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Hello Peace,
The buy filter (20 day EMA below the 250 day EMA) sets a special requirement for the CCI. THE CCI MUST FALL BELOW -240 first. The actual buy signal isn't triggered until the CCI rises above -100.
The same principle applies to the sell filter. The basic concept is this - don't trade against the trend unless the market goes to to unusually excessive levels, then wait for momentum to reverse.
Hello Vess, clarifications follow:
Note, however, that if condition D occurs, then the Sell Filter will be in effect. Then, what is the purpose of conditions A and B (i.e., waiting for additional CCI-related conditions to be fulfilled), if condition D tells us to Buy immediately?
Conditions A and B only apply if the 20 day EMA is above the 250 day EMA. Condition D only applies when a sell signal is in effect AND the 20 day is below the 250 day EMA AND condition C isn't met
In other words, just because the 20 day EMA is above the 250 day EMA, it doesn't mean you'd automatically be on a buy signal.
Hope that answers your question. Good to hear from you again, hope your computer is working again.
Three inside days
Are you the same Vesselin who had/have a public lists on stockcharts??
I am. My StockCharts account was unfairly terminated, as I have explained in this forum (http://www.investorshub.com/boards/read_msg.asp?message_id=475447 ). Mr. Anderson has treated me very rudely and unfairly and has even resorted to blatant lies in public. As you can imagine, I am not amused. I still like his site, but I wouldn't recommend anyone to give them even a cent of their hard-earned money while Mr. Anderson is in charge there.
3) my public list
Thanks. I should have realized that you meant "three consecutive inside days" literally. So, basically you are looking for small symmetrical triangles and trade that?
Looks like a viable strategy to me - but too short-term for my taste. For instance, I've tried a few systems that use 4 ATRs as a profit target (while you use just 1) - and even those trade way too often for my taste.
As for backtesting, I'm not a fan of that.
. And I am not a big fan of stock screening myself. I prefer to specialize in a single stock (e.g., QQQ) and learn well how it responds to the various indicators. As a secondary preference, I'd apply a system to the stocks in an index (e.g., NDX). But a full scan of a whole exchange in order to find the stocks that meet a particular criteria (often resulting in finding stocks I don't "know" well or have even never heard of before) - nahh, I don't do that.
Regards,
Vesselin
Hi Vesselin,
Sorry that I reply this late, but somehow this post slipped out of my attention.
Are you the same Vesselin who had/have a public lists on stockcharts??
As far as your question :
1) reread my discussion on Misc.invest.technical with Jack Hershey. (http://groups.google.com/groups?hl=en&lr=&ie=UTF-8&safe=off&threadm=BTuf9.111732%248...
2) Don's board :
http://groups.msn.com/ShortTermStockTrading/general.msnw?action=get_message&mview=0&ID_Messa....
3) my public list :
http://stockcharts.com/def/servlet/Favorites.CServlet?obj=ID162895
As for backtesting, I'm not a fan of that.
Stefan
Tom--I don't understand the following triggers:
BUY;
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
If its If it rises above -100 its already above -240. What am I missing? Same question on the sell trigger. Thanks
PEACE
Vesselin,
Correction.The VIX went to 50.5 intraday on thursday not friday as implied in previous post.
Vesselin,
I have learned these painful lessions in this Bad Bear market .You do learn in bear markets.
1. All indicators are secondary.Whether it be put/call ratios,Arms Index,bull/bear ratios or others.(except for the VIX closing at >48.0 then I will always buy for at least for one day.)The VIX > 48.0 I would think would be a very good intermediate term trading signal.Would it not?spike or no spike.
2. The trend is your friend.I use 2 days trending higher or lower a 10 day SMA as a trend definition.Don't trade against the trend.(unless you are in a trading range)
3.Be neither a bull or a bear but a trader and be prepared to go either way.
4. Follow the moving averages and slow stochastics.Daily, weekly, and hourly stochastics and MACD.
This week I bought on monday when the VIX closed at 48.4 and went back to money markets on Tuesday when the daily stochastics turned downward for a 2% gain.
I trade the NDX by uses UOPIX and USPIX.I went out of money market to UOPIX at the end of WED,when the VIX closed at 49.5 at the bottom(short or longterm?)and after friday(when the VIX went to 50.5) have an additional 21% gain in 2 days.I am hoping the Bull is back but if not I am prepared to short when the trend changes.I am thinking we will rally for ~ 2 months. What are your thoughts?
Good Trades
Using the Sector Bullish Percentage Indexes
Hello folks,
OK, I finally found the time to write the long-promised article about the sector BPIs.
The idea here is the same as with the main Bullish Percentage Indexes - Cover/Buy when the corresponding index has crossed above its 20-day EMA after having fallen below the horizontal green line (i.e., is heading up from oversold territory) and Short/Sell when the corresponding index has crossed below its 20-day EMA after having rised above the horizontal red line (i.e., is heading down from overbought territory).
For each BPI, I have provided a chart (above it) of the Exchange-Traded Fund (ETF) that can be used to trade the corresponding S&P-500 sector.
