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I Wish,
I don't have any software that let's me back test the charts at all. You might want to ask Bernard if he knows. As far as I know the only way to backtest to look for the levels is if you have purchased some charting software that lets you do that. If you find somewhere that has it for free then Please post what you find. Trying to read the Open/High/Low/Close charts would be the only other way you might be able to read it. It certainly will not be Exact though :^)
http://stockcharts.com/def/servlet/SC.web?c=$INDU,uu[h,a]daolynay[pd25,2!b169][iUp13,8,1!Ue13,21,1]&...
Hi Bob I was looking for closing prices and Intra-day high's in the Dow not options. What I'm missing is the end of December when I was in the midwest and didn't print out my spread sheet at the close of day as I usually do. Like today the Dow closed at 7909.15 and had a intra-day high of 7920.49.
TIA if you know how to look up historical prices like that.
steve
Hi Steve,
I am not sure how you can trace back and look at the closing options prices. I used to post all of the options quotes on MKTSS just for that purpose but have not done that in a while. You might want to call your broker and see if they know how to do that. One thing that you can do to ballpark the figures is to see where the Markets were at and which strike month you were looking at. Generally the contracts will be worth $1 for each 100 points away from the market and $1 for each strike month. Using that then a DJX 88 Put for Dec was probably selling for $2 for Dec, $3 for Jan and $4 for Feb. If you find out a way to backtest or track the previous options prices I would like to find out about it also. I often wondered if you could chart just the change in the options pricing. I think that the Options Toolbox CD from the OIC will let you calculate projected options pricing but I have never tried it. I am not sure if it will let you backtest though, maybe. I have never tried the 1-888 number for them either. They might have a lot of answers there. Funny that I have never used the resource. I hope this helps.
Enjoy the Evening Steve! :^)
http://www.optionscentral.com/
Bob can you help me with closing prices for the $INDU on 12/31 and 12/27? Ideally I wonder if you know where to find closing prices and Intra-day highs and lows for the Indices in this case? TIA if you know.
steve
Hi Steve,
That sounds good. Using the box theory then only a breakout of the previous box would trigger a stop loss and the box top is indeed near 8076. I like the way the the markets pulled back from 7800 so you might indeed be able to draw a lower box soon.
Good Trading Steve! :^)
Hi Bob
for the way I like to trade Bob, you need to use Boxes on the Daily chart. The 15 min, would have me in and out of trades in a day easy. Looking at the Daily on the Dow I have the current Box as 7753 on the bottom and 8076 on the top. My stop for my Puts would be a violation of 8076 going up. That's the day I entered my DJX OB trade. Now my goal is to see how the 7753 area is handled, today it acted as the support but I am not selling here because I also use E-wave and we are likely in a 3 wave which can surprise in length and strength. I believe minimally we will test this area again by late today and if not late today early tomorrow. If we penetrate my target down 7753, I then wait for a new box to form and will hold Puts through that decline minimally.
Good trading Bob,
No one should mistake this post for some kind of advice on how to trade any index, I am still a novice and will likely be for years to come.
steve
A note on Index trades
I know that you have some Index Puts so this is how the Darvas box could be viewed for the INDU. If looking Long Term the first Box would have a top at the 8050 resistance level and a bottom at the 7900 level. The quick gap down on Friday could have been ignored as there really was not a time when 7900 clearly became resistance. If using the bottom of the box as Support to go Long from and the top of the box to go Short from you could have exited any Long position on the failure of a breakout and gone Short at the top of the box with a stop loss set at 8050. Once the bottom support of the box was broken at 7900 you can clearly see that 7900 became Resistance. This was the top of the new box and could have been used to add to the Short and you would use a breakout above 7900 as your stop loss. If deciding to hold your trade Long term you could continue to use 7900 as your stop loss order and add to the Short whenever the New support levels are broken and become resistance. If looking to protect your current gains you could move your stop loss order to 7800, the top of the short term box as it is resistance. The short term box would be 7800 top and 7725 bottom. The long term box would be 7900 top and 7725 bottom. Depending on the timeframe you are looking at and how tightly you want to set a stop you would adjust your order to fit your Box. Can you also see how using the SMAs help in determining the type of trade you want to be in? Above the SMAs you are holding Calls and Below the SMAs you are holding Puts. The same theories of whether support or resistance are Holding apply.
Good Trading Steve! :^)
Thanks Satorino,
I will check it out :^)
Thanks Satorino,
I think that the idea of using the Boxes to Visualize the support and resistance levels really makes it easier to understand how they work. I keep posting about the relationship of support to resistance and how they can change from one to the other on the MKTSS board but without any visualization of the change I think that it is hard to grasp the concept. The Darvas boxes make it much easier to comprehend IMO. You really don't need to apply the Volume to the breakout or breakdown but that might certainly Help. When PAYX moved back above $25 to 25.10 I did not see if the volume was higher than the previous breakouts. A lot of ways to tweek the signals but the Boxes IMO are the best part of the method.
Good Luck Satorino! :^)
bbgold,
If you are going into the Darvas box you must absolutely read and study this post.
http://www.investorshub.com/boards/read_msg.asp?message_id=595318
cheers
satorino
bbgold,
I am very happy to have mentioned Darvas to you gg.
satorino
LOL! Hi Steve,
The Darvas box is really simple to use and is the same as when I talk on MKTSS about watching to see if the Support or Resistance is Winning. It uses the same principles of whether or not a stock, or index, is having breakouts or breakdowns and if the previous resistance is broken and becoming support or if the previous support is broken and becoming resistance. Someone put up the link to the sethi.org website and that is what I have been using for the Darvas box charts. It really could use some tweeking to set up shorter timeframes on the boxes though. Here is the link
http://www.sethi.org/investments/darvas/
Just from watching PAYX today the box theory could have captured 3 of the stocks moves, $25 to 24.50, 24.50 to $25 and $25 back to 24.60. Not too bad for just triggering the trades off of the targeted support and resistance levels of the Box. I think that the Box theory could easily be applied to Any stock or index regardless of the trend. Using the SMAs as Support or Resistance could have also worked with PAYX and triggered a Short just below 25.75, or using a small box at 25.50. You just need to adjust your Darvas box to include the last support and resistance levels IMO. Using the Box might make it easier to see the actual trade triggers. As I have pointed out before, you just need to draw a line from the last resistance to get a resistance target and the last support to get a support target. If the resistance is broken and becomes support then you are uptrending. If the support is broken and becomes resistance then you are downtrending and you adjust your trade to be in line with the trend. Using the boxes as a visualization should definitely help IMO. You can even see them a little bit if you use the grids on the chart.
