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That site is great, thank you very much!
I now have 2 yrs of 1 min bars for Nasdaq 100 downloading!
That should make for a few days of interesting reading. My girlfriend will be very pleased!
I think you can get it here in txt format:
http://www.traders2traders.com./linkindex/Default.asp?CategoryID=3
I have formed some "by eye only" impressions of the oddball system as follows:
It looks like the idea behind the system is sound in that increasing advancing issues lead to higher prices.
I think the weakness lies in how to identify/define increasing advancing issues.
For instance, the advancing issues on a Tuesday in the third hour of trading might be above normal and, if spotted, provide a signal to higher prices. BUT, if Monday's third hour of trading had a bigger advancing issues acceleration, then it makes Tuesday's advance look like a decline.
So my immediate concern is to find a better way of comparing than just using the same period of the previous day.
Maybe use an average of the difference between the two periods for the prior two or three days.
I intuitively believe that markets are influenced by a phenomenon called "weekends". On a Monday there are pent up investor decisions that have been building up for three days. On a Friday there is a reluctance to hold positions over a weekend. Also, futures are closed for an extended period over the weekend, so there isn't time for imbalances to be ironed out by the "invisible hand" of the market.
I don't think a trading signal derived from comparing a Wednesday to a Tuesday can be calculated the same way as a signal derived from comparing a Monday to a Friday. Maybe the comparison period should be a whole week...
I will look into these things but I seriously need a source for intraday data going back a lot further than the <three months' data I have at hand.
Ideally, I would like 5 years of data to ensure that bull market and bear market are both represented.
I adjusted all first hour trades to zero profit and the system was still down nearly 200 pts on the period.
Maybe it works better on the S&P/NYSE but I suspect that any TA is going to find things difficult if this rally is being helped by PPT. $VXN has bottomed and reversed upwards a few days ago. That is a very reliable bottom signal but the Nas comp still made a new high since then.
The reason he skips the opening bar or half bar is that it takes a little time for the signal to reach an equilibrium or stabilize. The open is apparently too unstable for this type of an indicator. Also he favored natural hour bars that end with the little hand straight up on the clock. Delaying the start until 10AM EST achieves that goal although there are other ways to achieve it and I'm not sure it's just the first 30 minutes of the session that are excluded. For instance TS has a switch for natural hour bars that adjusts to the hourly close for hourly bars even if the initial bar starts on the half hour.
I believe he originally was experimenting with NA for Net Advancing issues. I thought that meant advancing minus declining issues. That might be different than the version he released as oddball but NA is what he called it prior to oddball. I always thought it was the same thing and he just changed the name.
I tested Oddball on the Nasdaq I only had hourly data going back to Sep 4, 2002.
It loses 198 Nas points in that period. I used six hourly intervals starting at 0930 Eastern. The authentic Oddball recommends using six hourly periods starting at 10:00 Eastern.
Ignoring the first signal of each day doesn't help the results.
I could easily have amde a mistake and haven't yet done any thorough checks of the coding I used.
I doubt the short period in my study is representative. It is my beief that the PPT have propped this market and thus Oddball may have been going short with the reasonable expectation of an unmanipulated market going down.
Am going to try it for the S&P as per the original Oddball.
My eSignal intraday data only goes back a couple of months so I can't do a longer test. If anyone has a source of hourly intraday data going back further than the beginning of September please let me know.
I think it might work. Sorry I don't have any thoughts to add to it at the moment but your list includes some good one's.
Thanks, MM
MM, u posted on another thread today about the oddball method and Zeev boxes, specific vol etc. I think this is praps a better thread to continue this train of thought due to less clutter.
The oddball system looks interesting and I haven't tested whether it works but the author claims it does!
It doesn't use volume or price as inputs but simply looks at the last hour of trading and compares the advancing issues on the NYSE in that hour to the same hour of the previous trading day.
If the advancing issues is up by 3% or more it is a buy. If it is down by 1% or more, it is a sell. It is always either long or short depending on the last signal.
If something so simple works then there would be a few ways I might tweak it to try to increase performance.
1) introduce the concept of stop losses
2) introduce a neutral state where it was 100% cash
3) allow the 3% and -1% triggers to move adaptively
I have a couple of ideas how I might implememnt tweaks 1 & 2, and some vague thoughts on tweak 3
Darvas describes a shadow that extends 5% beneath the box that he calls the danger zone. I don't recall the exact stop level for when price falls back into that shaded area but I see a problem. 5% isn't adaptive to the timeframe. It's based on an optimization he did on weekly charts. On a 5 min chart 5% is way too much when the entire day's price movement often is contained within 2% movement per day
Zeev on the other hand has defined a stop below the box that adapts to all time frames. The same reference works regardless of whether it's a weekly or a 5min chart. At least that's my understanding of it and Zeev might correct me if I'm wrong.
