissonance.
The economy may still have a few tricks up its sleeve this Halloween, but those traders eager to wager on recovery now have a trick of their own that just might turn the crack spread into a real treat.
Saturday, November 7, 2009
day trend
Six Ways to Identify a Trend Day in the Stock Market
asr: he referred Market Delta here , but learning this new technique may take long time, instead focus on VP data and VP patterns with back test.
http://traderfeed.blogspot.com/2009/01/making-most-of-traderfeed-resources.html
Market delta traders inteview
asr: he referred Market Delta here , but learning this new technique may take long time, instead focus on VP data and VP patterns with back test.
http://traderfeed.blogspot.com/2009/01/making-most-of-traderfeed-resources.html
Market delta traders inteview
Monday, November 2, 2009
Volume by price VBP
I've written an indicator that displays volume per price tick in a variety of modes.
Thanks to NT support for answering my initial questions to get me started.
Indicator download found here:
http://www.ninjatrader-support2.com/...php?linkid=214
http://www.ninjatrader-support2.com/vb/local_links.php - Image here
Volume by Price - stock charts has this built in
Gauging Support And Resistance With Price By Volume by Justin Kuepper,
Thanks to NT support for answering my initial questions to get me started.
Indicator download found here:
http://www.ninjatrader-support2.com/...php?linkid=214
http://www.ninjatrader-support2.com/vb/local_links.php - Image here
Volume by Price - stock charts has this built in
Gauging Support And Resistance With Price By Volume by Justin Kuepper,
Monday, October 26, 2009
Naïve Backtesting is Bogus
Naïve Backtesting is Bogus
If traders have learned anything during either 2007 – 2009 (or 1998 – 2002), it should be that the fundamentals of economics and finance are not stable: nearly every statistical measure in common use across nearly all asset classes exhibited inconsistent behavior over this period (mean, variance, volatility, covariance, correlation, cointegration, principal components, skew, kurtosis, etc.). Introductory economics informs us the root causes for these instabilities are many, ranging from business cycles to monetary policy.
If traders have learned anything during either 2007 – 2009 (or 1998 – 2002), it should be that the fundamentals of economics and finance are not stable: nearly every statistical measure in common use across nearly all asset classes exhibited inconsistent behavior over this period (mean, variance, volatility, covariance, correlation, cointegration, principal components, skew, kurtosis, etc.). Introductory economics informs us the root causes for these instabilities are many, ranging from business cycles to monetary policy.
Simple Tools for Testing Trading Ideas
asr: all this 'vertical solutions' tools and mainly this F score and T score concept can be used to test Trade Alchamby systems and to examine the results.
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asr: this Tradestation code is simple to do , for OIL we can do it on USO intraday data or @CL . we do not need intraday we can do it on EOD data .
- doing this kind of simple test reveals good trading setups on OIL , GOLD , SOY beans/OIL etc..
- few people do this kind of test on commodities , and that to with VP data we can have edge. we can add like PTM/PTL increasing in last 2 days with Nindex as 1 to this condition by querying VP data ( based on date) with .csv file loaded and Easy lang. code reading and loading .csv data into TS array.
testing trading ideas:
Three simple tools:
1. Historical Data
2. Software to test the idea with
3. Two statistics to evaluate the test results
One simple process:
1. Translate an idea into the testing software
2. Run the software and generate the results from testing the idea
3. Evaluate the results using two statistics: t score and optimal f
4. Evaluate the evaluation (what are the results saying?)
Idea #1b: What happens after c > o for each of the last five days and the market is up at least 1%?
In TradeStation that idea looks like: ( asr: wow. very simple easy code )
countif(c[0] of data1 > o[0] of data1, 5) = 5 // close is greater than the open on each of the last 5 days
c[0] of data1 > c[6] of data1 * 1.01 // close is greater than the close six days ago by at least 1%
The test is now:
Sell on the close and exit one day later (because of the negative expectation)
The results of this test are:
36/69, 52%, avg 11.8 pts, sd 8.3, win loss ratio 1.68, largest losing trade -$2157 (emini)
--
How to read his test results, see below..
Idea #1: What happens after c > o for each of the last five days?
The results of the test (S&P futures since 1997) are:
44/88, 50%, avg -1.2 pts, standard deviation 8.7
(Historically there have been 88 trades matching the test, 44 have closed up the next day with an average loss of -1.2 pts for all trades with a standard deviation of the trade results of 8.7 pts which means that roughly 65% of the trades fall between -9.9 pts and +7.5 pts)
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Systems with ranks below 0.5 are suspect and should be examined and retested.
trend_day_indicator_validation
The trading system I built buys when the indicator is over 60% and the market is up and sells when the indicator is over 60% and the market is down. Trend following with the Trend Indicator.
The system exits at the end of the day. There are no stops, slippage or commissions.
The results for the e-mini futures contract 1998-present were:
434/742, 58%, avg 1.3 pts, sd 11.4 pts, t: 3.1
The t score of 3.1 means the results are significant to 3 standard deviations leaving little liklihood they occurred by chance alone. We were looking for a t score higher than 1.6.
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he is talking last 20 days high volume stocks of > $5 ( he is taking around 250 stocks he said )
http://www.verticalsolutions.com/forecasts/trend_high_vol_stocks.html
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Using Stops as Entry Filters
How to Build a Simple Swing Trading System
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asr: this Tradestation code is simple to do , for OIL we can do it on USO intraday data or @CL . we do not need intraday we can do it on EOD data .