Good Trading Steve! :^)
Hey Bob,
You are getting into this Darvas Box?
I want to apply this method to my trading and I actually do but where have you found the tool to draw them on charts?
You know Bob you can't escape, I will follow you where ever you post,VBG.
Good trading Bob
steve
Interesting that DNDN is sitting at $4.32 again?
Are we back to the bottom of the box and at Support? :^)
Better view of PAYX Support at 24.50
I was just checking a shorter timeframe to see where PAYX might bounce and in this view you can clearly see where 24.50 was previous support and should have been the bottom of the short term box and could have possibly been used to lock in a short term profit on the Short. Watching now to see if the top of the box at $25 will continue to be resistance or not. A lot of volume coming in here but if $25 holds resistance then the longer term short could be held. A breakdown of 24.50 that holds resistance there could be a trigger to add to the Short and set it as a stop loss with anticipation of a retest of 24. That would make the box below the breakdown of 24.50 have a top at 24.50 and a bottom at 24. Anybody reading this and following what I am saying? <GG> :^)
Darvas Short on PAYX
The stock did indeed breakdown below the $25 level and that would now become the stop loss for the trade and the top of the new box. If PAYX did indeed move back above $25 and on Strong volume, as it did in Dec back above $27, then that would be the Darvas signal to go Long and use the $25 support level as a stop loss. For now the Short could be carried down to the previous support level near $24 and then monitored to see if that will hold support and indeed become the bottom of the new box or not. Since we are not sure where PAYX will find support the previous support level would be used. JMHO on how to use the Darvas method in any type of trend :^)
Another chart look at PAYX
If using only the box part of the Darvas method you could be Long PAYX here until the stock broke below the $25 level. The top of the current box would be at $26 resistance and the bottom at the $25 support. If PAYX dropped below the $25 support level you could go Short on the stock and use $25 as the top of your new box with the bottom of the box to be determined by where the stock next finds support. For now the $25 support level is holding. Can you see how the SMAs show the Support at the $25 level also? That is why I like to trigger Long or Short based on where a stock or index is trading in relationship to the SMAs. The SMAs will indicate whether the primary stock trend is finding Resistance or Support. If a Darvas box was drawn for PAYX in the middle of Dec when the resistance was 29 and the support was 28 then you can see how the move below the box, also shown by the SMA support, could have triggered a short. Let's see how it will work out here as PAYX has just hit $25. Time to see if it will stay in the box or Breakdown :^)
Using Darvas to Trade non-trending stocks
The key here is to set your Boxes wherever support is broken or resistance is broken. Here is a PAYX chart but you can see that the boxes are set for too long of a timeframe. If you shorten the boxes to just around a weeks timeframe and set your box tops at resistance and the bottoms at support then you can see that just about every week one of the boxes would be broken to the upside or the downside. The primary Trend in PAYX from 27 Nov until 18 Dec was down. You can see that the first weeks support was broken to the downside and became resistance in the middle of the diagramed box. If you were short PAYX from $30 resistance then when the support at 26.964 was broken you could have redrawn a new box top using 26.964, or $27, as your resistance level to be stopped out of the trade if looking to trade in a shorter timeframe. The breakout back above $27 would have had you exiting your $30 short as the new box top was broken. This breakout of the $27 resistance could have triggered a Long trade back to the top of your previous box resistance at $30 where you would once again look for the continued breakout. The breakout Failed to happen and you could have then closed your Long trade and once again gone Short using a breakout of the $30 level as your stop loss. Once the stock moved back below 26.964 support again you would lower your stop back to the $27 level and continue to hold short until that level is taken out to close your $30 short. If the stock moved below 23.968 you could add shares and once again lower your stop loss to that level to keep locking in profits on your short. That is how readjusting the Boxes to determine the Trend using the support and resistance levels could let you use the Darvas method in Any type of market. You just need to determine the timeframe you want to use for the trades and how tight you want to be with your stops to lock in profits and detect the change of trend signals. JMHO :^)
I guess that no one follows this board
The ingenuity behind the Darvas method is that you do not try to Guess the top or the bottom of a stocks price movement. If you are in an Uptrend, with the previous resistance becoming support once broken, you are not stopped out of a trade with your trailing stop until the stop loss order is triggered, and you are adding shares at every breakout. If you are buying at the breakouts and only triggering a stop if the new support level is broken you can take full advantage of an uptrend. From the posts I have read the uptrend that Darvas was involved in was indeed a Bullish market and his theory kept him only in the stocks that were Uptrending in that market. I am not sure if we will ever see another 18 month uptrend but his theory can also be used in a downtrend. If the previous support level is broken and becomes resistance then you can use a breakout above the previous resistance as your stop loss limit for a Short. If the stock is to continue downtrending then the previous support, once broken, should become resistance and you would continue to move your stop loss order down as the support levels continue to fail. If the stock eventually decides to reverse then whatever previous resistance level was at the top of the box will be broken and your stop loss order will be triggered. The only thing that you need to decide on is the timeframe. The iBox talks about the method being used in daytrading and indeed that is the theory behind most bar chart reversal patterns. If the previous resistance is broken and the price finds higher support then you have a Buy signal until that support is broken. If looking Short and the previous support is broken and the price sets a lower low then you have a Sell signal until the previous resistance is broken. The method can be applied to either Intraday, Daily, Weekly or Monthly charts. As long as you understand the theory behind support and resistance, when support is broken it will become resistance in