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Portfolio123 » List all forums » Forum: Technical Analysis Topics » Thread: Charting the market |
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Total posts in this thread: 51
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Capnpaul
Advanced Member
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Hello Don,
Your chart seems to give a heads up warning prior to any major market moves. Sorry, but I haven’t used moving averages in several years. The charting is all done in TradeStation. The %alpha indicator is computed by a rather lengthy function of my own design, as it requires finding LinRegY, StdDev, and StdErr Prior to returning the %a StdDev & %a StdErr. This indicator has absolutely no lag, and is stable and accurate in all time frames. I use an array of time frames and combine these to compute a summed value that can be used to grade or sort each stock. The lengths used for long term trend analysis are (days) 5, 8, 13, 21, 34, 55, 89, 144, & 233. Aka the “Fibonacci sequence”. The calculations are viewed in Trade Stations Grid spread sheets (“Radar Screen”), in real time. The beauty of this is when the indicator shows 1, 2, or 3 deviations, we know what the Statistical probabilities are of the move continuing and/or reversing. Future moves are quite easily determined by judging the past reactions of the price within the channel(s), as are areas of support and resistance. I’m completely sold on this system. I’ve sent you by PM a screen shot of the top of this list for today. |
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grokkalot
Advanced Member
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Here's a funny article with a guy fitting a trendline to argue that the market is going to fall. http://seekingalpha.com/article/82788-is-the-equities-party-over?source=side_bar_editors_picks If you look closely you can see that the overall slope of his trend is being dramatically pulled down by observations from the beginning of the *19th* century! |
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olikea
Advanced Member
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With the market declining further, we are getting the point where we are looking at retesting March's lows. I think this will be key - if we hold then we have a reasonable double bottom. If we penetrate that in a convincing way, then all hell will break loose, I don't think the next support is until 1100 in the S&P. |
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grokkalot
Advanced Member
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I'll play along...why wouldn't the next support be on the line you get by fitting the July 2007 and March 2008 lows? |
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olikea
Advanced Member
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That could well be the case, but since those are downward sloping lines, given enough time, where abouts could the market end up? The grounds the limit! I was wondering if we would make a mult-month double bottom. The jury is still out on that, but if we go down, eventually I think 1100 is the next level |
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grokkalot
Advanced Member
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Testing to see if some specific predictions by a TA method involving support levels would come true is what I thought we were on about. Saying "System X says next support level is Y, so market will test Y and may or may not fall further from there" at least gives some meaningful prediction if current price is far from Y - otherwise the "prediction" is behaviorally indistinguishable from random walk. As far as real trading goes, I think undervalued energy producers and drillers will go up if energy prices stay where they are now or go up, and I think the non-energy related market will go up if energy prices fall. So I see a natural hedging strategy here, though CNY is also attractive as a money market alternative. The main P123 system I am consulting has positive returns since the Oct. highs and finds plenty of energy stocks, so I don't feel a need to "go to cash". |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
There is a lot of info throughout this thread on various methods to time the market. However, there is not much detail on how to incorporate it directly into our Sims and Ports. There have been other threads on this subject, Here , Here , and Here. I am trading 6 Ports that use various forms of market timing buy/sell rules that have been discussed in the Forum. 3 of my market timing Ports based on the S&P500 have gone to cash starting June 9th. 2 of my market timing Ports based on the NASDAQ went to cash last weekend. The last one based on the Russell 2000 looks like it will go to cash this weekend. Overall I am about 40% cash. My other Ports that use stock or Industry rotation buy rules like Pr4W%Chg > 0, Pr4WRel%Chg > 4, Pr4W%ChgInd >0, or Pr4WRel%ChgInd > 2, are all up for the year, mostly invested in energy, materials, agriculture, and internet stocks. What other specific buy or sell rules are members using that have been successful? Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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grokkalot
Advanced Member
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For a bunch of different theoretical and practical reasons, I believe it is optimal to incrementally increase or decrease one's long exposure rather than buy or sell everything in response to timing indicators. I deally P123 would let one express a desired exposure percentage directly. But in the absence of that feature, I'm wondering whether it is practical to use the FRank() function in buy and sell rules to implement a system within P123 that varies its degree of long exposure by checking for the absolute rank of a given candidate. Assuming one can use custom formulae within other formulae, it should be possible to write out a ranking system as a formula, but the runtime might be very slow for simulations. Has anyone tried something along these lines? |
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stumo
Advanced Member
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Denny, Have you ever looked at applying your timing model (moving averages etc.) to the simulation’s return chart itself? Unfortunately, in order to apply the timing rules you need to download the simulation return chart data, and apply your moving averages etc. to a charting tool such as excel. I’ve been trying to compare these results to simulated timing models based upon index returns (usually russell2k). Stu ---------------------------------------- [Edit 1 times, last edit by stumo at Jun 27, 2008 4:55:02 PM] |
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garryp
Advanced Member UNITED STATES Joined: Feb 15, 2008 Posts: 104 Status: Offline |
I have been playing around with the same idea, also via spreadsheet downloads, since P123 does not allow addressing of a Port value data series. One has to run two sims, one to act as untimed source data that reflects the desired port, the other with identical rules to apply the timing rule or exposure list to. But caution. One has to be very careful with the spreadsheet formulas. I have had some beautiful timers, just to discover that I had a 1 day look-ahead. I haven't been able to prove it yet, but I believe a "port based timer" might be more effective than an index timer, as it reflects the collection of stocks that are in the specific purchase pool. ---------------------------------------- -- Garry P. |
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Re: Charting the market
