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Portfolio123 » List all forums » Forum: Feature Suggestions » Thread: Feature Request: Market timing Indicators |
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Total posts in this thread: 16
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[Request a Feature] [Add To My Favorites] [Watch this Thread] |
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visankar
Advanced Member
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It would be nice to have the following: Add Market timing Indicators such as put /call ratio , VIX , Investor Sentiment and other relevant indicators. Where applicable please make MA values available. These could be applied to Buy sell rules in Ports or Ranking systems. In addition, please add BenchMark Percentages and BenchMark MA over n number of days View the feature request here. |
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Koronbock
Advanced Member  GERMANY Joined: Jun 11, 2006 Posts: 166 Status: Offline |
I second this request. I think a really significant part is missing from the whole P123 system and that is MARKET TIMING. I know, timing is tricky and frankly don't know anybody who can do it on a consistent basis but some kind of rough timing would be better than no timing. Has anybody encountered a valuable timing service outside P123? Wern ---------------------------------------- [Edit 1 times, last edit by Koronbock at Oct 29, 2007 3:29:36 AM] |
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bl82
Advanced Member UNITED STATES Joined: Apr 18, 2004 Posts: 97 Status: Offline |
I third this request. Frankly this is my #1 interest in terms of enhancements going forward. 1) Volatility indices 1a) VIX 1b) VXN 1c) RVX 2) Put to call ratio data 2a) ISEE (the 'All Securities' version) 2b) CBOE Equity P/C ratio (longer data history) 2c) CBOE Total P/C ratio (longest data history) 3) Other sentiment information... ---------------------------------------- http://vixandmore.blogspot.com/ "Your one stop VIX-centric view of the universe..." |
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visankar
Advanced Member
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Koronbock , http://alphaking.com seems to be a fairly good timing system. Please checkout http://alphaking.com/charts/?symbol=SP500 |
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olikea
Advanced Member
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The alpha king link is pretty interesting, do they disclose their signal or is it a black box system? |
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Koronbock
Advanced Member GERMANY Joined: Jun 11, 2006 Posts: 166 Status: Offline |
Visankar, thanks for the alpha King website. I looked at it and I think we can do better here, even without timing. Still here must be other timers out there who have a reputable track record and which could help us to improve our results here. Wern |
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hyper
Advanced Member
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bl82, I thought it would be good to show the list that you wrote in this post:
---------------------------------------- [Edit 1 times, last edit by hyper at Nov 3, 2007 11:25:23 AM] |
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hyper
Advanced Member
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There should also be a way to get the value of an index e.g. S&P 500. e.g. SP500(n) will give the value of the S&P 500 index n days ago. Here are some relevant feature requests I found: From August 2006: A new timing function based upon an index or stocks indicators From June 2005: Allow decisions based on Benchmark history There is also a feature request for Advance and Decline data here from May 2006: Advance Decline for the benchmark indexes Also, here's a feature request I found for economic data, e.g. inflation & interest rates from September 2007: Macro-Factors data to incorporate into ranking models And another from March 2006: Macroeconomics data It's difficult to understand why none of these have been implemented, considering the importance of seeing the bigger picture and the simplicity of implementing at least the index data. Is it really that difficult to make a function SP500(n)? ---------------------------------------- [Edit 4 times, last edit by hyper at Nov 3, 2007 12:30:07 PM] |
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hyper
Advanced Member
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Here's a good article about the TRIN indicator (which uses Advance and Decline data) and an improvement to it: A Better TRIN (Trading Index) Indicator It's up to Portfolio123 to decide how much should be implemented with regards to Advance and Decline data, but at least the essential Advance and Decline data should be made available. TRIN is easily calculated from the Advance and Decline data. However the improvement specified on that web site requires a Log calculation, and it doesn't look like a mathematical Log function is available in Portfolio123. *sigh* ---------------------------------------- [Edit 1 times, last edit by hyper at Nov 3, 2007 11:54:12 AM] |
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hmorris48
Advanced Member UNITED STATES Joined: Feb 24, 2007 Posts: 76 Status: Offline |
I've just added a buy rule to my sim that looks at the S&P500 index % change over 4 week and 13 week periods: ((Pr4W%Chg - Pr4WRel%Chg) > 1) or ( (Pr13W%Chg - Pr13WRel%Chg) > -5) (no new trades unless S&P500 4 week % change > 1% or S&P500 13 % change > -5%) This has greatly improved the performance for 2001 from -3.46 % to 78.00 %. Note that this is a daily rebalanced swing trading sim that has an average hold time of 4 days. I also attempted to add a sell rule based on the S&P500 index % change but couldn't find a combination that improved performance. ---------------------------------------- The holy grail of trading system design is a perfectly smooth equity curve. Beyond Technical Analysis |
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