a downtrend and when resistance is broken it will become support in an uptrend, you can use the Darvas method to keep you in a trade until the Trend is broken. I am sure that you have heard traders talk about a stock being a Buy if it moves above a certain level or a Sell if it moves below a certain level. They are watching to see if the Resistance or Support will be broken to trigger a trade. In Darvas theory that would be when the stock moved above or below the Box set by the previous support and resistance levels. You will often hear it as a Breakout or Breakdown of a stocks price. The SMAs can also be used for this purpose. Look at either an uptrend or a downtrend on Any stock or index and you can see where the Breakout or Breakdown of an SMA will be in line with the Breakout or Breakdown of the last Box in that timeframe. The only thing that you need to decide is which timeframe to look at. Are you going to trade Intraday, Daily, Weekly or Monthly charts and the Boxes that are formed by the support and resistance levels? Good Luck Satorino! :^)
Hi Leapyear,
I was wondering where you disappeared to? Darvas's box strategy looks interesting. As the saying goes "Keep it Simple". The use of the box theory works in that it keeps you invested in a stock that is in a Good trend. The trailing stop keeps you in the stock while it is uptrending and selling if the trend is broken using the theory that previous resistance should become support in an uptrend. If that support is violated the stop is triggered. The boxes could be used inversely when looking to Short a stock using the theory that previous support will become resistance in a downtrend. That means that any violation of the lower support level of the box could be used as a Short with a move back above that level (the top of the box) as the stop loss order for the Short. His method seems extremely logical in that it keeps you in the stocks that are Trending and has you exit the stock when the trend is broken. It looks as though it could easily be applied in either a Bull or Bear market depending on whether you are trading the stock Up or Down. It mearly targets the Support and Resistance levels and uses them to determine a Trend and keep you invested in it. I'll see if I can do some more DD on it. Just remember that middle of the boxes will be similar to using the SMAs as an indication of support or resistance since they are also calculated based on whether a stock or index is finding support or resistance at previous price levels. The boxes work better for setting top and bottom targets to look for. You can see in these charts where the reset box after the breakdown below 24 set the next boxtop near $25, right where the stock topped out near the SMA resistance. Not sure how long it took for the bottom of the box to form at 21.10 but Darvas' theory would have kept you Short until the $25 level was violated. Perhaps a smaller box should have been formed the week of Dec 27th as once that support level was violated it became resistance. Using the theory of support and resistance and how they relate to each other is what makes the Darvas system work IMO. A smaller box at the end of the chart might indicate that GSF has broken out of the box since $21 resistance has been broken. You can see in the lower chart when $21 resistance was taken out that the stock moved higher. I guess that it would depend on the timeframe you are looking for with a trade though.
Great Board Leapyear! Sincerely, Bob :^)
People might be interested in reading my exchange on the darvas boxes with gerryco.(it shold be read from the bottom if you are interested in the chronology of the discussion)
Good trading to all
From: "jim" <jim@gerryco.com> / This is Spam / Add to Address Book
To: "franky boy" <satorino12@yahoo.it>
Subject: Re: darvas boxes
Date: Sun, 2 Feb 2003 17:17:40 -0600
Franco,
No problem about posting my reply.
As soon as the price "violates" the top of the box, or the bottom of
the
box, you close out the current box, and start building a new box...
Lets say you purchased the stock at $10, and your current box is 22/27.
If the price exceeds 27, keep you stop-loss at 22, for now. TREAT
TODAY AS
DAY ONE, and start looking for a new box top using today's high and
low. In
no less than three days (including today), you may have a new box top.
After you have a box top, start looking for a box bottom. When you
have a
firm bottom (you now have a new box), move your stop-loss to the new
box
bottom.
If you have the same box, 22/27, and you own the stock, you should have
a
stop-loss set at 21 15/16. Right?!?! If the stock hits 21 15/16, your
broker will automatically sell your stock. Well, you have no shares,
TREAT
TODAY AS DAY ONE, and start looking for a new box top using today's
high and
low.
Regards,
Jim
----- Original Message -----
From: "franky boy" <satorino12@yahoo.it>
To: "jim" <jim@gerryco.com>
Sent: Sunday, February 02, 2003 4:22 PM
Subject: Re: darvas boxes
> Jim,
>
> Thank you so much for your kind reply. I see your
> point.
> I have two further questions:
> The first is that if you do not mind I would like to
> share your reply on the darvas message board. People
> might like reading it.
>
> The second is that it is not really clear to me how to
> construct the next box when the prices violates the
> present box on the down side. Do you revert to the
> previous lower box or do you have a system to
> construct a new one?
>
> Thank so much for your kind attention and apologies if
> I took too much of your time.
> Best regards,
> Franco
>
>
> --- jim <jim@gerryco.com> wrote:
> > Dear Franky-boy,
> >
> > Darvas' explanation is vague, and I assume you can
> > interpret this both ways.
> > I'll even go as far as to say, I could be wrong (in
> > a classical Darvas
> > interpretation), but... (and this is one big but),
> > Chun-Li needs to put the
> > system to work. Here's the bottom line, and let's
> > see if you agree...
> >
> > Would you rather have a box with a bottom of $20,
> > and a top of $27 or would
> > you rather have a box with a bottom of $22, and a
> > top of $27?" Let's put
> > the concept in terms of MONEY. People seem to
> > understand money a lot
> > better. If you purchased the stock at $10, do you
> > want to sell at $22 or
> > $20? I'd rather have my stop-loss set at $22 rather
> > than $20. I guess
> > Chun-Li would rather have his set at $20... Go
> > figure.
> >
> > Regards,
> >
> > Jim
> >
> > ----- Original Message -----
> > From: "franky boy" <satorino12@yahoo.it>
> > To: <contact.me@gerryco.com>
> > Sent: Sunday, February 02, 2003 7:58 AM
> > Subject: darvas boxes
> >
> >
> > > dear Gerry,
> > >
> > > I hope this message finds you well. And thank you
> > for
> > > your explanation of the Darvas boxes which was
> > quite
> > > useful to me.
> > > I have been trying to figure out more about the
> > system
> > > and I have been reading several sites on the
> > matter.