When all (or the vast majority) of the sector BPIs "line up" (i.e., are simultaneously overbought and oversold and trigger Sell or Buy signals), this usually indicates, respectively, a major market top or bottom.
1) Consumer Discretionary Sector BPI
2) Consumer Staples Sector BPI
3) Energy Sector BPI
4) Financials Sector BPI
5) Health Care Sector BPI
6) Industrials Sector BPI
7) Technology Sector BPI
8) Materials Sector BPI
9) Utilities Sector BPI
10) Transportation Sector BPI
There is no ETF to trade the Dow Jones Transportation Index. Nevertheless, I am providing a chart of it here - its BPI can be useful for confirmation purposes, when we're looking for a major top or bottom.
Also, due to insufficient price history for this BPI, I am providing only 1-year charts.
Regards,
Vesselin
Modifying the thresholds
Ves, I use the new highs and new lows as well, however, I modify the "threshold" points (keep them coming down for now) due to the drastic reduction in the count of Naz issues.
This is a good idea. Is there an easy way to get the total number of issues traded on each exchange? I think that maybe adjusting the thresholds once a month should be sufficiently precise.
BTW, somebody called "Koikaze" sent me a private message, asking me for permission to post some of my messages to board-#1351 ("Zeev's Ideas Board").
Folks, please keep in mind that I am not a paid subscriber to this site and, as such, am unable to send private messages (except to the owner of the site) - so, don't send me messages that require private replies.
That said, of course feel free to link to and re-post any message of mine to any place you deem appropriate. The more people see my messages, the better - it will increase the number of people who might be helped by them and will increase the chances that, if there are mistakes in them, they will be spotted.
Regards,
Vesselin
H&S as a continuation pattern
Incidentally, I had gotten into a debate recently with some technicians on the validity of a H&S as a continuation pattern. It certainly is a statiscally relevant pattern as far as I'm concerned but apparently not everyone feels that way.
I, for one, agree with you here. I have observed several times these patterns (both the right and the inverse) act as continuation patterns - not just as reversal patterns.
It is indeed a very reliable pattern - according to Bulkowski's "Encyclopedia of Chart Patterns", it has only a 5-7% failure rate and a 83-63% probability to reach the implied target. (The first number of each pair is for H&S Bottoms, the second is for H&S Tops.)
So, it is not out of the realm of possibilities that we may be seeing a set up for a huge double bottom here.
Could be but I'll believe it when I see it - i.e., when the price rises above the neckline of the double bottom (the August highs).
Regards,
Vesselin
UpVol/DownVol Data
You can access the data on stockcharts.com. Symbols are: $NYUPV and $NYDNV
Yes, that's the easy part - but this isn't what he was asking. He was asking how to find the number of NYSE points gained and lost. I don't know an easy answer to this question.
Regards,
Vesselin
Points gained and lost
I found the other component,Upside (buyers) Volume and Downside (sellers) Volume., with no problem. Does anybody know where to find this daily data?
I don't think that it is easily available. There have to be quoting services (http://www.downloadquotes.com , maybe?) from which, theoretically, you could download trading data for all the issues trading on the NYSE and compute for yourself the numbers of gained and lost points. But this is rather tedious (and probably expensive).
But there are unclear problems even if you have the data. For instance, what to do with BRK/A? On an average day, the number of points gained or lost in this single issue might exceed the number of such points in all other issued combined! So, should we simply ignore it? Desmond's paper doesn't say and he doesn't reply to inquiries from people who aren't his customers.
Regards,
Vesselin
$VIX and $CPC
Did you see that over the last 4 days the equity put/call ratio has been over 1.0 and the total put call was 1.36 on 9-18, setting an all time high?
This is indeed very unusual. However, the absolute closing value of $CPC is only a short-term trading indicator. At best, such high values indicate that a technical bounce is likely within the next 1-3 trading days. I am more interested in intermediate-term trading signals myself. The 21-dma of $CPC is an indicator which can give such signals. Note that despite the huge 2-day rally, it hasn't issued a Buy signal yet - i.e., it hasn't made a top.
Along with a VIX being moderately high(in the 40s)doesn't this indicate a short term bottom soon?
The absolute $VIX levels are not so important as its formation. Yes, $VIX above 40 indicates a fair amount of fear among the traders. But we don't get a Buy signal until the $VIX spikes at such a high level - i.e., has a sharp advance, followed by a sharp decline.
At least that's the theory. The current action has me somewhat baffled. The $VIX advanced steadily and although it made a top during the past two days, it doesn't quite have what I'd call a spike. Most of my other indicators came very close to indicating an intermediate-term bottom - but did not quite reach that level.
So, I'm not sure what to think. This certainly isn't the end of the bear market. But was it a major low? Is it going to be a two-day wonder - or is it going to morph into a multi-week rally? I don't know. But if this was a bottom, it's certainly weaker than the bottom established in July - and, IMO, is likely to hold for a shorter time.
Regards,
Vesselin
More clarification needed
Correct. This system is either 100% long or 100% not invested.
