Trend1, on a 5 min chart of rut, do you see a beautiful wedge that is about to break down?
jim

For any ema, if price > ema, ema is going up; if price < ema, ema is going down; if price = ema, ema is flat.
That's just by math, regardless the ema number and time period being used.

jim

Poker,

Whoever wrote that piece is a liar. He/she changed the numbers!
Please read the actual document on millitary death at:
http://www.fas.org/sgp/crs/natsec/RL32492.pdf

See page 10 and page 11.
In particular, read the collumn on death due to hostile action on page 11. There is one such death in Carter/Clinton years, the lion's share of death is in Bush Jr years.

jim

According to Wikipedia, ethanol produces 23.5 MJ/L, regular gas produces 34.8 MJ/L. That is 32.5% less energy.

If I make a trip from San Diego to New York, with a fuel efficient car, I would need about 100G of regular gas.

To make the same trip, I would need 103.4G of Gasohol (10% ethanol and 90% regular gas), which is made of 93G of regular gas and 10.4G of ethanol.

With best estimate of energy gain of 1.34 in US conversion from corn to ethanol, 10.4G of ethanol would need 10.4/1.34=7.71G of gas eqqivalent energy to make it. Hence, the trip using gasohol actually consumes 93+7.71 = 100.71G regular gas.

In order to make 10.4G ethanol in the US from corn, we also need 10.4*26.1 = 271.4 pounds of corn, which is about one person one year's grain consumption world average.

Therefore, by switching to gasohol from regular gas, this one trip did not save any energy need, and it deprived one person's grain supply for a whole year; it also waisted all the money that goes as subsidy to ethanol companies; it also emmitted all the polutions during the production of ethanol; not to mention causing seriel, dairy, and meat prices to go up.

CaribbeanJim, CaptJ, Kovu,...

Profunds ultraJapan follows the closing price (4:00pm East time) of CME nikk futures; ultra-international follows the us closing price of CME MSCI EAFE futures; ultra-emerging market follows us closing price of Bank of New York Emerging market ADRE index.

The underlining instruments are truly traded during the us market open time only.

stockcharts probably did not get the updated price, Profund homepage shows ultrajapan as the highest gaining fund with 2.8%.

Click on my name and find the earlier post.

5ema did not make a local peak on 6/8,6/9.

Per the trin reversal rules posted several weeks ago, the trin also nailed both major turns of the month:
6/2 short
6/13 long


http://stockcharts.com/h-sc/ui?s=$TRIN&p=D&yr=0&mn=4&dy=0&id=p61032447855

There was a long piece either on PBS or on 60 minutes explaining why the CPI is misleading these days. The essences goes like:

-starting from Nixon days, the gov began looking into CPI engineering, and they perfected it in the 90s
-the motivation was to keep the SS commitment within check
-the brilliant idea was to replace a basket of fixed items by a basket of items "people acually buy"
-items going up in price are replaced with cheaper ones every year
-they argue that if the price of levi jeans goes up, people will buy other jeans from walmart, so the walmart jeans is an item that people actually buy and therefore the basket should "reflect" that.

This CPI engineering allows the gov to effectively control the mean value of the CPI by appropriate replacement. The monthly reported CPI is just noise around the mean.

To multiple people:

1) Hope the link below works.
2) It not a trading system, it is just yet another way of generating buy/sell signals
3) The higher low on the trinq at yesterday morning did not hold in the end. So no sell from this signal.
4) Rewording: sell signal = "trinq makes higher low" & "trinq 5 ema makes a higher low" & "all 4 lows are below 26 ema on the corresponding dates" & "$compq price today is higher than on the date of the lower trinq low". See 1/12 as example.
5) waiting for trinq to move higher and then make a higher low to generate a sell signal.

http://stockcharts.com/h-sc/ui?s=$TRINQ&p=D&yr=0&mn=6&dy=0&id=p84599135469

Steve,

I look at trinq for buy signals when both trinq and its 5ema make lower high above 26ema, while market makes lower low.

All such cases in the last 6 months are: 1/1/06, 2/7, 2/22, 3/13, 3/23, 4/11, 5/3, 5/24.

The opposite is used for sell signal.

All signal dates in the last 6 months are: 1/12, 2/16, 3/6, 3/21, 4/7, 4/19(trinq not higher), 5/9.

Put these in line you have:

1/01: buy
1/12: sell
2/07: buy
2/16: sell
2/22: buy
3/06: sell
3/13: buy
3/21: sell
3/23: buy
4/07: sell
4/11: buy
4/19: sell
5/03: buy
5/09: sell
5/24: buy

6/01: trinq is making a higher low.


http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$trinq,uu[g,a]dallnnay[dc][pc5!...

edit: having trouble showing image. Just bring up a six months $trinq plot with 5 and 26 ema.