- doing this kind of simple test reveals good trading setups on OIL , GOLD , SOY beans/OIL etc..
- few people do this kind of test on commodities , and that to with VP data we can have edge. we can add like PTM/PTL increasing in last 2 days with Nindex as 1 to this condition by querying VP data ( based on date) with .csv file loaded and Easy lang. code reading and loading .csv data into TS array.
testing trading ideas:
Three simple tools:
1. Historical Data
2. Software to test the idea with
3. Two statistics to evaluate the test results
One simple process:
1. Translate an idea into the testing software
2. Run the software and generate the results from testing the idea
3. Evaluate the results using two statistics: t score and optimal f
4. Evaluate the evaluation (what are the results saying?)
Idea #1b: What happens after c > o for each of the last five days and the market is up at least 1%?
In TradeStation that idea looks like: ( asr: wow. very simple easy code )
countif(c[0] of data1 > o[0] of data1, 5) = 5 // close is greater than the open on each of the last 5 days
c[0] of data1 > c[6] of data1 * 1.01 // close is greater than the close six days ago by at least 1%
The test is now:
Sell on the close and exit one day later (because of the negative expectation)
The results of this test are:
36/69, 52%, avg 11.8 pts, sd 8.3, win loss ratio 1.68, largest losing trade -$2157 (emini)
--
How to read his test results, see below..
Idea #1: What happens after c > o for each of the last five days?
The results of the test (S&P futures since 1997) are:
44/88, 50%, avg -1.2 pts, standard deviation 8.7
(Historically there have been 88 trades matching the test, 44 have closed up the next day with an average loss of -1.2 pts for all trades with a standard deviation of the trade results of 8.7 pts which means that roughly 65% of the trades fall between -9.9 pts and +7.5 pts)
----------
Systems with ranks below 0.5 are suspect and should be examined and retested.
trend_day_indicator_validation
The trading system I built buys when the indicator is over 60% and the market is up and sells when the indicator is over 60% and the market is down. Trend following with the Trend Indicator.
The system exits at the end of the day. There are no stops, slippage or commissions.
The results for the e-mini futures contract 1998-present were:
434/742, 58%, avg 1.3 pts, sd 11.4 pts, t: 3.1
The t score of 3.1 means the results are significant to 3 standard deviations leaving little liklihood they occurred by chance alone. We were looking for a t score higher than 1.6.
----
he is talking last 20 days high volume stocks of > $5 ( he is taking around 250 stocks he said )
http://www.verticalsolutions.com/forecasts/trend_high_vol_stocks.html
----
Using Stops as Entry Filters
How to Build a Simple Swing Trading System
trade Setups
asr: Let us collect different setup in this blog
asr: see this chart is interesting, he is using EMA(8,13,34) on intra-day chart 5-min chart. we can write small easy code for these conditions and do a scan and back test on a bunch of symbols.
- since this popular traderX guy is using EMA 8,13,34 on 5-min charts, this must be good setup for 5-min. charts.
Someone asked a few weeks ago what is my "bread and butter" setup. I don't know that I have just one, but if I do this is probably it. It is simple, which is always better:
1.) Gap up.
2.) Price breaks the opening range high (ORH).
3.) Price pulls back to the ORH with support from a rising moving average.
4.) Price rallies to the Fibonacci extension (FE).
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asr: another idea is to test this kind of GAP-ORH performance on basket of stocks in 6 different market type ( see our post ) and see which market type gives good performance , I think it is 'UP volatile' .
- similar way as Thapper said develop set of 'trading strategies' that work in each market so that you have one type of strategy to use when you identifity market as one of the 6 types. Even you can have parameter in the TS easycode while testing as input what kind of market it is out of 6 . based on this input you can change 'entry criteria' etc.
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asr: we should try to code this 'Holy Grail setup' in TS easyLang and run scanner on 5-min daily data to find statistical Edge on basket of stocks .
asr: this is same book on amazon site, see inside book , it shows 'holy grail' . It may be work trying these 15 setups with TS easycode , book it bit expensive ..
http://www.amazon.com/Street-Smarts-Probability-Short-Term-Strategies/dp/0965046109#reader_0965046109
I get questions all the time about the Holy Grail Setup: Well here it is explained and i’ll walk you thru it step by step.
First of all The “Holy Grail” trade was originally described in Linda Bradford Raschke’s Street Smarts book. This setup is VERY easy and simple, it is very spottable, and occurs very often especially during trending markets, UP or DOWN. Also, if you master this pattern, i am confident that you’ll be able to pull money out of the market a lot more often.
Tools You will Need to Day Trade the Holy Grail Setup:
1. A 5 or 10 minute chart. 1 minute charts work really well too.
2. A strongly trending stock, chart or index.
3. Volume indicator
4. The 20 Period Moving Average (simple or exponential)
5. Basic pattern recognition skills
6. Respect for Stops losses
7. An ego that can handle a small loss from time to time
First:
You need to spot a trend in a stock (i like to use the 5 minute bars). The trend can be either UP or DOWN and you can see that just by eye balling the direction of the price trend after the first hour of trading.
Second:
Once you have decided what the trend is (market direction helps a lot as well), be on the look out for clean and crisp movement in the stock. Movement with confidence i like to think of it as.