OK, thanks. But how about an answer to my other question:
Note, however, that if condition D occurs, then the Sell Filter will be in effect. Then, what is the purpose of conditions A and B (i.e., waiting for additional CCI-related conditions to be fulfilled), if condition D tells us to Buy immediately?
Well?
It would be great if you could test it over the entire lifespan
Will do, as soon as I am certain that I understand it correctly.
Regards,
Vesselin
Vesselin I love your charts and am in the process of doing my own cross checking of your conclusions (BPI's etc). When I have something I'll report what I have found.
I've been playing with this one. Never know when something will work.
http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$bpoex:$oex,uu[l,a]wallnnay[df]...
Good idea to watch both
I drew buy and sell signals using Vess' signal line method and my Bolinger band method - For some reason the annotations aren't showing up My method is a bit more sensitive initiating a few more trades, a bit earlier, but missed some excellent sell signals Vess' method caught (in '02). On the other hand, Vess' method missed key buy signals in '97, '99, '01. It wouldn't hurt to follow both!
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[j7367169,y]>
[j7367153,y]>
Hi Tom
You added a variation to Vess' "Trading main bullish main Bullish Percentage Indexes" by adding Bollinger Bands to determine an oversold condition. I will watch this variation.
Quoting from Vess, "I have further smoothed the indicator with a 20-day EMA and have drawn (somewhat arbitrarily) overbought and oversold levels for it. It is supposed to be traded like this - Buy/Cover when the indicator crosses above its 20-day EMA after having fallen below the oversold (green) line; Sell/Short when the indiector crosses below its 20-day EMA after having rised above the overbought (red) line."
We are currently in the oversold area and should be watched closely for a crossover (20-day). This also could be used in conjunction with the $NASI which Vess has also posted.
Good Trading
Chasdn
BPIs
Would like to hear more about your interpretation. I use the BPIs as an intermediate term contra-trend indicator, helping to identify reversals. I view the S&P 500 BPI as neutral, and the Nasdaq Comp BPI as slightly bullish (because the bullish signal happened more recently).
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Ves, I use the new highs and new lows as well, however, I modify the "threshold" points (keep them coming down for now) due to the drastic reduction in the count of Naz issues. The same applies to historical tic numbers, IMTO.
Zeev
Hi Vesselin,
Well we finally did get the break of prior lows on the NASDAQ and today have bounced back up through it. I had been building up my short positions since the end of August and have considered the prior market action leading up to today somewhat uneventful. But we appear to be at some cross roads and I'm leaning toward the bearish side and fully expect the S&P500 and Dow to break July lows. Nevertheless I will let the market lead the way.
I'm sitting on some nice profits and am contemplating my next move. Technically, there has been a substantial break down and the NASDAQ has penetrated the neck line of the H&S (or triangle) on higher volume. Incidentally, I had gotten into a debate recently with some technicians on the validity of a H&S as a continuation pattern. It certainly is a statiscally relevant pattern as far as I'm concerned but apparently not everyone feels that way. No matter, whether it is a H&S or triangle is really academic at this point because the break of the lower line on higher volume has the same implications.
At this point it would appear that we may see the typical retest of the neckline. However, increased volume today is a concern and a red flag. The Dow and S&P500 did not have the increased volume though. Also, many of the trend indicators are showing a very substantial bounce may occur. So, it is not out of the realm of possibilities that we may be seeing a set up for a huge double bottom here. I believe keeping an eye on the volume and the neckline is key.
The S&P500 and NASDAQ bullish percentage indicators are in or near the oversold area.
The 21ma on the put/call is starting to turn
The McClellan oscillators have turned. They usually precede the summation indices and the trend change.
Vix has turned down from within the oversold area.
Care to share your thoughts?
Regards,
Rob
UpVol/DownVol Data
You can access the data on stockcharts.com. Symbols are:
$NYUPV and $NYDNV
Vesselin, I got Paul Desmond's report on 90% up or down days and found it interesting. I tried to calculate it but couldn't locate all the data. Using the online WSJ I could not find,the full and fractional dollars of price change for all NYSE-listed
stocks that advanced each day (Points Gained), as well as the full and fractional dollars of price
change for all NYSE-listed stocks that declined each day (Points Lost).
I found the other component,Upside (buyers) Volume and Downside (sellers)
Volume., with no problem. Does anybody know where to find this daily data?
whitelake
Vesselin,
Thanks again for your response.
Did you see that over the last 4 days the equity put/call ratio has been over 1.0 and the total put call was 1.36 on 9-18, setting an all time high?Along with a VIX being moderately high(in the 40s)doesn't this indicate a short term bottom soon?
Best Regards
System 3 clarifications:
Hi Vesselin, sorry to hear about your computers. Hope I can clear things up.
...you mean "if not invested, Buy when any of the conditons A, B, C or D occur". Correct?
Correct. This system is either 100% long or 100% not invested.
Do you want me to backtest the system over exactly the same time period as you (in order to confirm the trades) - or over the whole lifespan of the $COMPQ?
It would be great if you could test it over the entire lifespan, though I'd be interested if my interpretation of signals matches your results. Note, I used closing prices only.
so I again won't be able to read this forum regularly.