> > > For instance there is a good site on Ihub which
> > has
> > > some interesting postings. The best ones are athe
> > > following in my opinion:
> > >
> > >
> >
> http://www.investorshub.com/boards/read_msg.asp?message_id=595318
> > >
> >
> http://www.investorshub.com/boards/read_msg.asp?message_id=593385
> > > But for you very important is this:
> > >
> >
> http://www.investorshub.com/boards/read_msg.asp?message_id=594693
> > >
> >
> http://www.investorshub.com/boards/read_msg.asp?message_id=595099
> > >
> > > The last two seem to contradict somewhat your
> > > approach.
> > > I would very much appreciate to learn what you
> > think
> > > about it, if you care to comment.
> > >
> > >
> > > Thank you and best regards
> > > Franco
satorino
If buy and hold is still good for a person not willing to put in the time and effort, I'd be interested to know why you feel AIM isn't -- as far as I can tell you think it's bad because of Enron-like companies. However this is still a problem with the Buy and Hold strategy.
I'm interested in the Darvas method because I use trading strategies for my short-term investments and AIM for my long-term investments. So I'm looking for all sorts of information on various trading methods to be used in conjunction with AIM.
Do you have any historical results available?
Regards,
Mark
http://www.automaticinvestor.com
AIM is a poor trading technique but an excellent long-term investment technique. In most successful trading techniques you buy on strength and sell on weakness.
Investment techniques are the opposite. You buy on weakness and sell on strength (this idea was promoted by no less than Benjamin Graham). Investment techniques also require you study a stock to ensure it has good long-term potential.
Trading techniques don't require good long-term fundamentals because you're in and out in a relatively short time.
In both cases, you should also diversify your holdings to provide better risk protection.
In summary, you can't really compare the Darvas Method (a trading system) with AIM (an investing system). However I don't believe that's what Don was doing. He was simply showing how you could re-interpret an AIM chart to work like the Darvas method.
Regards,
Mark
http://www.automaticinvestor.com
>>I wonder how he figures he's better off with Buy and Holding as the stock tumbles from $50 to $1?<<
That online book was written long before our current bear, back when it was still fashionable to tell people to simply buy and hold. That's one reason I like to refer to that chapter, it describes the problems many people are running into now, and it was written before the bear happened.
Though even despite the current bear, I still agree with the book--for the typical person not willing to put in the time and effort, buy and mold is still a good thing to do. It will take some time, but even this bear will be in the past someday.
Gheeze Vibr8gKiwi, Darvas is indeed opposite of AIM. Take a look at Post #58 and #29, I was responding to MM about the 5% shadow that Darvas extended below the "Box"...In #58 I was illustrating how AIM could be used to estabish the boxes with the 5% shadow AND use Darvas trading strategy, not AIM trading (scale trading). i.e. select a stock and as long as new boxes are being defined upward...let the profits run, when the price breaks below the shadow area, sell.....not Scale Trading, but Darvas Trading.
I had to smile when I read your link on Scale Trading as the World's Worst Trading Strategy and discribes in great detail how bad it can be when a stock is bought at $50 and goes to $1 http://www.investopedia.com/university/fiveminute/fiveminute6.asp
Then the the author starts the very next Chapter out as "The Reverse Scale Strategy" and states in Bold letters "I want to emphasize that perhaps the best strategy of all, for most people, is to simply apply the stock picking criteria in the past chapters, then buy and hold their selected stocks without ever selling them."
Assuming the author had used the same stock picking strategies for Scale Trading and Reverse Scale Trading .... I wonder how he figures he's better off with Buy and Holding as the stock tumbles from $50 to $1?
Not only is this Darvas Method quite different than AIM, it is almost the exact OPPOSITE of AIM. Darvas buys strength, and adds when the stock moves in his favor and sells when the stock drops. AIM does the opposite and sells on strength and buys on weakness. They are complete opposite strats and make money in completely opposite ways. They also have opposite flaws and advantages.
AIM makes money off stock volatility--it sells off on strength and hopes to buy in again lower later. As a stock wanders up and down AIM buys dips and sells rallies making small consistent profits over and over. Its flaws are if a stock trends up, it sells off it shares and you miss the move. If a stock trends to the moon, AIM has sold out of it. If a stock trends down, AIM buys more and more, increasing risk. If a stock trends to 0, AIM has bought in massively and lost it all. AIM also, by buying weakness and selling strength, tends to "lock onto losers" shifting more and more of your money into weak stocks while selling out of your strong stocks. Obviously AIM likes wandering stocks and can buy and sell on waves to generate many small profits, but if it finds an Enron, it takes you to the poor house.
DM makes money by sticking to up trends and cutting losers short. Stocks wander more than they trend so DM is going to be stopped out a lot more often than not. However the few winners it gets make up for the losses because it adds to them and rides them as far as the trend goes. If a stock trends down it doesn't care, it's out of it. If a stock wanders it's out of it. If a stock trends up, it rides it making up for the many small losses it had until it found the winner. DM tends to “lock onto winners” because it sells losers and puts more into winners. It can make many small losses if it doesn’t find uptrenders, and if you hit enough of those losses in a row that can hurt, but if it finds a Microsoft, it makes you rich (the exact opposite of AIM). It also isn’t hurt when it finds an Enron because it sells out of it.
Some people think AIM (which is a type of Scale Trading) is one of the worst trading techniques, while its opposite (like the DM technique) is a much better way:
http://www.investopedia.com/university/fiveminute/fiveminute6.asp
I tend to agree with the thinking that AIM is a poor technique. However there are lots of AIM users on this board, and I'm sure they'd disagree with me.
Hello....
Hey there Don,
Well I never expected AIM to creep into this thread.
Just goes to show...you can run but you can't hide!
Cool chart! Thanks. I just bookmarked all the AIM threads and have plenty of reading to do. I can see quite a few similarities with Darvas. Thanks again, MM
MM, I'm not sure I remember how to post a chart... QQQ chart.
Where you see the red ticks, that would be equivalent to the Darvas upper Box line being exceeded and a new box developed.
So, if you bought at $50, the new boxes keep getting developed as the stock moves towards $120. Then as the price starts to move down, the lower box line is broken (the green + ) around $100 and the position would be closed out.