Thanks. On the daily, it bounced off the mid band on Friday. If it goes below, comes back up, but gets rejected by the mid line, do you think that would be a good point to short again? sort of like 2/9.

http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$xau,uu[g,a]daclynay[dc][pc7!b4....

Yes, the weekly xau gave negative divergence in RSI and PPO. Do you anticipate the correction to last weeks (like 1/06-3/06) or months (like 11/04 -5/05)? Thanks.
http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$xau,uu[g,a]waclynay[de][pc7!b4...

Thanks for your comments on Japan, USD and the 8y cycle. What's your thought on emerging markets, are they going to be in sync with the 8y cycle? I read someone arguing for the emerging markets growth. The profunds ultra emerging market is doing great.

Are we at a similar point as April 04? Negative divergence on RSI, PPO and DIs. Your comments appreciated.
Jim
http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$nikk,uu[g,a]waclynay[df][pc13!...

1) the xau out performance over ndx may be ending, as indicated by the positive divergence in RSI, PPO, and ADX on the NDX:xau chart.
2) negative divergence in RSI, PPO and ADX in both the daily and weekly chart of xau.

Jim

http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$ndx:$xau,uu[g,a]daclynay[dd][p...
http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$xau,uu[g,a]daclynay[dd][pc13!d...
http://stockcharts.com/def/servlet/SharpChartv05.ServletDriver?chart=$xau,uu[g,a]waclynay[de][pc13!d...

Yes.

How about place it where the RSI is, that is, whenever the RSI is to be activated you also check NAMO.

Regarding the maximum possible, don't worry. Based on EOD, 1/1/86 to 4/28/06 max return is 4210573289911850000000000000.00 times if you capture everyday's move in the correct direction.

Just by eyeballing for 05-06 data, the use of "NAMO reversal" and RSI extreme can sigificantly improve the accuracy of catching market reversals.

Strong version of "NAMO reversal" uses lower peak or higher bottom:
"NAMO neg reversal" is defined as a) NAMO today < yesterday, and b) NAMO yesterday > the day before, and c) NAMO yesterday < previous 10 day maximum - 5.
"NAMO pos reversal" is defined as a) NAMO today > yesterday, and b) NAMO yesterday < the day before, and c) NAMO yesterday > previous 10 day minimum + 5.

Weak version uses a simple reversal: e.g. NAMO today < previous 10 day max - 5.

The number 10 or 5 can be optimized.
RSI 30/70 was used in eyeballing.

The RSI low for bear of (3, 39.4) seems to boost return.

The third number is set to one, if the ppo function asks for 3 numbers.

Tclark and Capt_J,

The high returns can be partially accredited to treaking or curve-fitting and partially to the strategy. See the treaking numbers below (>2000000%). The curve-fitting part can not be expected to work for the future, but the strategy part should hold for the future.

The strategy is sound: ppo identifies trend, tend following via EMA crossing, extreme RSI anticipates trend change, and hard stop corrects bad luck.

Let's say 3/4 of the gain is due to teaking and 1/4 due to strategy. That gives 500000%, which is still excellent. But you would like to carry at least some of the curve-fitting gains forward. The question is how!

Here is a suggested plan on how:

1. test forward carrying capability: optimize the parameters based on N years (say 5) and apply the parameters for the following year, repeat this on a rolling base to get 20-N data points, analyze the forward carrying capability.
2. test if optimized parameter change can identify market condition change: optimize parameter for N years, optimize parameter for the following year, compare the two set, repeat this on a rolling base, analyze
3. test an adaptive version: optimise parameter over N years (a smaller N, say 1 or 2 or 0.5), optimize parameter from beginning to N years ago, use a weighted average of the two sets of parameter for next year, repeat this on a rolling base, analyze results
4. instead of carrying forward for one full year, try partial year.

Jim

Long Short Target
Stop: 15.33%, 1.85%, 18.20%
VTO bull: 25.75, 44; bear: 28, 37
PPO(3,10) <> 2.31
Short RSI(4) > 46.25
NDX EMA: 10
NASI EMA: 5, 24

1986: 25.90%
1987: 65.01%
1988: 29.43%
1989: 20.34%
1990: 34.54%
1991: 76.86%
1992: 103.73%
1993: 40.64%
1994: 37.08%
1995: 111.93%
1996: 85.38%
1997: 103.09%
1998: 70.59%
1999: 53.52%
2000: 200.30%
2001: 186.27%
2002: 75.81%
2003: 55.64%
2004: 16.10%
2005: 10.12%
86-95 Avg: 54.55%
96-05 Avg: 85.7%
20yrs Avg: 70.11%
compound: 63.66%
Accumulat: 2010845%

Another suggestion: use recent average of Vix to adjust the RSI5 buy threshold. For low vix, use higher threshold such as 30 or even 32; but as vix moves higher, reduce the threshold to 28, 25, 20, or even 10.
Jim

Here is a suggetion:

When a RSI buy is stopped out, use a RSI14 positive divergence to initiate a rebuy; when a RSI/DI short is stopped out, use RSI14 negetive divergence to reshort.