Whenever you get a chance to test it would be fine with me. Thanks for your help.
Vess, glad that you switched to the bearish camp. Feel bad when I trade against you (g)
Using market breadth indicators
(StockCharts.com has changed the way it displays the scale of the charts, which are ratios of two symbols, forcing me to change the placement of the horizontal lines on the last chart. So, I am re-posing this article and using the opportunity to make a few other cosmetic changes in it - like the color of the horizontal lines.)
Again, let's start with a 3-year chart of QQQ for comparison pusposes:
1) Using NASDAQ's Number of New 52-Week Lows:
When this indicator spikes above the 500 level, this tends to indicate an intermediate-term bottom. It is not very good for picking tops.
2) Using NASDAQ's Number of New 52-Week Highs:
Excluding the mania months of early 2000, when this indicator rises above 200, it usually warns about an impedding intermediate-term top. Respectively, when it falls below 10, this usually portends that an intermediate-term bottom is imminent.
3) Using NASDAQ's Ratio of New 52-Week Highs / New 52-Week Lows:
When this indicator drops below 0.02, this tends to indicate an intermediate-term bottom. When it rises above 5, this tends to warn about an impedding top - although this indicator is not very precise for picking the exact moment of the top.
4) Using NASDAQ's Net New 52-Week Highs:
When this indicator spikes below -500, this tends to indicate an intermediate-term bottom. When it rises above 123, this tends to warn about an impedding intermediate-term top - although it is not very precise for picking the exact moment of the top and it can go significantly higher than 120 (and has done so, during the mania months of early 2000).
5) Using NASDAQ's Record High Percent Index:
When this indicator rises above 0.75, it indicates a severely overbought condition and an impedding intermediate-term top. Similarly, when it falls below 0.15, it indicates a severely oversold condition and an impedding intermediate-term bottom. Note, however, that the actual top or bottom might take several weeks to form. It is better to trade this indicator by smoothing it with a 20-day EMA and buy when this EMA crosses the lower horizontal line from below and sell when it crosses the higher horizontal line from above.
6) Using the NYSE Up Volumt / Down Volume Ratio:
According to Paul Desmond, president of Lowry's Reports, Inc. (http://www.lowrysreports.com/dow.shtml ), the end of a major bear market is marked by one or more "90% Down days", followed, within 16 days, either by a "90% Up day", or by two back-to-back "80% Up days". A "90% Down day" is defined as a trading day on which the down volume on the NYSE is 90% (or more) of the total volume and the total number of points lost on all issues traded on the NYSE on that day is 90% (or more) of the total sum of all points gained and lost on that day on the NYSE. Similarly, a 90% Up day is a trading day on which the up volume on the NYSE is 90% (or more) of all volume and the total number of points gained is 90% (or more) of the sum of all points gained and lost in all issues trading on the NYSE on that day.
Unfortunately, I have no easy way of determining the ratio of "points gained and points lost" (besides, what about issues like BRK.A that move by a huge number of points every day?). The above chart is a crude way of approximating this signal by watching only the ratio between the up volume and the down volume on the NYSE. When the indicator drops below the lower horizontal line, the down volume outnumbers the up volume by 9:1 or better. Similarly, when the indicator rises above the uppter horizontal line, the up volume outnumbers down volume by 9:1 or better.
Note that, since this is not the original Desmond signal, it is dangerous to interpret it in the same way as the original one. Nevertheless, a "90% Down Volume day", followed by a "90% Up Volume day" is a rare and remarkable event and can often spur very strong rallies, even when it doesn't mark the end of a bear market.
(BTW, all these charts are "live" - they are updated automatically as time passes. Whenever you wonder whether a top or a bottom might be near, you just need to re-read these articles and look at the charts in them.)
Regards,
Vesselin
System 3
Sorry to bother you again, but I still need a few clarifications before I can program this.
FILTERS:
If the $COMPQ 20day EMA is above the $COMPQ 250day EMA, the sell filter is in effect. If the $COMPQ 20day EMA is below the $COMPQ 250day EMA, the buy filter is in effect. (I actually use the 20, 250 PPO)
BUY:
A. If the sell filter is in effect, buy when the CCI rises above -100.
B. If the sell filter is in effect, buy when the CCI rises above 0.
C. If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy.
D. Buy if the 20day EMA crosses above the 250day EMA.
As far as I understood from the previous discussions, you mean "if not invested, Buy when any of the conditons A, B, C or D occur". Correct?
Note, however, that if condition D occurs, then the Sell Filter will be in effect. Then, what is the purpose of conditions A and B (i.e., waiting for additional CCI-related conditions to be fulfilled), if condition D tells us to Buy immediately?
I tested the system by going through the chart signal by signal.
Do you want me to backtest the system over exactly the same time period as you (in order to confirm the trades) - or over the whole lifespan of the $COMPQ?
BTW, I am back from my business trip - but my main computer has problems and is being repaired, so I probably won't be able to access this site often. (I am doing it now using a notebook computer with an awful keyboard which often misses keypresses.) In addition, the next week I have to attend a conference, so I again won't be able to read this forum regularly.
Regards,
Vesselin
Double bottom?