Third:
Look at volume to see conviction in the move. Lots of volume during the first hour will tell you the force of the move UP or DOWN. Volume increases the confidence in the move and gives validity of the action.
Fourth:
Now, this is the most important part of the setup and where it becomes an art moving away from the ’science’ of trading. You wanna see a slow and corrective retrace back to test the 20 bar simple moving average (20 SMA). You do NOT wanna see a hard crash into the 20 period moving average, this is NOT constructive action. You wanna see a hammer or several hammers off that 20 SMA, a pattern like a triangle, a wedge or a coiling symmetrical triangle, NR7s, or a consolidation move of some kind. The operating words here are: slow and corrective retrace to test the 20 SMA.
Really strongly trending stocks will not pullback for long, so you need to be aware of that, it will tell you what kind of demand/supply you are dealing with. I always BUY/SHORT into the pattern/pullback but some people like to wait for a complete test and breakout away from the 20 SMA.
Fifth:
ALWAYS buy HALF a position into the pattern/test and if the trade starts to work (hopefully right away, because the best trades work right away) add the other half and ride out a bigger move. I prefer to be wrong on a small amount then be wrong on a full position. If you are seeing a profit in the trade, that should tell you that the market is agreeing with your assessment and tells you to buy more because you are probably correct.
You know you are wrong when the pattern fails to hold the 20 SMA and starts to break below or above the area of consolidation which attracted to the trade to begin with. That’s when i just SELL it and MOVE ON to the next trade. Don’t get stubborn and hold on to something that isn’t working….please just sell it and move on. I always use stop losses. Trading isn’t a game for slackers, dreamers, or optimists. Please just scratch the trade and move on to the next. This pattern is very common and reliable enough that be sure you’ll have better success on the next trade.
Always trade in the direction of the overall trend of the market and I am confident you will see success from this trading setup.
http://blog.chart.ly/2009/10/29/trading-holy-grail-patterns/
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asr: above Book Review
asr: this Review author Chuck Kowalski is good author of many articles , so we can trust his review and above 'holy grail' post on chart.ly validates 1 of 15 of 'setups' of the book.
asr: may be good idea to code all of these 15 strategies and back test . Say for AMZN this holy grail worked. then back test and find out as
10/15/2007 , 5/12/2006 , 6/15/2005 , 5/15/2007 it worked
after that identify the days where this strategy worked on particular stocks and
take the aggreagate of intraday price of all those days and plot with % gains for day like commodity seasonal charts.
- finaly plot those aggrate price moment ( of all those days ) against TODAY so that you know how it progresses as day go by
Street Smarts is a no-nonsense book that provides specific trading setups and strategies designed for the short-term trader. The authors, Larry Connors and Linda Bradford Raschke, are two very recognizable figures in the futures trading industry and they each have decades of trading experience. At first, you may feel overwhelmed by the number of strategies detailed in the book, but all you need to do is focus on a couple strategies that fit your trading style.
Raschke and Connors cover more than a dozen trading strategies in Street Smarts as well as a question and answer section following each strategy to better explain it. The strategies are not overly complicated, but they are unique if you are fairly new to the game.
The trading strategies are the main focus of the book, but the authors like to cover the whole spectrum of trading. You will find numerous additional trading tips throughout the book that focus on what it takes to be successful in trading. Good trading strategies are only part of the game. You also have to practice solid money management and control your losses.
I believe Raschke mentions that trading is a game of holding your ground throughout the month and you will have a couple of trades that turn into a windfall. That is where you will get the majority of your profits. The key is to not take big losses.
How to Use the Trading Strategies
The trading strategies are explained in a very easy-to-understand format in each chapter. It is recommended by the authors that you pick one or a couple of trading strategies that you are comfortable with. From there, you need to research and test the strategies through paper trading until you feel comfortable to begin trading with real money.
It only takes one good trading strategy to become a successful trader. Do not try to force trades. You have to wait for your particular setup and let the probabilities take their course. Using stop losses on every trade is thoroughly stressed in Street Smarts[/link].
Street Smarts: High Probability Short Term Trading Strategies is an excellent book to learn short-term and day trading strategies. It is important to understand that this book is not just a list of trading strategies, but it is also a guide on how to trade successfully.
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What to do when Alert are triggered on a technical EVENT:
If the market is moving fast and you have a lot of preset alerts going off on your stocks, what do you look at first in order to decide what you want to do next.
You're right, price alerts tend to come all at the same times because of large-scale movement in the market. The key here is to do your work when you set those alerts. You should have a file/database that you can refer to when those alerts are triggered with exact instructions on what to do at that point to avoid confusion, double-think, over analysis, and paralysis when the time comes.
In other words, I'm reminded of the saying that every war is won or lost by the preparation. And that is true for trading. If you're waiting until the alerts are triggered to then figure out what to do, you're dead! That's why having the game plan ahead and following that plan when the alerts occur is very important.
The time to think about the trade is when you set the alert, not afterwords. There are alerts I will set to remind me of a specific technical event (like a breakout or breakdown, moving average crossover, ATR violation, etc.) but when those events occur, I already know what I want to do with that signal (i.e. buy, sell, move a stock up to my short-term watchlist, and so on).
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asr: good call for break-down of Tradermike , he also gave a day before fading of after earning gains of INTC and many others.
asr: this kind of drawing trend lines helps, note he points 'low volume on UP , high volume on DOWN days for last one week ' ...