The reverse approach could be used as the stock moved downward.
Don Carlson
dcarlson007@msn.com
Don, I’m not familiar with the AIM formula or variants. Could you give a brief description? It’s my guess Darvas uses actual values while AIM uses stdDev around an optimal avg. One aspect of Zeev boxes I struggle with is outrageous bids. Limit buy orders a good distance below price without being so far away that they break support. That sounds like my understanding of what AIM does too. I think I need to take another look at AIM. I’m particularly interested in how it could build a box on top of a box. Or what causes box values to change. I guess that’s the buy sell safe values?
Regards, MM
MM, The 'shadow below the box' makes me think that the Darvas Method is somewhat of an AIM variation.
The B/S Safe values define the Box (and the shadow).
As a stock moves up AIM would normally indicate a Sell as the upper Box line is broken, but if you did a Veale, a new box would be defined.
The only other thing to do is to Sell(close out the position) when bottom box line is broken.
As Zeev indicated, in an upward market the weak stocks would drop out and the strong stocks would remain.
I prefer TS. I think eSignal needs to increase the intraday data beyond 60 days and add an optimization engine.
Hi MM, I've been reading this thread since it got heated up again, still have nothing to contribute ... but thinking of getting the new eSignal to do back testing. While I know you are a Tradestation user, do you know anyone or have you tried to use the back testing of eSignal? Is it good? TIA!
signed,
Bernard
Excellent. Your notes are the first attempt I’ve seen on iHub to document a consistent approach. Originally I mentioned Oddball on the MDA thread during a discussion of absolute values. Quite a few people feel absolutes don’t exist in TA.
The discussion was moved here by Chun Li because Oddballs comparison of today’s vol to yesterday’s vol mimics an aspect of Zeev boxes known as specific volume. Specific volume is the 3rd dimension of Zeev boxes.
Oddball’s weakness is it doesn’t use stops or consider price at all. It needs a price movement filter like Darvas. And Darvas needs something non colinear with price like volume.
Final Comments.
- Even if I'm not using real money yet, I take the decisions to buy and sell in real time. (if I'm in front of the computer when the signal is given --otherwise I use a time and price biased to the "worst" case)
I've been running this program only for 6 days, so any conclusions are likely to be very premature, but I'll throw a couple anyway:
- I'm using 1% and 3% as triggers for going short, and long. The actual data values are usually far more extreme than that. I was tempted to change them to (let's say) -15% and +15% but it doesn't seem to affect the results much. (and the "one trade per day only" rule takes care of the whipsaws better, it seems)
- SPY seems to have less volatility than QQQ, but ADVN seems to be more sensitive than ADVNQ. ADVN has triggered changes earlier than ADVNQ in all cases. (so far, of course) It would be interesting to trade QQQ using ADVN as trigger.
I'll keep testing this system as it looks that there might be something to it.
If there's interest I'll keep on posting results as they become available.
This is the log and trades for the Oddball System applied to Nasdaq.
Key to columns:
Time; Yesterday ADVNQ; Today ADVNQ; QQQ Price; ADVNQ % Change; S=Short L=Long
QQQ
12/03/02
09:45: 1730 711 27.40 -58.90 S
10:00: 1852 739 27.27 -60.10 S
10:15: 1817 779 27.25 -57.13 S
10:30: 1697 847 27.28 -50.09 S
10:45: 1598 835 27.10 -47.75 S
11:00: 1552 840 27.22 -45.88 S
11:15: 1534 857 27.22 -44.13 S
11:30: 1587 880 27.15 -44.55 S
11:45: 1600 870 27.09 -45.62 S
12:00: 1640 844 27.02 -48.54 S
12:15: 1651 845 27.00 -48.82 S
12:30: 1654 868 27.06 -47.52 S
12:45: 1684 892 27.14 -47.03 S
13:00: 1694 904 27.08 -46.64 S
13:15: 1675 934 27.23 -44.24 S
13:30: 1688 966 27.23 -42.77 S
13:45: 1655 1003 27.28 -39.40 S
14:00: 1598 1013 27.14 -36.61 S
14:15: 1593 1021 27.14 -35.91 S
14:30: 1547 1039 27.20 -32.84 S
14:45: 1532 1086 27.23 -29.11 S
15:00: 1554 1108 27.19 -28.70 S
15:15: 1549 1175 27.32 -24.14 S
15:30: 1596 1154 27.24 -27.69 S
15:45: 1618 1107 27.08 -31.58 S
16:00: 1692 1072 27.10 -36.64 S
12/04/02
09:45: 711 547 26.55 -23.07 S