Did we recently qualify as a double bottom on the NDX?
You mean, on September 6? I am afraid - not. A double bottom is confirmed when the price rises above the high between the two bottoms and doesn't fall below any of them. We haven't had such a thing on the $NDX yet. In addition, I am afraid that I see a Head-and-Shoulders Top there, having formed since the end of July:
On further review using July's lows,is it a triple bottom?
Even if it is, that's not good, because tripple bottoms are often broken to the downside - as I indeed think will happen, after the obligatory small bounce off the July low.
Do you think we will trend upward once slow stochastics become overbought?
The Stochastic (do you have in mind the one I've used above?) turned mid-way without reaching overbought - which is normally a very bearish development.
Regards,
Vesselin
3 inside day setup?
I just began trading a 3 inside day setup. Looks very promising but a lot of study can/must be done.
I thought it would be easy to obtain so info of the www, but it wasn't. Google came up with almost nothing but crap. I posted a question in MIS, got no response. ect ...
Thus my question is this : Are there some good souls around here who do trade such setup and want to exchange some experiences ? Or do somebody knows some good info on the net (free or not), books, ... ?
I am afraid I am not familiar with this. Maybe you could explain what exactly it consists of and how it is supposed to be traded? If the rules and the descriptions are precise enough, I could try to backtest it with the software for developing of trading systems that I am using.
Regards,
Vesselin
More decline?
I'm still expecting a continued decline.
You are quite possibly right. My Long trade was stopped out a couple of days ago as the $COMPQ broke below the critical support line accross the July and August lows:
However, the various intermediate-term indicators I use (descriptions of some of them can be found in the header of this forum) failed to indicate a top - although some of them issued Sell signals. Now most of them are neutral to closer to a Buy. To me, this means that a test of the July low is in the cards. We might get a small bounce there, but the indicators are sufficiently neutral (i.e., far away from indicating an intermediate-term bottom) to suggest that the bounce will be short-lived and the July low will be broken soon.
It is too early to tell where we'll get the next intermediate-term bottom signal. As a wild guess, I would say that the $COMPQ will reach to around 1070 - but please understand that this number is very unrelible right now.
Regards,
Vesselin
System 3
I revised the chart slightly from my last posting. The rules haven't changed, I just looked more closely to confirm actual buy and sell signals. Some of the signals are very difficult to see on a chart covering such a long period of time. Here are the rules once again.
FILTERS:
If the $COMPQ 20day EMA is above the $COMPQ 250day EMA, the sell filter is in effect. If the $COMPQ 20day EMA is below the $COMPQ 250day EMA, the buy filter is in effect. (I actually use the 20, 250 PPO)
BUY:
A. If the sell filter is in effect, buy when the CCI rises above -100.
B. If the sell filter is in effect, buy when the CCI rises above 0.
C. If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy.
D. Buy if the 20day EMA crosses above the 250day EMA.
SELL:
A. If the buy filter is in effect, sell when the CCI falls below +100
B. If the buy filter is in effect, sell when the CCI falls below 0.
C. If the sell filter is in effect, the CCI must first rise above +180 and then fall below +100 to generate a sell.
D. Sell if the 20day EMA crosses below the 250day EMA.
I tested the system by going through the chart signal by signal. Here are the results I came up with
Close Points+/- Gain/Loss
Buy Mar 7, 1990 432.47
Sell Aug 3, 1990 417.46 -15.01 -3.47%
Buy Nov 9, 1990 341.95
Sell Apr 30, 1991 484.72 +142.77 +41.75%
Buy May 1, 1992 578.14
Sell Feb 13, 1993 690.54 +112.40 +19.44%
Buy Apr 28, 1993 658.16
Sell Nov 4, 1993 757.26 +99.10 +15.06%
Buy Apr 2, 1994 743.46
Sell Apr 20, 1994 705.52 -37.94 -5.10%
Buy May 27, 1994 733.14
Sell Dec 9, 1994 719.05 -14.09 -1.92%
Buy Jan 10, 1995 756.52
Sell Sep 26, 1995 1038.05 +281.53 +37.21%
Buy Jan 19, 1996 1007.01
Sell Mar 8, 1996 1063.73 +56.72 +5.67%
Buy Aug 6, 1996 1128.87
Sell Oct 16, 1997 1699.60 +570.73 +50.56%
Buy Jan 2, 1998 1581.50
Sell May 15, 1998 1846.70 +265.20 +16.77%
Buy Sep 22, 1998 1697.80
Sell Feb 17, 1999 2248.90 +551.10 +32.46%
Buy Aug 10, 1999 2490.11
Sell Mar 29, 2000 4644.67 +2154.56 +86.92%
Buy Apr 28, 2000 3860.66
Sell May 25, 2000 3205.35 -655.31 -16.97%
Buy June 2, 2000 3813.38
Sell Oct 4, 2000 3523.10 -290.28 -7.61%
Buy Oct 15, 2001 1696.31
Sell Nov 27, 2001 1935.97 +239.67 +14.13%
SYSTEM GAIN 284.90%
BUY AND HOLD 184.97% (Jan 1, 1990 through Sept 10, 20
Vesselin,
Did we recently qualify as a double bottom on the NDX? We were about 30 points away from Aug 5th low.On further review using July's lows,is it a triple bottom?