Regardless, I think it's important to develop these types of variants and welcome ideas along the lines of building a hybrid Darvas box. I don't expect the orignal algorithm to work, particularly because it's been published in a book and widely diseminated.
food for thought .......
does anyone remember the article by FORBES(??) commenting and interviewing some of the daytraders ..... during the bull mkt run .....
one of the main features of that article was an ex-pool contractor out of .....seattle (???) ....who made $12 million daytrading using the AIQ system .........
thats right ....twelve million US dollars ......
while DARVIS made $2M ...which is nice ......
there were quite a few people making vast fortunes in " the bull " mkt .....
==BUT==
where are they now ??? .......
a better question would be
.... how are they playing the mkt now ???
the point is ...... as ZEEV pointed out ......
this system is one of many that works in a bull mkt .....
but i dont think it works in a bear mkt .....
ZEEV's algorithmic thought process works ..........
but only if youre a daytrader ........
again .... ZEEV's method is probably a hybridized (but much improved) verson of Darvis's method .......
the point of all this ......
dont read too much into the original darvis theory .....
and what works in a bull mkt , does not necessarily work in a bear mkt ......
besides .... i noticed in a bear mkt ......those stop losses are gonna kill your returns ..... ( again ..this was commented on by Zeev ) ......
good luck trading ....
cya
david
But yet you're able to trade counter trend upswings off the bottom during a bear market! I've given quite a bit of thought to that unfortunately I don't have my notes in front of me. So how do you do it?
I think that too many people miss the point that Darvas method works only in bull markets, it keeps him in winning stocks and kicks out losing one, that has the effect of concentrating one's folio in strong stocks rather than weak ones. If one follows his method, one would simply be out of bear markets all together...
Zeev
Even with all the filler I add to make sure the good stuff sinks to the bottom! <ng>
I do now!
Thanks, I have been reading your posts for years at SI.
Boy! Have I been asleep at the wheel!!
I agree with your assertions. However, it was his long term holding that he had forgotten about that saved his A$$ets. Without that and a bit more luck mentioned in the book, he would have reached insolvency.
Notwithstanding, that does not detract from your remarks with which I concur!!!!
I'm interested too but haven't had anything to contribute. At least you know there's more people studying this topic than there are posting here.
I think you are mistaking the simplicity of his system for luck.
Even though the system was very simple, it had some solid foundations that he didn't violate:
1) Buy only strong stocks
2) Buy just above support
3) Use trailing stops set just under support
BTW, have you missed the posts made on this thread over the weekend?
The book is great entertainment value but that is about it.
After reflection, one could draw the conclusion that Darvas was very lucky. And is often said, it is better to be lucky than right.
Thanks for the links, they were all I could dig up as well.
Unfortunately, you were amongst the few to express interest in Mr. Darvas so I will continue to monitor to see if things perk up. Otherwise I will let this thread R.I.P.
Thanks for your time!
Chun Li, the search engine here at I-Hub is a great wonder, this post by Augieboo summarizes a lot of my recent discussions on using boxes, #msg-593385. I deviate quite markedly from the Darvas approach (for instance, I almost always expect a stock to come back at least once into the prior box, that is how I captured QCOM under the bottom of the new box in this post #msg-582070 and then #msg-591941). The problem is that in bear markets, a stock may put together a series of three or four boxes, and in the last phase of the bear move give half (sometimes all) of th advance and then start through those boxes (faster) again. That is how I have played ELC, AGM, COO and COCO so far this year (and misplayed SKX <g>).
Mind you, I am extremely flexible with my own "box rules" and thus deviate quite markedly from Darvas' teachings.
Zeev
I will follow this for awhile.
Larry Dudash
http://groups.yahoo.com/group/Hal1/
many thanks again. it is interesting that retracement theory of a sort seems to work, or people would not rely on it to make money. has any of this been tested?
For my own trading, I must resist the temptation to buy in the middle of the box
One more thing I should mention.
The box measuring system I just described with example is only valid, in Darvas's view, for stocks breaking out above yearly highs.
If you want to measure boxes in a declining stock, then I guess the appropriate similar system would be to apply it to stocks making new yearly lows, and adjust the algorithm to find the bottom of the box first by looking for a low not beaten for 3 days, then find the top by going back three days from the setting of the bottom, and looking for a high not beaten for 3 days.