10:00: 739 595 26.38 -19.49 S
10:15: 779 707 26.40 -9.24 S
10:30: 847 736 26.42 -13.11 S
10:45: 835 815 26.47 -2.40 S
11:00: 840 841 26.42 0.12 S
11:15: 857 883 26.39 3.03 L
11:30: 880 866 26.35 -1.59 S
11:45: 870 925 26.39 6.32 L
12:00: 844 981 26.41 16.23 L
12:15: 845 1040 26.40 23.08 L
12:30: 868 1057 26.50 21.77 L
12:45: 892 1060 26.46 18.83 L
13:00: 904 1098 26.49 21.46 L
13:15: 934 1131 26.51 21.09 L
13:30: 966 1124 26.43 16.36 L
13:45: 1003 1125 26.40 12.16 L
14:00: 1013 1106 26.28 9.18 L
14:15: 1021 1126 26.38 10.28 L
14:30: 1039 1148 26.46 10.49 L
14:45: 1086 1251 26.74 15.19 L
15:00: 1108 1342 26.83 21.12 L
15:15: 1175 1397 26.89 18.89 L
15:30: 1154 1387 26.79 20.19 L
15:45: 1107 1382 26.64 24.84 L
16:00: 1072 1339 26.58 24.91 L
12/05/02
09:45: 547 1069 26.63 95.43 L
10:00: 595 1006 26.58 69.08 L
10:15: 707 1077 26.66 52.33 L
10:30: 736 1175 26.63 59.65 L
10:45: 815 1075 26.47 31.90 L
11:00: 841 1108 26.48 31.75 L
11:15: 883 1063 26.29 20.39 L
11:30: 866 1040 26.21 20.09 L
11:45: 925 1065 26.25 15.14 L
12:00: 981 1089 26.28 11.01 L
12:15: 1040 1106 26.31 6.35 L
12:30: 1057 1153 26.39 9.08 L
12:45: 1060 1165 26.35 9.91 L
13:00: 1098 1159 26.28 5.56 L
13:15: 1131 1158 26.29 2.39
13:30: 1124 1157 26.29 2.94
13:45: 1125 1245 26.45 10.67 L
14:00: 1106 1287 26.43 16.37 L
14:15: 1126 1347 26.59 19.63 L
14:30: 1148 1330 26.44 15.85 L
14:45: 1251 1343 26.48 7.35 L
15:00: 1342 1323 26.33 -1.42 S
15:15: 1397 1338 26.28 -4.22 S
15:30: 1387 1325 26.33 -4.47 S
15:45: 1382 1313 26.25 -4.99 S
16:00: 1339 1276 26.22 -4.70 S
12/06/02
09:45: 1069 572 25.98 -46.49 S
10:00: 1006 729 26.12 -27.53 S
10:15: 1077 1001 26.41 -7.06 S
10:30: 1175 1087 26.26 -7.49 S
10:45: 1075 1220 26.44 13.49 L
11:00: 1108 1199 26.38 8.21 L
11:15: 1063 1224 26.37 15.15 L
11:30: 1040 1285 26.35 23.56 L
11:45: 1065 1376 26.39 29.20 L
12:00: 1089 1359 26.44 24.79 L
12:15: 1106 1351 26.43 22.15 L
12:30: 1153 1418 26.43 22.98 L
12:45: 1165 1461 26.43 25.41 L
13:00: 1159 1433 26.43 23.64 L
13:15: 1158 1458 26.41 25.91 L
13:30: 1157 1480 26.44 27.92 L
13:45: 1245 1604 26.58 28.84 L
14:00: 1287 1663 26.60 29.22 L
14:15: 1347 1714 26.64 27.25 L
14:30: 1330 1717 26.63 29.10 L
14:45: 1343 1732 26.61 28.96 L
15:00: 1323 1691 26.44 27.82 L
15:15: 1338 1670 26.49 24.81 L
15:30: 1325 1641 26.38 23.85 L
15:45: 1313 1697 26.45 29.25 L
16:00: 1276 1766 26.50 38.40 L
12/09/02
09:45: 572 716 26.15 25.17 L
10:00: 729 872 26.23 19.62 L
10:15: 1001 874 25.97 -12.69 S
10:30: 1087 900 25.91 -17.20 S
10:45: 1220 939 25.87 -23.03 S
11:00: 1199 892 25.75 -25.60 S
11:15: 1224 885 25.77 -27.70 S
11:30: 1285 877 25.71 -31.75 S
11:45: 1376 822 25.56 -40.26 S
12:00: 1359 784 25.59 -42.31 S
12:15: 1351 815 25.62 -39.67 S
12:30: 1418 802 25.57 -43.44 S
12:45: 1461 1013 25.64 -30.66 S
13:00: 1433 1006 25.67 -29.80 S
13:15: 1458 995 25.65 -31.76 S
13:30: 1480 973 25.55 -34.26 S
13:45: 1604 971 25.51 -39.46 S
14:00: 1663 971 25.49 -41.61 S
14:15: 1714 982 25.55 -42.71 S
14:30: 1717 986 25.65 -42.57 S
14:45: 1732 990 25.56 -42.84 S
15:00: 1691 1011 25.52 -40.21 S
15:15: 1670 1016 25.56 -39.16 S
15:30: 1641 1004 25.45 -38.82 S
15:45: 1697 953 25.40 -43.84 S
16:00: 1677 932 25.38 -44.42 S
12/10/02
09:45: 716 1357 25.48 89.53 L
10:00: 872 1455 25.45 66.86 L
10:15: 874 1525 25.61 74.49 L
10:30: 900 1510 25.48 67.78 L
10:45: 939 1548 25.64 64.86 L
11:00: 892 1574 25.60 76.46 L
11:15: 885 1641 25.68 85.42 L
11:30: 877 1701 25.84 93.96 L
11:45: 822 1756 25.87 113.63 L
12:00: 784 1798 25.85 129.34 L
12:15: 815 1800 25.80 120.86 L
12:30: 802 1797 25.80 124.06 L
12:45: 1013 1805 25.77 78.18 L
13:00: 1006 1853 25.84 84.19 L
13:15: 995 1847 25.80 85.63 L
13:30: 973 1835 25.81 88.59 L
13:45: 971 1865 25.86 92.07 L
14:00: 971 1881 25.92 93.72 L
14:15: 982 1907 25.86 94.20 L
14:30: 986 1893 25.80 91.99 L
14:45: 990 1857 25.74 87.58 L
15:00: 1011 1883 25.78 86.25 L
15:15: 1016 1830 25.67 80.12 L
15:30: 1004 1879 25.79 87.15 L
15:45: 953 2014 25.84 111.33 L
16:00: 932 2014 25.62 116.09 L
Trades:
12/03/02 10:15:00 SHORT QQQ @27.25
12/04/02 11:15:00 LONG QQQ @26.39
12/05/02 15:00:00 SHORT QQQ @26.33
12/06/02 10:45:00 LONG QQQ @26.44
12/09/02 10:05:00 SHORT QQQ @26.02
12/10/02 09:35:00 LONG QQQ @25.50
Each trade closes the previous position, and opens a new one at the price and side shown.
This is the log and trades for the Oddball System applied to NYSE.