Do you think we will trend upward once slow stochastics become overbought?
Best Regards
Hi,
I'm a little desperate, so I try it here.
I just began trading a 3 inside day setup. Looks very promising but a lot of study can/must be done.
I thought it would be easy to obtain so info of the www, but it wasn't. Google came up with almost nothing but crap. I posted a question in MIS, got no response. ect ...
Thus my question is this : Are there some good souls around here who do trade such setup and want to exchange some experiences ? Or do somebody knows some good info on the net (free or not), books, ... ?
If you're serious you can e-mail me at flush007@hotmail.com. (if there is enough interest maybe we could create a group, ... on MSN <G>)
For those who want a look at my primary setup you can check my public list at stockcharts (link below)
Regards
Stefan
--
View my chartlist at stockcharts :
http://stockcharts.com/def/servlet/Favorites.CServlet?obj=ID162895
Want to learn Technical Analysis ?? Check this, it's free !!
http://stockcharts.com/education/What/index.html
I'm still expecting a continued decline. Today was a feel good rally based on econ data. The recent decline has been too steep to maintain and some upside was epected. The recent rally was the typical approach to the 50 ema in a primary bear trend and I expect new lows soon.
<so it was a no-brainer to expect a bounce from here>
Maybe it was a no-brainer for you, but I would say that many were expecting a rapid decline to (and maybe a breach of) July low.
Thanks for your comments. I prefer short positions; hope that you are right and we will get a decent bounce.
Just a short answer, because I have to run
I have Metastock, which allows looking at historical systems.
I have it too, but couldn't manage to learn how to use it. Too complicated, the programming language is too obscure, etc. I find Wealth-Lab much easier and its language is essentially Pascal (which I already know).
Metastock has a limitation, that buys are at "open , high, low or close" only.
Does the system you are using allow buys on triggers, such as buy when price crosses 10 day moving average ?
Uhm, the two things are not related, at least not in Wealth-Lab. In WealthScript, you can specify such a thing like "buy when the price crosses above a 10-dma" very easily:
if CrossOver(Bar, #Close, SMASeries(#Close, 10)) then
BuyAtMarket(Bar + 1, 'My Long Signal');
if not PositionLong(LastPosition) then
BuyAtStop(Bar + 1, SMA(Bar, #Close, 10));
Vesselin: Am I seeing things or is this a Head-and-Shoulders Top on the COMPX forming?
I mentioned this with regards to the SPX yesterday. However the NYA also has that pattern potential. Something to keep an eye on, in case I am wrong about the July rally extending...
http://www.investorshub.com/boards/read_msg.asp?message_id=487984
Regards,
LG
Vesselin
I have Metastock, which allows looking at historical systems.
Metastock has a limitation, that buys are at "open , high, low or close" only.
Does the system you are using allow buys on triggers, such as buy when price crosses 10 day moving average ?
http://groups.yahoo.com/group/Hal1/
Larry Dudash
Answers to your questions about system 3
"What happens if the Sell Filter is in effect and CCI rises above -100, then (with the Sell Filter still in effect) it rises above 0 (before triggering a Sell signal), and finally the 20-day EMA crosses above the 200-day EMA?"
Anytime you're out of the market, you act on the first instance of any buy signal(in this case, only signals that pertain when the sell filter in effect). For example, if the sell filter is in effect and the CCI falls to -10, and then rises above "0" - that's a trigger to go long. Another example: If the CCI falls to -110, and then rises above "0", you go long. The "0" buy trigger is now meaningless because you're already long. Obviously, anytime you're out of the market when the sell filter is in effect, the EMA crossover signal is meaningless (The 20 day EMA is already above the 250 day EMA).
BTW, you caught another mistake of mine. The correct EMA is 250-day, not 200-day. Thanks for the catch!
Do you take 3 Long positions, a new one each time?
No. You only take one position, acting on the first signal occurance.
Also, does the filter always use the $COMPQ only - or does it use the underlying security that you're trading?
Use the security you are trading.
"If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy."
You are correct. Sorry for the way I phrased it.
Thanks again for your patience. Let me know what you think when you get back from your trip. Be safe :)
New system
I've made a number of changes which should make the performance of the system much better than the other two tested.
Unfortunately, the new rules confuse me even more than the previous ones. I'll need a clarification again.
If the sell filter is in effect, buy when the CCI rises above -100.
If the sell filter is in effect, buy when the CCI rises above 0.
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
Buy if the 20day EMA crosses above the 200day EMA.
These don't seem mutually exclusive. What happens if the Sell Filter is in effect and CCI rises above -100, then (with the Sell Filter still in effect) it rises above 0 (before triggering a Sell signal), and finally the 20-day EMA crosses above the 200-day EMA? Do you take 3 Long positions, a new one each time? How do you decide which one to sell when?