The Nasdaq and S&P 500 have been churning just above those support levels for the last week and a half. I can't see them staying in those ranges much longer and I suspect the break will be to the downside.
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And for developers:
A discretionary trader and a mechanical trader will build a better rule base faster than either the mechanical or the discretionary trader alone
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asr: in 1996 he started building trading systems at age 34 (1996) , so for me it is high time to go into this Trading that to having found VP , tradeguider VSA , MCRI.com ( seasonal spreads), Mr. K blog kind of supporting software to find the EDGE.
Henry has degrees in Mathematics, Economics and a minor in Physics. A software engineer by training he sold his software company in 1995 and began building trading systems in 1996.
Vertical Solutions S&P Trading Strateg
http://www.verticalsolutions.com/strategies.html
asr: this kind of S&P strategy can be used as additional entry/exit criteria with a) Mr. K fundamental setups ( ATR/stochastic ) b) Vantage point c) VSA tradeguider d) Innovanalytics. d) velocitysignal.com e) worden TSV, VWMACD (telecharts )etc...
- the more the better for confirmation ...
- if we see tradermike , Mr. K etc. are trying to find out EDGE with drawdown of 5% , so with VP we can easily find EDGES with triple-EMA with 5% drawdown and stops with FUture Options.
- Have USD, EURO , OIL , S&P charts of vantgepoint on couple of screens side by side. we can not have with Vantagepoint windows software multiple screens. so dump data to .csv and READ .csv with PHP and construct chart with FUSION charts. so with FUSION charts we can see multiple VP charts.
- Key is able to view multiple VP chats with FUSION like 4 monitor setup like (Ama..sh). this is key if we see VP triple-EMA charts of above 4 for OIL we can see the trend for OIL.
- for chart setup practice ( as Mr. K said), we need to setup VP charts data for practice . With key stroke it displays next day . Have 4 charts 2 side by side on two rows and with one key stroke charts will update all 4 FUISON charts with next day data. If we practice triple-EMA like this we can learn VP setups.
asr: see this chart is interesting, he is using EMA(8,13,34) on intra-day chart 5-min chart. we can write small easy code for these conditions and do a scan and back test on a bunch of symbols.
- since this popular traderX guy is using EMA 8,13,34 on 5-min charts, this must be good setup for 5-min. charts.
Someone asked a few weeks ago what is my "bread and butter" setup. I don't know that I have just one, but if I do this is probably it. It is simple, which is always better:
1.) Gap up.
2.) Price breaks the opening range high (ORH).
3.) Price pulls back to the ORH with support from a rising moving average.
4.) Price rallies to the Fibonacci extension (FE).
--
asr: another idea is to test this kind of GAP-ORH performance on basket of stocks in 6 different market type ( see our post ) and see which market type gives good performance , I think it is 'UP volatile' .
- similar way as Thapper said develop set of 'trading strategies' that work in each market so that you have one type of strategy to use when you identifity market as one of the 6 types. Even you can have parameter in the TS easycode while testing as input what kind of market it is out of 6 . based on this input you can change 'entry criteria' etc.
--------
asr: we should try to code this 'Holy Grail setup' in TS easyLang and run scanner on 5-min daily data to find statistical Edge on basket of stocks .
asr: this is same book on amazon site, see inside book , it shows 'holy grail' . It may be work trying these 15 setups with TS easycode , book it bit expensive ..
http://www.amazon.com/Street-Smarts-Probability-Short-Term-Strategies/dp/0965046109#reader_0965046109
I get questions all the time about the Holy Grail Setup: Well here it is explained and i’ll walk you thru it step by step.
First of all The “Holy Grail” trade was originally described in Linda Bradford Raschke’s Street Smarts book. This setup is VERY easy and simple, it is very spottable, and occurs very often especially during trending markets, UP or DOWN. Also, if you master this pattern, i am confident that you’ll be able to pull money out of the market a lot more often.
Tools You will Need to Day Trade the Holy Grail Setup:
1. A 5 or 10 minute chart. 1 minute charts work really well too.
2. A strongly trending stock, chart or index.
3. Volume indicator
4. The 20 Period Moving Average (simple or exponential)
5. Basic pattern recognition skills
6. Respect for Stops losses
7. An ego that can handle a small loss from time to time
First:
You need to spot a trend in a stock (i like to use the 5 minute bars). The trend can be either UP or DOWN and you can see that just by eye balling the direction of the price trend after the first hour of trading.
Second:
Once you have decided what the trend is (market direction helps a lot as well), be on the look out for clean and crisp movement in the stock. Movement with confidence i like to think of it as.
Third:
Look at volume to see conviction in the move. Lots of volume during the first hour will tell you the force of the move UP or DOWN. Volume increases the confidence in the move and gives validity of the action.
Fourth:
Now, this is the most important part of the setup and where it becomes an art moving away from the ’science’ of trading. You wanna see a slow and corrective retrace back to test the 20 bar simple moving average (20 SMA). You do NOT wanna see a hard crash into the 20 period moving average, this is NOT constructive action. You wanna see a hammer or several hammers off that 20 SMA, a pattern like a triangle, a wedge or a coiling symmetrical triangle, NR7s, or a consolidation move of some kind. The operating words here are: slow and corrective retrace to test the 20 SMA.
Really strongly trending stocks will not pullback for long, so you need to be aware of that, it will tell you what kind of demand/supply you are dealing with. I always BUY/SHORT into the pattern/pullback but some people like to wait for a complete test and breakout away from the 20 SMA.