Key to columns:
Time; Yesterday ADVN; Today ADVN; SPY Price; ADVN % Change; S=Short L=Long
SPY
12/03/02
09:45: 2006 846 93.15 -57.83 S
10:00: 2111 926 93.05 -56.13 S
10:15: 1993 999 93.03 -49.87 S
10:30: 1853 1118 93.10 -39.67 S
10:45: 1732 1037 92.76 -40.13 S
11:00: 1648 1107 92.95 -32.83 S
11:15: 1684 1179 93.10 -29.99 S
11:30: 1705 1139 92.80 -33.20 S
11:45: 1719 1133 92.68 -34.09 S
12:00: 1708 1120 92.41 -34.43 S
12:15: 1755 1119 92.58 -36.24 S
12:30: 1764 1142 92.66 -35.26 S
12:45: 1811 1170 92.72 -35.39 S
13:00: 1818 1160 92.67 -36.19 S
13:15: 1796 1215 92.84 -32.35 S
13:30: 1805 1256 92.85 -30.42 S
13:45: 1749 1254 92.70 -28.30 S
14:00: 1696 1243 92.60 -26.71 S
14:15: 1687 1258 92.64 -25.43 S
14:30: 1657 1306 92.88 -21.18 S
14:45: 1685 1345 92.92 -20.18 S
15:00: 1716 1336 92.85 -22.14 S
15:15: 1683 1421 93.10 -15.57 S
15:30: 1735 1370 92.71 -21.04 S
15:45: 1778 1337 92.55 -24.80 S
16:00: 1825 1265 92.60 -30.68 S
12/04/02
09:45: 846 930 91.95 9.93 L
10:00: 926 955 91.72 3.13 L
10:15: 999 987 91.79 -1.20 S
10:30: 1118 1042 92.00 -6.80 S
10:45: 1037 1222 92.23 17.84 L
11:00: 1107 1226 92.11 10.75 L
11:15: 1179 1219 91.95 3.39 L
11:30: 1139 1158 91.85 1.67
11:45: 1133 1187 91.90 4.77 L
12:00: 1120 1272 92.14 13.57 L
12:15: 1119 1278 92.10 14.21 L
12:30: 1142 1337 92.29 17.08 L
12:45: 1170 1347 92.22 15.13 L
13:00: 1160 1430 92.33 23.28 L
13:15: 1215 1476 92.26 21.48 L
13:30: 1256 1448 92.16 15.29 L
13:45: 1254 1444 92.02 15.15 L
14:00: 1243 1377 91.78 10.78 L
14:15: 1258 1390 91.99 10.49 L
14:30: 1306 1429 92.06 9.42 L
14:45: 1345 1564 92.77 16.28 L
15:00: 1336 1641 92.80 22.83 L
15:15: 1421 1725 93.10 21.39 L
15:30: 1370 1659 92.74 21.09 L
15:45: 1337 1628 92.46 21.77 L
16:00: 1265 1578 92.34 24.74 L
12/05/02
09:45: 930 1270 92.10 36.56 L
10:00: 955 1073 91.85 12.36 L
10:15: 987 1133 91.97 14.79 L
10:30: 1042 1196 91.87 14.78 L
10:45: 1222 1059 91.48 -13.34 S
11:00: 1226 1099 91.46 -10.36 S
11:15: 1219 1037 91.20 -14.93 S
11:30: 1158 1072 91.23 -7.43 S
11:45: 1187 1130 91.35 -4.80 S
12:00: 1272 1156 91.32 -9.12 S
12:15: 1278 1157 91.37 -9.47 S
12:30: 1337 1167 91.39 -12.72 S
12:45: 1347 1194 91.31 -11.36 S
13:00: 1430 1206 91.28 -15.66 S
13:15: 1476 1232 91.29 -16.53 S
13:30: 1448 1265 91.25 -12.64 S
13:45: 1444 1339 91.58 -7.27 S
14:00: 1377 1371 91.64 -0.44 S
14:15: 1390 1491 91.87 7.27 L
14:30: 1429 1415 91.65 -0.98 S
14:45: 1564 1453 91.80 -7.10 S
15:00: 1641 1360 91.41 -17.12 S
15:15: 1725 1371 91.33 -20.52 S
15:30: 1659 1346 91.39 -18.87 S
15:45: 1628 1326 91.30 -18.55 S
16:00: 1578 1289 91.17 -18.31 S
12/06/02
09:45: 1270 760 90.55 -40.16 S
10:00: 1073 957 90.87 -10.81 S
10:15: 1133 1354 91.36 19.51 L
10:30: 1196 1314 91.03 9.87 L
10:45: 1059 1419 91.35 33.99 L
11:00: 1099 1343 91.20 22.20 L
11:15: 1037 1411 91.31 36.07 L
11:30: 1072 1450 91.32 35.26 L
11:45: 1130 1591 91.43 40.80 L
12:00: 1156 1584 91.50 37.02 L
12:15: 1157 1560 91.56 34.83 L
12:30: 1167 1628 91.64 39.50 L
12:45: 1194 1686 91.70 41.21 L
13:00: 1206 1645 91.54 36.40 L
13:15: 1232 1692 91.56 37.34 L
13:30: 1265 1752 91.60 38.50 L
13:45: 1339 1866 91.85 39.36 L
14:00: 1371 1938 91.93 41.36 L
14:15: 1491 1982 91.92 32.93 L
14:30: 1415 1955 91.80 38.16 L
14:45: 1453 1964 91.88 35.17 L
15:00: 1360 1874 91.48 37.79 L
15:15: 1371 1869 91.52 36.32 L
15:30: 1346 1840 91.30 36.70 L
15:45: 1326 1882 91.57 41.93 L
16:00: 1289 1979 91.76 53.53 L
12/09/02
09:45: 760 862 91.11 13.42 L
10:00: 957 1012 91.39 5.75 L
10:15: 1354 1042 91.01 -23.04 S
10:30: 1314 1077 90.92 -18.04 S
10:45: 1419 1124 91.00 -20.79 S
11:00: 1343 1092 90.76 -18.69 S
11:15: 1411 1107 90.84 -21.54 S
11:30: 1450 1092 90.64 -24.69 S
11:45: 1591 1044 90.42 -34.38 S
12:00: 1584 998 90.45 -36.99 S
12:15: 1560 1007 90.38 -35.45 S
12:30: 1628 995 90.37 -38.88 S
12:45: 1686 1014 90.39 -39.86 S
13:00: 1645 1018 90.54 -38.12 S
13:15: 1692 1015 90.40 -40.01 S
13:30: 1752 1002 90.35 -42.81 S
13:45: 1866 991 90.22 -46.89 S
14:00: 1938 986 90.10 -49.12 S
14:15: 1982 1020 90.38 -48.54 S
14:30: 1955 1093 90.67 -44.09 S
14:45: 1964 1047 90.40 -46.69 S
15:00: 1874 1042 90.39 -44.40 S
15:15: 1869 1053 90.49 -43.66 S
15:30: 1840 995 90.05 -45.92 S
15:45: 1882 958 89.92 -49.10 S
16:00: 1908 938 89.91 -50.84 S
12/10/02
09:45: 862 1669 90.06 93.62 L
10:00: 1012 1700 90.16 67.98 L
10:15: 1042 1760 90.22 68.91 L
10:30: 1077 1660 89.90 54.13 L
10:45: 1124 1689 90.08 50.27 L
11:00: 1092 1648 90.04 50.92 L
11:15: 1107 1750 90.17 58.08 L
11:30: 1092 1852 90.48 69.60 L
11:45: 1044 1878 90.53 79.89 L
12:00: 998 1908 90.50 91.18 L
12:15: 1007 1866 90.45 85.30 L
12:30: 995 1906 90.35 91.56 L