Also, does the filter always use the $COMPQ only - or does it use the underlying security that you're trading? For instance, if you are trying to apply your system to the SPX instead of to the COMPQ, would you still use the $COMPQ then for the filter?
Finally, by
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
don't you actually mean
"If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy."
?
Again, sorry to be nitpicky, but in order to program a trading system in a computer (which is needed in order to test it), the rules must be specified very precisely and unambiguously. Alas, computers lack the DWIM (Do What I mean) command.
BTW, I'll be on a business trip the next week, so I probably won't be able to continue this discussion until I am back.
Regards,
Vesselin
Ah, so I was right, after all.
Vess, this time 1260 did not survive.
No, but the 1250-1260 area did hold (1251 was the low). It's good to know that I was not wrong the other day - not even by 1 point. I was starting to think that I was losing my touch.
Kidding, of course. This support area is way too obvious and the selling in the past few days - way overdone, so it was a no-brainer to expect a bounce from here. Where we go now is a more interesting question. Am I seeing things or is this a Head-and-Shoulders Top on the COMPX forming?
(The right shoulder is yet to be formed, so watch out for a lower high.) If it is, the implied downside target is quite a bit below the July low; around 1140.
In addition, if QQQ falls below 21.50, that would trigger a Double Bottom Breakdown on the P&F chart, with an implied downside target around 17:
Will you cover if we drop below 1250?
You mean - sell? No; I trail my stop just below the trendline connecting the July and August lows on the COMPX - that's slightly below; around 1240. And even then I'll still be looking to go long again soon, when the various indicators suggest that an intermediate-term bottom has been reached. For now (and until proven the opposite), I still think that we've reached one in July and the current correction is so severe only because the rally off that low was so steep and unsustainable.
Regards,
Vesselin
Interesting! Those system arrows are getting closer with each try. Thanks for posting.
New Filter, New Rules, New System
I've made a number of changes which should make the performance of the system much better than the other two tested.
First, there's a new filter:
If the $COMPQ 20day EMA is above the $COMPQ 250day EMA, the sell filter is in effect. If the $COMPQ 20day EMA is below the $COMPQ 250day EMA, the buy filter is in effect.
Next, I bumped the CCI to 150
I also improved the rules by changing the trigger levels and including two additional rules:
BUY:
If the sell filter is in effect, buy when the CCI rises above -100.
If the sell filter is in effect, buy when the CCI rises above 0.
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
Buy if the 20day EMA crosses above the 200day EMA.
SELL:
If the buy filter is in effect, sell when the CCI falls below +100
If the buy filter is in effect, sell when the CCI falls below 0
If the sell filter is in effect, the CCI must fall below +180 and +100 to generate a sell.
Sell if the 20day EMA crosses below the 200day EMA.
There are no short sells using this system, don't use stops either.
Let me know if you have any questions. I believe the buy and sell signals indicated below accurately reflect the rules and indicator levels.
Vess, this time 1260 did not survive. WIll you cover if we drop below 1250? (we probably will today)
I still would predict some kind of a mini-rally next week after 11th, but I suspect this will be preceeded by a big drop.
As I was saying three days ago,
I anticipate a bounce from around the 1250-1260 level.
The bounce happened at 1261, so I was wrong by a whopping 1 point. Sorry 'bout that - I am getting rusty at my old age.
Regards,
Vesselin
Rob: "Also, it appears that during a primary bear trend it requires that the indicators are in the extreme oversold level to indicate a bottem, but they may never reach the extreme overbought levels before a top is actually put in."
Vesselin: "Not sure what you mean exactly. I don't mean just the conventional overbought/oversold indicators; I watch a whole range of market breadth indicators, the BPI indexes, etc. They showed quite a big top in the beginning of the year and suggested that the March Madness was going to be just a minor uptick within the generally down picture."
Vesselin,
I'm familiar with all the indicator you've posted and use many of them myself. These are the ones I was refering to when I mentioned many of them are turning. For instance,
Also, in general it seems many indicators which oscillate by nature can tend to to remain more on the side of the current primary trend. For instance waiting for the VIX or VXN to get into the extreme low level in a primary bear trend to indicate a top may never happen.
Anyway, I do believe this rally is over and 1200 will be achieved very soon. This will be a key decision point for me.
Regards,
Rob
OK, I think I got it now
You ignore the -200 requirement after the Aroon rises above -50.
Understood; thanks for the clarification.
OK, then the last script I posted needs to be fixed. The new one produces exactly the same results (because the condition I have misunderstood has never really happened during the period of the backtesting) but it's better to have a fixed script than a buggy one.