Fifth:
ALWAYS buy HALF a position into the pattern/test and if the trade starts to work (hopefully right away, because the best trades work right away) add the other half and ride out a bigger move. I prefer to be wrong on a small amount then be wrong on a full position. If you are seeing a profit in the trade, that should tell you that the market is agreeing with your assessment and tells you to buy more because you are probably correct.
You know you are wrong when the pattern fails to hold the 20 SMA and starts to break below or above the area of consolidation which attracted to the trade to begin with. That’s when i just SELL it and MOVE ON to the next trade. Don’t get stubborn and hold on to something that isn’t working….please just sell it and move on. I always use stop losses. Trading isn’t a game for slackers, dreamers, or optimists. Please just scratch the trade and move on to the next. This pattern is very common and reliable enough that be sure you’ll have better success on the next trade.
Always trade in the direction of the overall trend of the market and I am confident you will see success from this trading setup.
http://blog.chart.ly/2009/10/29/trading-holy-grail-patterns/
---
asr: above Book Review
asr: this Review author Chuck Kowalski is good author of many articles , so we can trust his review and above 'holy grail' post on chart.ly validates 1 of 15 of 'setups' of the book.
asr: may be good idea to code all of these 15 strategies and back test . Say for AMZN this holy grail worked. then back test and find out as
10/15/2007 , 5/12/2006 , 6/15/2005 , 5/15/2007 it worked
after that identify the days where this strategy worked on particular stocks and
take the aggreagate of intraday price of all those days and plot with % gains for day like commodity seasonal charts.
- finaly plot those aggrate price moment ( of all those days ) against TODAY so that you know how it progresses as day go by
Street Smarts is a no-nonsense book that provides specific trading setups and strategies designed for the short-term trader. The authors, Larry Connors and Linda Bradford Raschke, are two very recognizable figures in the futures trading industry and they each have decades of trading experience. At first, you may feel overwhelmed by the number of strategies detailed in the book, but all you need to do is focus on a couple strategies that fit your trading style.
Raschke and Connors cover more than a dozen trading strategies in Street Smarts as well as a question and answer section following each strategy to better explain it. The strategies are not overly complicated, but they are unique if you are fairly new to the game.
The trading strategies are the main focus of the book, but the authors like to cover the whole spectrum of trading. You will find numerous additional trading tips throughout the book that focus on what it takes to be successful in trading. Good trading strategies are only part of the game. You also have to practice solid money management and control your losses.
I believe Raschke mentions that trading is a game of holding your ground throughout the month and you will have a couple of trades that turn into a windfall. That is where you will get the majority of your profits. The key is to not take big losses.
How to Use the Trading Strategies
The trading strategies are explained in a very easy-to-understand format in each chapter. It is recommended by the authors that you pick one or a couple of trading strategies that you are comfortable with. From there, you need to research and test the strategies through paper trading until you feel comfortable to begin trading with real money.
It only takes one good trading strategy to become a successful trader. Do not try to force trades. You have to wait for your particular setup and let the probabilities take their course. Using stop losses on every trade is thoroughly stressed in Street Smarts[/link].
Street Smarts: High Probability Short Term Trading Strategies is an excellent book to learn short-term and day trading strategies. It is important to understand that this book is not just a list of trading strategies, but it is also a guide on how to trade successfully.
------------
What to do when Alert are triggered on a technical EVENT:
If the market is moving fast and you have a lot of preset alerts going off on your stocks, what do you look at first in order to decide what you want to do next.
You're right, price alerts tend to come all at the same times because of large-scale movement in the market. The key here is to do your work when you set those alerts. You should have a file/database that you can refer to when those alerts are triggered with exact instructions on what to do at that point to avoid confusion, double-think, over analysis, and paralysis when the time comes.
In other words, I'm reminded of the saying that every war is won or lost by the preparation. And that is true for trading. If you're waiting until the alerts are triggered to then figure out what to do, you're dead! That's why having the game plan ahead and following that plan when the alerts occur is very important.
The time to think about the trade is when you set the alert, not afterwords. There are alerts I will set to remind me of a specific technical event (like a breakout or breakdown, moving average crossover, ATR violation, etc.) but when those events occur, I already know what I want to do with that signal (i.e. buy, sell, move a stock up to my short-term watchlist, and so on).
-------
asr: good call for break-down of Tradermike , he also gave a day before fading of after earning gains of INTC and many others.
asr: this kind of drawing trend lines helps, note he points 'low volume on UP , high volume on DOWN days for last one week ' ...
The Nasdaq and S&P 500 have been churning just above those support levels for the last week and a half. I can't see them staying in those ranges much longer and I suspect the break will be to the downside.
---------
And for developers:
A discretionary trader and a mechanical trader will build a better rule base faster than either the mechanical or the discretionary trader alone
-------------
asr: in 1996 he started building trading systems at age 34 (1996) , so for me it is high time to go into this Trading that to having found VP , tradeguider VSA , MCRI.com ( seasonal spreads), Mr. K blog kind of supporting software to find the EDGE.
Henry has degrees in Mathematics, Economics and a minor in Physics. A software engineer by training he sold his software company in 1995 and began building trading systems in 1996.