12:45: 1014 1891 90.35 86.49 L
13:00: 1018 1921 90.44 88.70 L
13:15: 1015 1904 90.38 87.59 L
13:30: 1002 1958 90.50 95.41 L
13:45: 991 1984 90.59 100.20 L
14:00: 986 1992 90.74 102.03 L
14:15: 1020 2008 90.60 96.86 L
14:30: 1093 2006 90.60 83.53 L
14:45: 1047 1998 90.54 90.83 L
15:00: 1042 2008 90.52 92.71 L
15:15: 1053 1981 90.39 88.13 L
15:30: 995 2034 90.77 104.42 L
15:45: 958 2249 90.99 134.76 L
16:00: 938 2249 91.06 139.77 L
Trades:
12/03/02 10:15:00 SHORT SPY @93.03
12/04/02 09:45:00 LONG SPY @91.95
12/05/02 10:45:00 SHORT SPY @91.48
12/06/02 10:10:00 LONG SPY @91.25
12/09/02 10:03:00 SHORT SPY @91.00
12/10/02 09:35:00 LONG SPY @90.18
Each trade closes the previous position, and opens a new one at the price and side shown.
MM, thank you for the link!
I have been very busy, and I was not able to implement the Darvas method yet, but the Oddball system looked intriguing, and much easier to test.
As I didn't have historical data available (till now) I did a smal program to "forward test" it. (See more details below) When I have some free time I'll adapt it to test the historical data you provided.
This is what I did with the Oddbal System so far:
My program "forward tests". That means that it collects RT data and applies Oddball to it as it comes.
I run two independent tests, one for NYSE, and another for Nasdaq.
I use &ADVN and &ADVNQ (as numbers of advancing issues for NYSE and Nasdaq) and SPY and QQQ as the stocks that are bought and sold.
I keep data points each 15 minutes for archival purposes, but the percentage of change is calculated every minute or so against yesterday's value closest in time. (i.e. today's 10:12 &ADVN against yesterdays 10:12 &ADVN value)
I place trades as they present themselves, and not in restrospect. (Except for the first day) At first I followed the rule of not operating before 10AM but I broke it today as the % was way over 100%.
I added an arbitrary rule to avoid whipsaws: (and pattern day-trading) Only one trade per day. So far it has served well.
In the following EMails I'll post data and trades for the last 6 days. (All I have so far...)
MM, I can't remember where I got the idea, but here is a post in which I put up some charts I made using the idea -- sort of. #msg-575988
MDA Thread #board-1320
Turnips Thread #board-1125
Trading Info #board-1220
That's interesting and yes I agree your math converts it to percentages. If you remember where you got the idea I'd like to look into it further.
OOPS! Yeah, you're right. I was thinking of net percentage positive/negative volume. For that one would want to do it differently, no?
Net Percentage Up Volume (NPUV) would be figured:
NPUV = UV / (UV + NV + DV)
and
Net Percentage Down Volume (NPDV) would be:
NPDV = DV / (UV + NV + DV)
Where
UV = Up Volume
NV = Non-Changed Volume
DV - Down Volume
Does that seem right?
The only reason I ask is because I have been reading about some woman who has supposedly used Net Up/Down volume to pick tops and bottoms very successfully. (Can't remember the name or where I read it though.)
MDA Thread #board-1320
Turnips Thread #board-1125
Trading Info #board-1220
PPT #board-1280
Nasdaq: $ADVQ minus $DECLQ = $ADDQ.
Nyse: $ADV minus $DECL = $ADD.
I've never fooled around with vol much but just did some simple subtraction and Advancing minus Declining equals the nasdaq net $ADDQ. It follows that
+1 for 1 advance.
-1 for 1 decline.
0 for 1 unchanged.
equals the same without considering the zero for unchanged issues. Essentially each type is assigned a weight from -1 to +1 with unchanged issues assigned a weight of zero.
I might be wrong about that.
MM, shouldn't "Net Advancing Issues" take into account unchanged issues?
MDA Thread #board-1320
Turnips Thread #board-1125
Trading Info #board-1220
PPT #board-1280
You can calculate the NET manually from the components. If you find the name for nyse net please let me know. I looked at $ISSU but it doesn't add up like it should.
Nasdaq: $ADVQ minus $DECLQ = $ADDQ.
Nyse: $ADV minus $DECL = $????.
Just advancing.
$ADVQ at eSignal
I'm curious if you used Net Advancing issues? That's advancing minus declining issues. What symbol and data provider?
I am shocked at the recent action. Been away on business and trying to catch up.
Great stuff!
A google search came up /w these references.. Quite an extensive list
http://www.google.ca/search?q=%22Darvas+box%22&ie=ISO-8859-1&hl=en&meta=
I've been interested in this concept for quite some time
Thanks for setting up this board.
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