Regards,
Vesselin
const AroonPeriod = 200;
const AroonHigh = 50;
const AroonLow = -50;
const Neutral = 0;
const CCIPeriod = 80;
const CCILow = -100;
const CCILower = -200;
const CCIHigh = 100;
const CCIHigher = 200;
const StopLoss = 5;
var AroonPane, CCIPane, AroonOsc, MyCCI : integer;
var Bar, StartBar, EndBar, BuyState, SellState : integer;
HideVolume;
CCIPane := CreatePane(60, False, True);
SetPaneMinMax(CCIPane, CCILower - 10, CCIHigher + 10);
MyCCI := CCISeries(CCIPeriod);
PlotSeries(MyCCI, CCIPane, #Black, #Thick);
DrawHorzLine(CCILow, CCIPane, #Red, #Thin);
DrawHorzLine(CCILower, CCIPane, #Red, #Thick);
DrawHorzLine(Neutral, CCIPane, #Red, #Dotted);
DrawHorzLine(CCIHigh, CCIPane, #Red, #Thin);
DrawHorzLine(CCIHigher, CCIPane, #Red, #Thick);
DrawLabel(GetDescription(MyCCI), CCIPane);
AroonPane := CreatePane(60, False, True);
SetPaneMinMax(AroonPane, AroonLow - 10, AroonHigh + 10);
AroonOsc := SubtractSeries(AroonUpSeries (#Close, AroonPeriod),
AroonDownSeries(#Close, AroonPeriod));
PlotSeries(AroonOsc, AroonPane, #Black, #Thick);
DrawHorzLine(AroonHigh, AroonPane, #Blue, #Thick);
DrawHorzLine(AroonLow, AroonPane, #Blue, #Thick);
DrawHorzLine(Neutral, AroonPane, #Black, #Dotted);
DrawLabel('Aroon Osc (' + IntToStr(AroonPeriod) + ')', AroonPane);
InstallStopLoss(StopLoss);
BuyState := 0;
SellState := 0;
StartBar := AroonPeriod;
EndBar := BarCount - 1;
for Bar := StartBar to EndBar do
begin
ApplyAutoStops(Bar);
if LastPositionActive then
begin
if PositionLong(LastPosition) then
begin
{ Long Position Exit Rules }
if GetSeriesValue(Bar, AroonOsc) < AroonHigh then
begin
if CrossUnderValue(Bar, MyCCI, CCIHigh) then
SellAtMarket(Bar + 1, LastPosition, 'Sell');
end
else
begin
case SellState of
0 :
if CrossOverValue(Bar, MyCCI, CCIHigher) then
SellState := 1; { Wait for a crossing below CCIHigh }
1 :
if CrossUnderValue(Bar, MyCCI, CCIHigh) then
SellAtMarket(Bar + 1, LastPosition, 'Sell Higher');
end;
end;
end
else { We have a Short position }
begin
{ Short Position Exit Rules }
if GetSeriesValue(Bar, AroonOsc) > AroonLow then
begin
if CrossOverValue(Bar, MyCCI, CCILow) then
begin
CoverAtMarket(Bar + 1, LastPosition, 'Cover & Buy');
BuyAtMarket(Bar + 1, '');
end;
end
else
begin
case BuyState of
0 :
if CrossUnderValue(Bar, MyCCI, CCILower) then
BuyState := 1; { Wait for a crossing above CCILow }
1 :
if CrossOverValue(Bar, MyCCI, CCILow) then
begin
CoverAtMarket(Bar + 1, LastPosition, 'Cover&Buy Lower');
BuyAtMarket(Bar + 1, '');
BuyState := 0;
end;
end;
end;
end;
end
else
begin
{ Long Position Entry Rules }
if GetSeriesValue(Bar, AroonOsc) > AroonLow then
begin
if CrossOverValue(Bar, MyCCI, CCILow) then
BuyAtMarket(Bar + 1, 'Buy');
end
else
begin
case BuyState of
0 :
if CrossUnderValue(Bar, MyCCI, CCILower) then
BuyState := 1; { Wait for a crossing above CCILow }
1 :
if CrossOverValue(Bar, MyCCI, CCILow) then
begin
BuyAtMarket(Bar + 1, 'Buy Lower');
BuyState := 0;
end;
end;
end;
{ Short Position Entry Rules }
if (GetSeriesValue(Bar, AroonOsc) < Neutral) and
(CrossUnderValue(Bar, MyCCI, CCILow)) then
ShortAtMarket(Bar + 1, 'Short');
end;
end;
Hi V, I make a weekly trip across the street from my office to the public library. They get BARRONS (weekly new highs/lows, issues traded, Treasury 13 week rate) and Value Line (broad P/E, 13 week Best/Worst Performers) so I just jot the stuff down in my pocket secretary.
I've been doing this for years. The original data was gathered this way in the mid-late 80s. When I started to see a trend in this stuff I went to Chicago's down town library and used their micro film library to get Value Line's data back to '82. I used Milwaukee's down town library to get the BARRONS data for the same period. Too bad there weren't portable computers then, it would have saved me transcribing all of it!!!
Although not current, there's data from the start through 2000 (I believe) at
http://www.aim-users.com/iwdata.htm
This is raw data, so one can fiddle with it as one wants.
Yes, it's a combination of fundamental and technical stuff. It took time to get them all to move in the same direction and to figure their appropriate "weight" in the total. I have tried with the 52week Treasury rate as well as the 30 year bond. I'm now using the 13 week rate as it's most reactive. It's what I started with years ago. The 52 week bond was a very good barometer, but alas, it's history. The stored database has the 52 week treasury rate instead of the 13 week. That was before the end of the 52 week bond.
Best regards, Tom
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