Vertical Solutions S&P Trading Strateg
http://www.verticalsolutions.com/strategies.html
asr: this kind of S&P strategy can be used as additional entry/exit criteria with a) Mr. K fundamental setups ( ATR/stochastic ) b) Vantage point c) VSA tradeguider d) Innovanalytics. d) velocitysignal.com e) worden TSV, VWMACD (telecharts )etc...
- the more the better for confirmation ...
- if we see tradermike , Mr. K etc. are trying to find out EDGE with drawdown of 5% , so with VP we can easily find EDGES with triple-EMA with 5% drawdown and stops with FUture Options.
- Have USD, EURO , OIL , S&P charts of vantgepoint on couple of screens side by side. we can not have with Vantagepoint windows software multiple screens. so dump data to .csv and READ .csv with PHP and construct chart with FUSION charts. so with FUSION charts we can see multiple VP charts.
- Key is able to view multiple VP chats with FUSION like 4 monitor setup like (Ama..sh). this is key if we see VP triple-EMA charts of above 4 for OIL we can see the trend for OIL.
- for chart setup practice ( as Mr. K said), we need to setup VP charts data for practice . With key stroke it displays next day . Have 4 charts 2 side by side on two rows and with one key stroke charts will update all 4 FUISON charts with next day data. If we practice triple-EMA like this we can learn VP setups.
Wednesday, October 21, 2009
10 day low
asr: you need to back test this on a particular stock and see. also combine this with " ATR (no violation)/STOCastic oversold " and see
Here is one that is SIMPLE and EFFECTIVE.
Are you ready for this wonder of quantitative wizardry?
The 10 day low.
I programmed in a %true indicator with the 10 day low PCF
C < C9 AND C < C8 AND C < C7 AND C < C6 AND C < C5 AND C < C4 AND C < C3 AND C < C2 AND C < C1
this gives me a pink spike whenever the stock is at a 10 day low. The rules are that the security is above the 200 day avg. Buy near the close when this spike occurs. You're own your own with the exits.
Use this for strong stocks & market leaders to get in at a short term low.
Here is one that is SIMPLE and EFFECTIVE.
Are you ready for this wonder of quantitative wizardry?
The 10 day low.
I programmed in a %true indicator with the 10 day low PCF
C < C9 AND C < C8 AND C < C7 AND C < C6 AND C < C5 AND C < C4 AND C < C3 AND C < C2 AND C < C1
this gives me a pink spike whenever the stock is at a 10 day low. The rules are that the security is above the 200 day avg. Buy near the close when this spike occurs. You're own your own with the exits.
Use this for strong stocks & market leaders to get in at a short term low.
Thursday, October 15, 2009
RMI stands for relative momentum indicator
asr: Invivo tools used by K . see K ATR posts ... and details below
---
http://ww.istockanalyst.com/article/viewarticle/articleid/2510023
--
We offer two studies: InVivo.RMI PaintBar and InVivo.RMI Histogram. RMI stands for relative momentum indicator. These two studies are applied to DAILY CHARTS ONLY.
Price bars are colored based on information contained in the histogram according to these rules:
1. Green = RELATIVE OUTPERFORMANCE = Histogram > 0 AND Histogram > Threshold Line
2. Red = RELATIVE UNDERPERFORMANCE = Histogram < 0 AND Histogram < Threshold Line
3. Yellow = POTENTIAL CHANGE OF TREND = all other combinations
InVivo.Stops are engineered to reflect actual volatility and range, providing users with a real edge over other so-called volatility-based indicators or bands. Stops can be used in two ways:
---
http://ww.istockanalyst.com/article/viewarticle/articleid/2510023
--
We offer two studies: InVivo.RMI PaintBar and InVivo.RMI Histogram. RMI stands for relative momentum indicator. These two studies are applied to DAILY CHARTS ONLY.
Price bars are colored based on information contained in the histogram according to these rules:
1. Green = RELATIVE OUTPERFORMANCE = Histogram > 0 AND Histogram > Threshold Line
2. Red = RELATIVE UNDERPERFORMANCE = Histogram < 0 AND Histogram < Threshold Line
3. Yellow = POTENTIAL CHANGE OF TREND = all other combinations
InVivo.Stops are engineered to reflect actual volatility and range, providing users with a real edge over other so-called volatility-based indicators or bands. Stops can be used in two ways:
Tuesday, October 6, 2009
Economic Indicator Database
Economic Indicator Database
Do you ever wonder how the markets or certain sectors are going to react to one of the many economic indicators released throughout the trading week? The Bespoke Economic Indicator Database provides detailed reports for 35 economic indicators to help investors prepare for the market's reaction to a stronger, weaker, or in-line report. The database is searchable by economic indicator and by trading date and provides each indicator's historical actual reports versus estimates and how it affected equity markets.
wow see this hisotric data
http://www.bespokepremium.com/members/wp-content/uploads/2009/04/econind309.pdf
- if we have medium term research team in india , we need to have this kind of data to see previous unemployment figures and the trend LINE
----
September All Over Again?
Interestingly, October has started out just like September for the market. Market participants will remember that the S&P 500 sold off on the last two days of August and continued lower over the first two trading days of September. On the third trading day of September, the market took off and didn't look back until later in the month.
asr: we need to build this kind of chart in TradeStatin for OIL prices to compare between different months to how the historic trend is playing on this current month.
- also picking 2 days where there is a 8% fall of OIL prices how it is raising from the fall comparing historic fall to current price fall etc.
