- 金币:
-
- 奖励:
-
- 热心:
-
- 注册时间:
- 2006-7-3
|
|
楼主 |
发表于 2009-3-24 12:21
|
显示全部楼层
8/17/2008Ninja Trader
I am messing around in Ninja Trader backtesting some ideas. Here is one sort of like a Turtle Trader concept. I ran this on CROX which as you can see would be great to get some of that huge move up and down. Of course it would be hard to know whether you are trading something as excellent as CROX except in hindsight. But, CROX did show up many days on some of my new daily highs and gappers scans, as well as a scan I have of stock extended from their daily SMA's.
Posted by Chrisnyork at 8/17/2008 07:16:00 PM
0 comments Links to this post 
8/15/2008Some other ways to trade:
FWIW, The Complete Arbitrage Deskbook by Stephane Revere has a great section on pair trading and he did some backtesting on pairs, and even "proves" the concept of using stocks in the same sector. The backtesting shows some really solid results, much more than I would've imagined possible. One concept which I saw formulas for was taking a 30 period daily moving average of the deviation of the spread between two very correlated stocks. Then, fading that spread at 1.5 deviations. His strategy was simply to end the position at the close of the next day, and it was consistently profitable. Seeing this data was eye opening to me. If you check on Google books you can basically read this section.
Posted by Chrisnyork at 8/15/2008 11:11:00 AM
0 comments Links to this post
8/12/2008Something on Bollinger Bands by Bollinger
http://www.bollingerbands.com/services/bb/?page=1
Posted by Chrisnyork at 8/12/2008 01:35:00 PM
0 comments Links to this post
8/02/2008Some more ideas from Bright:
I have been doing opening orders that Bright teaches, and I am pleased that I can do this tactic with my retail MB Trading account, I have been checking with some folks and I am getting filled with the specialist. What is most interesting is that most of the time this opening fill (which has been in my favor for the most part) doesn't appear on the time and sales as I watch it, and if you look at a 1min candle stick chart you really have no clue that this strategy is within that first minutes volatility. I am going to be trying to study this tactic especially in terms of stop losses and profit targets for these certain stocks. I like the info I am trying to find out with this, and it is a real contrast to the very subjective trading I otherwise do.
Posted by Chrisnyork at 8/02/2008 07:59:00 PM
0 comments Links to this post
7/30/2008
Deliberately doing an off-plan losing trade is a source of comfort. It is uncomfortable to think that our edge, while positive over a string of trades, might still lose from one trade to the next. It means that while we can control our action over a sequence of trades and be profitable at the end of that sequences period of time, we cannot control the outcome of the very next trade. In addition it is uncomfortable because we are never sure whether the particular edge we are currently working won't vanish one day. In fact, it is not our particular edge but the fact that we are able to come up with an edge and then consistently work it, that will make us profitable.
So in sum, it is more comforting to deliberately take a losing trade because we can always say to ourselves "well if I had followed my plan this wouldn't have been a losing trade" when in fact from one trade to the next, we are uncomfortably faced with the prospect of not knowing whether the single particular trade will be a winner or loser. So the certain failure is an acceptable choice if we feel the need for control, a control over the uncertainty we face trade by trade. Otherwise we have to accept our lack of control over an individual trades outcome. This also explains why the need for money, or trading with scared money, is often incredibly difficult.
Posted by Chrisnyork at 7/30/2008 09:54:00 PM
0 comments Links to this post
7/21/2008Test run
I decided, similar to trying out trading only GE, that I would see about another tactic Bright Trading mentions. I made a pair of COP and CVX and then charted the spread between them. Since they trade about the same price I used a ration of 1, so for instance long 100 cop short 100 CVX. I then put a Bollinger Band, 20sma and a Stochastic on a chart. With this pair basically it is possible to trade the relationship of these two stocks while removing the market influence of the futures and OIH. This is the idealized example.