Zeev's system seems to be more flexible and useful in that
1) boxes do not require the setting of new yearly highs or lows
2) the top/bottom of one box becomes the bottom/top of the next box up/down
3) the limits of the box are influenced by where the box limits were last time the stock was trading around the area of the current box, if that was recent. In other words, if a stock breaks up into a new box and then comes back down past the breakout point, it is then considered to be back in thte old box, rather than having to wait to define where the current box is.
4) Zeev uses intraday charts to form boxes, rather than just daily
5) Zeev's boxes don't have to be horizontal, they can be part of a sloping channel
I will let Zeev know about this discussion so he can comment on or correct my impressions above, if he feels so inclined.
got it, many thanks
Top is when stock has broken out from previous box and has subsequently not made a new high for 3 days.
Then bottom of box is any point after the top when a new low hasn't been made for 3 days. So the bottom is set after the top, but can be set before the top is known.
Consider the following daily price ranges below for an imaginary stock that prior to Day1 has an all time high of 19:
The top is at Day3. You only find this out on Day6, when Day3's top has not been breached for 3 days.
The bottom is on Day4. You only find this out on Day7, when Day4's bottom has not been breached for 3 days. It is the first daily low since the top was set on Day3 (even though this fact was not known until Day6) that has not been breached for 3 days. So the top is 27 and the bottom is 21.
The gerryco.com and sethi.org algorithms would have started looking out for the bottom on Day5 and Day6 respectively. gerryco.com would have the bottom as 22 set on Day5 and dicovered on Day8. sethi.org would have the bottom as 23 set on Day6 and discovered on Day9.
Day1: 20 - 25
Day2: 22 - 26
Day3: 22 - 27
Day4: 21 - 26
Day5: 22 - 25
Day6: 23 - 26
Day7: 24 - 25
Day8: 24 - 26
Day9: 25 - 26
Day10: 24 - 26
so top is highest point within an arbitrary time frame consisting of multiple time units and bottom is lowest point within three units of that top?
I think I will await your fuller answer
easiest way is to look for the top first, then once u find a top, immediately go back 3 days and start the bottom search from that point.
i.e.
If we start at Day1 and by Day7 we decide the top was Day4, then we go back to Day1 and start counting for 3 days of not finding a new bottom.
Maybe not a good explanation but no more time to go into it right now!
is this an existential problem of existance versus knowing what that existance is?
I am guessing that you are saying that you can tentatively define a bottom before a top is known and then redraw a bottom afterward.
what is the correct algorithm?
The algorithms at the sethi.org and gerryco.com sites DO NOT correctly identify Darvas boxes, particularly with respect to defining the bottom of the box.
Specifically, the problem is that although the bottom of the box cannot exist before the top exists, it can exist before the top is known. But the methodologies above don't start looking for the bottom, until the top is known.
Example scenario - A top is set on "Day 1" and a bottom is set on "Day 2":
On "Day 2", sethi.org & gerryco.com have not yet found the top of the box, so haven't started to look for the bottom yet. gerryco.com starts looking for the bottom on "Day 3" when it has only a tentative top, and sethi.org starts looking on "Day 4" when it has a confirmed top. Both miss the "Day 2" bottom and incorrectly define the bottom as the bottom of a later day's bar.
I'm quite interested in the subject matter of this thread, regretfully it doesn't seem to have reached "critical mass"
I'm collecting information on Darvas boxes to later evaluate whether I can add them to my methods.
I was not able to get Darvas' book (yet) and the (free) information around the internet is rather sketchy.
These are the best links I found so far:
http://www.sethi.org/investments/darvas/index.phtml
http://www.gerryco.com/tech/darvas.html
Huluriasquias.
Hey Leap,
Do you enjoy talking to yourself?
Where is Darvas, Darvas?
Thanks, great idea!
LY92. You might try putting your board link here in your signiture so others might come here when you post elseware. You do that when you go to your mailbox and edit your profile. Your signiture is at bottom of page.
Excel
A fellow who says it can't be done is likely to be interrupted by someone doing it.
It is lonely here....
LY92. I'm always willing to learn. Right now my time is limited though. Thought I might just check in once in a while. Hope to get back to trading someday again.
Excel
A fellow who says it can't be done is likely to be interrupted by someone doing it.
Congratulations for being the first post on this board!
Do you have any feel or interest in the Darvas method?
Regards,
Leap
Been a while since I've read IBD. But I enjoyed it when I did.
I followed the ratings on a group of stocks.
I can't remember the ratio of success.
But it was good.
I do remember I was impressed by IBDs ratings and the reasons behind them.
Someday when I'm in better position money wise I hope to do it again.
Excel
A fellow who says it can't be done is likely to be interrupted by someone doing it.
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