Do you ever wonder how the markets or certain sectors are going to react to one of the many economic indicators released throughout the trading week? The Bespoke Economic Indicator Database provides detailed reports for 35 economic indicators to help investors prepare for the market's reaction to a stronger, weaker, or in-line report. The database is searchable by economic indicator and by trading date and provides each indicator's historical actual reports versus estimates and how it affected equity markets.
wow see this hisotric data
http://www.bespokepremium.com/members/wp-content/uploads/2009/04/econind309.pdf
- if we have medium term research team in india , we need to have this kind of data to see previous unemployment figures and the trend LINE
----
September All Over Again?
Interestingly, October has started out just like September for the market. Market participants will remember that the S&P 500 sold off on the last two days of August and continued lower over the first two trading days of September. On the third trading day of September, the market took off and didn't look back until later in the month.
asr: we need to build this kind of chart in TradeStatin for OIL prices to compare between different months to how the historic trend is playing on this current month.
- also picking 2 days where there is a 8% fall of OIL prices how it is raising from the fall comparing historic fall to current price fall etc.
Friday, October 2, 2009
10 Ways to Conquer Your Procrastination
Set a big goal. Goethe said, “Dream no small dreams for they have no power to move the hearts of men.” So what’s the most exciting goal you might achieve if you put your mind to it? Even if you’re unsure you could do it, might partial achievement or simply enjoying the process be good enough? Most people don’t have the intellectual firepower to make a big contribution, but you’re a Kiplinger reader. You do.
Picture the benefits of achieving your goal. Money? Fame? Self-esteem? A more meaningful life? Getting your spouse off your back?
Recognize that success lies mainly within you. Stop believing such nonsense as "The world is abundant. It will provide" or "It's in the hands of fate." Yes, luck matters, but success is mainly in your hands, although it sometimes requires the help of others you trust.
Recruit a partner. Compensate for your lack of drive by adding some firepower to your project as necessary.
Be aware of the “moment of truth.” That's when you decide, usually subconsciously, whether you should work or play. By making that choice consciously, you’ll more often choose the productive activity.
Picture the benefits of achieving your goal. Money? Fame? Self-esteem? A more meaningful life? Getting your spouse off your back?
Recognize that success lies mainly within you. Stop believing such nonsense as "The world is abundant. It will provide" or "It's in the hands of fate." Yes, luck matters, but success is mainly in your hands, although it sometimes requires the help of others you trust.
Recruit a partner. Compensate for your lack of drive by adding some firepower to your project as necessary.
Be aware of the “moment of truth.” That's when you decide, usually subconsciously, whether you should work or play. By making that choice consciously, you’ll more often choose the productive activity.
Stochastics – fast, slow & full
ERX - wow this works like charm for Stock 14,3,3 .
asr: we need to find these kind of ones in back testing , how can we do that easily . can we do with stockfinder.com with $35 subscription ..
Q: is this ERX almost like DIG , if so this stocastic 14,3,3 works same on both , find out.
http://www.kirkreport.com/09/erx_10_12_09.gif
----------
KIRK
You often show charts using stochastics with the following settings 14, 3, 3. Others, like Trader Mike for example, use a shorter period 5, 3, 3. What’s the justification for the stochastic settings you use?
A: The setting is more appropriate for the time frame I trade in which is bit longer than Trader Mike. For example, most traders who use 5, 3, 3 settings use them for intraday charts (i.e. daytrading) versus daily or weekly. His settings are faster but would provide too many whipsaws.
There are three options for Stochastics – fast, slow & full and I recommend reading this tutorial for more info. In addition to 14, 3, 3, another setting I like to use and frequently recommend as a starting point is 9, 5, 5 for all time frames. My recommendation is simply to start there and avoid the temptation to over-optimize the indicator until you’ve gained at least several months of experience using it at those settings.
asr: we need to find these kind of ones in back testing , how can we do that easily . can we do with stockfinder.com with $35 subscription ..
Q: is this ERX almost like DIG , if so this stocastic 14,3,3 works same on both , find out.
http://www.kirkreport.com/09/erx_10_12_09.gif
----------
KIRK
You often show charts using stochastics with the following settings 14, 3, 3. Others, like Trader Mike for example, use a shorter period 5, 3, 3. What’s the justification for the stochastic settings you use?
A: The setting is more appropriate for the time frame I trade in which is bit longer than Trader Mike. For example, most traders who use 5, 3, 3 settings use them for intraday charts (i.e. daytrading) versus daily or weekly. His settings are faster but would provide too many whipsaws.
There are three options for Stochastics – fast, slow & full and I recommend reading this tutorial for more info. In addition to 14, 3, 3, another setting I like to use and frequently recommend as a starting point is 9, 5, 5 for all time frames. My recommendation is simply to start there and avoid the temptation to over-optimize the indicator until you’ve gained at least several months of experience using it at those settings.
Thursday, October 1, 2009
Trading basics / Techincal analysis basics / A Compiliation of 21 Posts on Trend Days
The Four Core Types of Trades
Although we all employ different trading strategies across different time frames using different vehicles (stocks, options, futures, etc), there really are a limited number of pure trades we can take and it is helpful to know the major types and when we are employing them in our trading arsenal.