What happened was I noticed that today COP was relatively strong compared to CVX right from the open, so trades going against this lost more than going with this strength. Also CVX is more volatile so perhaps the ration should be less than 1. In practice if I waited patiently to fade some extremes it was an OK trade. I can see that if I collect statistics based on the average volatility of these stocks, compared to time of day, the futures, earnings near or far, time of month and time of year, on a rolling basis that updates daily, maybe I could be more exact on the entries and exits.
I like to test things out head first so that I then have clues about the problems with the concept. On this trade the entry was very key. Also like other times I have used stochastics and Bollinger Bands (and dislike them) I found myself getting into positions against a trend. This is where more sophisticated back testing would be helpful, but at least I know this first hand. Also I can imagine how different types of days could really make this style different in practice. In a way if I see that one needs an "art" to a trade idea it makes me think it is more realistic, otherwise it perhaps would be faded already. Some "art" ideas would be to determine if there was a trend day or not in OIH and have different trade tactics. Some ideas for determining a trend day I have heard about from this guy: http://www.thelogicaltraderonline.com/index.html
One very interesting thing about this idea was I was entering and exiting trades in areas that were not obvious when looking at the charts individually. Another was the idea of looking at only a few symbols, in this case COP CVX OIH and futures. From my experience trading Toni Hansen's gap ideas consistently, I know that by sticking to one style (and perhaps a small number of stocks) you can really get a handle on a ton of subtleties that really are what make it profitable.
Now AON, I know what you are thinking lol. I just want to have walked a mile in the shoes of these other styles. Maybe there is a way to smooth out some of these base break ideas with much more mundane tactics.
Posted by Chrisnyork at 7/21/2008 06:38:00 PM
0 comments Links to this post
7/19/2008Pair trading
http://www.traderslog.com/trading-pairs.htm
Posted by Chrisnyork at 7/19/2008 09:19:00 PM
0 comments Links to this post
7/18/20083 day Bright class
I went and I wanted to hear from anyone else that did. I thought it was worth the bucks to see what is up over there, and look Don and Bob in the eyes, plus it was in Vegas.
Don did ok with the opening orders and I saw some of the art to that which made me think it was for real.
Ron showed this automated spreadsheet trading some Pairs that I was impressed with.
Cash showed some trades that look like what I do.
Randy kept his cards close to his vest, but I picked up some tidbits I am checking out now.
As soon as Bob opened his mouth tho, I knew I was in for a treat. That dude has seem some stuff in his day. It was fun to hear him lecture about the reality of the market, I thought I was cynical. Plus he took us for drinks and I got to chat with him some more.
Overall, I think it was worth a look see for that price. I'm not sure what my next step is, but, I thought it was worth the effort to see this operation up close.
Posted by Chrisnyork at 7/18/2008 10:12:00 PM
0 comments Links to this post
6/16/2008Another hiatus:
I am studying this fading tactic. If I can see the other side of my losing trades, I maybe can avoid them. So far I am having interesting results. If this can be that grinding tactic I want, to contrast with the homers, I will be happy. So far it's very simple, if I see some "base break" that really is truly wrong, or, a large move into resistance, it seems under circumstances I am studying, it is a nice fade.
Posted by Chrisnyork at 6/16/2008 03:33:00 PM
3 comments Links to this post
6/05/2008Done churning:
I have to go back to basics. Overtrading in a market that clearly doesn't lend itself to my style. I tried to join the party with a short in NUE off the days highs which was on ok little scalp, and I tried a similar trade in WMT but was too chicken, but I was correct in that idea. In fact, it seems there is some trade idea I can get out of some of these losses. If I can see a "bad" version of my setup, then the spike I usually trade in one direction, maybe I can trade in the other. At any rate, too many trades, frustrated, I need to take some days off. Later.
Posted by Chrisnyork at 6/05/2008 10:25:00 PM
2 comments Links to this post |
|
|
[复制链接]