The four major types I propose are the following:
1. Breakout/Breakdown
2. Retracements
3. Reversals
4. Rangebound Fades
asr note: 1) I need parctice to identify these days and with in those days these patterns
2) Alchemy Trend packages should help to identify these trends - check alchemy site and this link. I should not start from scratch , should use Alchamy indicators , all I need is pattern indicators identification visually
---------
The Four Guiding Principles of Market Behavior
1. Principle 1: A Trend is More Likely to Continue its Direction than to Reverse
With price established in a clearly defined trend of higher highs and higher lows, certain key strategies and probabilities begin to take shape. Once a trend is established, it takes considerable force and capitalization to turn the tide. Fading a trend is generally a low-probability endeavor and the greatest profits can be made by entering reactions.
asr: for OIL on 9/30/09 I should I identify the above prinicple, for that I need to practice identifying these patterns .
--------
asr: read all of the post on this Page ..
A Compiliation of 21 Posts on Trend Days
- Three Types of Morning Openings
Why You Should Turn Off Indicators on Trend Days
Using the TICK to Time Entries on a Trend Day
Although we all employ different trading strategies across different time frames using different vehicles (stocks, options, futures, etc), there really are a limited number of pure trades we can take and it is helpful to know the major types and when we are employing them in our trading arsenal.
The four major types I propose are the following:
1. Breakout/Breakdown
2. Retracements
3. Reversals
4. Rangebound Fades
asr note: 1) I need parctice to identify these days and with in those days these patterns
2) Alchemy Trend packages should help to identify these trends - check alchemy site and this link. I should not start from scratch , should use Alchamy indicators , all I need is pattern indicators identification visually
---------
The Four Guiding Principles of Market Behavior
1. Principle 1: A Trend is More Likely to Continue its Direction than to Reverse
With price established in a clearly defined trend of higher highs and higher lows, certain key strategies and probabilities begin to take shape. Once a trend is established, it takes considerable force and capitalization to turn the tide. Fading a trend is generally a low-probability endeavor and the greatest profits can be made by entering reactions.
asr: for OIL on 9/30/09 I should I identify the above prinicple, for that I need to practice identifying these patterns .
--------
asr: read all of the post on this Page ..
A Compiliation of 21 Posts on Trend Days
- Three Types of Morning Openings
Why You Should Turn Off Indicators on Trend Days
Using the TICK to Time Entries on a Trend Day
Monday, September 28, 2009
OIL daily return distribution
this is interesting concept , look at this chart of "OIL daily return distribution"
- same thing can be constructed for "week" like "OIL weekly return distribution"
Weekly Volatility Tracker: Overpaying for Options
----
this is other OIL related posts site Phil posts here .
http://www.321energy.com/reports/flynn/current.html
finviz : finacial vizuvalizations , this site gives all stories for a symbol mainly opnionated seekalpha news etc..
http://www.finviz.com/quote.ashx?t=USO
---------
Classification of Option Strategies
Broadly, Option Strategies are classified under 5 categories :
Bullish Strategies,
Bearish Strategies,
Volatile Strategies,
Neutral Strategies and Arbitrage Strategies.
Here, you get to learn all of these Option Strategies for free!
Friday, September 25, 2009
Long-short relative trade
Long-Short equity investment strategy where long position is taken for an UPside expected instrument where as SHORT instument is used as to hedge down side risk.
examples:
LONG CNQ/short ES
in example we expect short-term( few hours) bias is CNQ will go up relative to ES,
- in most cases we expect CNQ goes up by say 1% where as OIL down by only 0.2%
- even if CNQ drops it drops much smaller than ES coz CNQ already dropped much relative to S&P ES
ralative position size:
1% value of side 1 = 1% value of side 2
.01 x #of shares x price-of-stock = 1% values of S&P future ES
.01 x N x $25 = say S&P ES is at 1050 , so 1% is 10.5
.01 x N x $25 = 10.5 ES contract points
.01 x N x $25 = 10.5 x $50 ( each point is $50 )
N x 25 = $525 /.01
N = $50000
N = $50,000 / stock-price
N = %50,000 /$25 = 2000
so we need to buy 2000 stocks of $25 stock to make it equal to 1% gain of S&P ES
- if a given stock price is $50 ( like CNQ )then we need only 1000 stocks.
- with 4x margin you need 50 x 1000/4 = $12,500 in account ..
- so for CNQ to do relative trade with S&P ES , you need $15k + $5k(for ES) = 20k account
- then there is pattern day trader rule allows only 3 days/week?
examples:
LONG CNQ/short ES
in example we expect short-term( few hours) bias is CNQ will go up relative to ES,
- in most cases we expect CNQ goes up by say 1% where as OIL down by only 0.2%
- even if CNQ drops it drops much smaller than ES coz CNQ already dropped much relative to S&P ES
ralative position size:
1% value of side 1 = 1% value of side 2
.01 x #of shares x price-of-stock = 1% values of S&P future ES
.01 x N x $25 = say S&P ES is at 1050 , so 1% is 10.5
.01 x N x $25 = 10.5 ES contract points
.01 x N x $25 = 10.5 x $50 ( each point is $50 )
N x 25 = $525 /.01
N = $50000
N = $50,000 / stock-price
N = %50,000 /$25 = 2000
so we need to buy 2000 stocks of $25 stock to make it equal to 1% gain of S&P ES
- if a given stock price is $50 ( like CNQ )then we need only 1000 stocks.
- with 4x margin you need 50 x 1000/4 = $12,500 in account ..
- so for CNQ to do relative trade with S&P ES , you need $15k + $5k(for ES) = 20k account
- then there is pattern day trader rule allows only 3 days/week?
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