Jim

As far as I can tell, it is exactly 2X the size of the 1X B&H drawdown.

On the 2X trade, do you hold the same number of shares until the signal to sell the long or short, which may be several days after the initial long or short signal?

This might not be the right intentional thing to do. If you are using profunds, the equivalent number of NDX shares (or QQQQ share) is re-established at the end of the day each and every day. Say NDX rises 5% each day for 5 days in a row. The profunds way will give you a profit of (1+2*5%)^5-1 = 61.05%. If you use the orignal # of shares and double the profit at the exit time, you get a profit of 2*{(1+5%)^5-1}=55.25%, which is less but not a big difference. But if the market falls 10% a day for 6 days in a row, with profund way you have a loss of (1-2*10%)^6-1=-73.79%, whereas if you hold the original number of shares, your loss would be 2*{(1-10%)^6-1)}=-93.71%. Seven days in a row will be -79% vs -104%.

The profunds way gives you more profit on the way up and more protection on the way down.

Doing the profunds way would require you to re-establish the number of shares after each day of trading.

Does all this make sense?

Jim

Yes I understand it is 2X.
The blue line seems to have stayed above 0, that means the draw down never reached -100%. At -100%, you lose everything and can never recover.
How does Amibroker define "draw down"?

Can you plot the bottom pane with log scale for the vertical axis?

Thanks for the excellent work.

Jim

How can B/H have a draw down of more than -160%?
For an account balance to become negative, it requires single day drop of more than 50%. That has never happened. Then the draw down should never reach -100% (which means account balances 0).

How is "draw down" defined in your system?

Jim

Just want to mention that, profunds precious metals fund tracks $djgsp not $djuspm, as Steve also pointed out before.

Jim

The trinq intraday buy signal did not pan out last Wednesday, but it showed up as an EOD signal. Hope it will work for tomorrow. It has worked great on $djussc recently.

http://stockcharts.com/c-sc/sc?symbol=$TRINQ&p=D&yr=0&mn=10&dy=0&id=p39006513613

Jim

Post from 3/8:
>>
>>trinq is currently giving a buy signal.
>>
>>signals from recent past:
>>2/16 sell
>>2/6 buy
>>1/12 sell
>>1/1 buy
>>12/12 sell
>>10/28 buy

trinq is currently giving a buy signal.

signals from recent past:
2/16 sell
2/6 buy
1/12 sell
1/1 buy
12/12 sell
10/28 buy

tclark1,
So what is the logic used to generate the "current" column?
Thanks,
Jim

No. Use the formula I gave in the previous post.

For your example of +50% and then -25%, the correct average annual return is {(1+0.5)*(1-0.25)}^(1/2) -1 = 0.0607 = 6.07%.

For k years with returns r1, r1, ... rk, the correct average annual return is {(1+r1)*(1+r2)*...*(1+rk)}^(1/k)-1.

The post you replied to gives Excel formula for computing this.

Jim

suppose collumn C contains the returns for each year.
put =log10(1+C5) in collumn, say, N.
=10^(average(N5:N14)-1 computes the average compound return of those 10 years.

e.g., ndx96-05 correct return is 10.91% per year, not 19.69% as shown in the spreadsheet.

wild_card,

If you put 1 or 2 in cell M$4, then the following formula for collum L computes the 1x or 2x results:

L75
=IF(N74="long",L74*(1+M$4*(E75/E74-1)),IF(N74="short",L74*(1-M$4*(E75/E74-1)),L74))

And =((L5122/10000)^0.05-1)*100 computes the 20 year compound annual return.

(edit: in the program sheet)

Arithmatic mean of annual returns is not very meaningful. For example, if year 1 has return of 100% and year 2 has -50%, the average of two is 25%. However, the actual total gain is actually 0%, which is dramatically different from 25%.

Jim

Intresting to notice that in 91, 2x has nearly tripple the return of 1x, whereas in 2001 2x and 1x have about the same return.

In the table below, 1x return is from wild_card's v3.1 logic. It is close to what wild_card posted before, but not exact match.

2x return is computed by doubling the dollar amount of the daily gain or loss. (In the previous post, results were obtained by doubling the daily percentage gain or loss. quite a bit difference.)

All using NDX EOD data.

Year 2x Return 1x return
1986 35.55% 17.73%
1987 121.00% 58.18%
1988 55.15% 26.41%
1989 50.91% 23.96%
1990 27.03% 15.39%
1991 280.83% 99.48%
1992 79.59% 36.64%
1993 88.12% 39.17%
1994 52.64% 25.25%
1995 216.92% 82.47%
1996 211.17% 80.96%
1997 211.72% 83.15%
1998 187.03% 78.66%
1999 241.66% 95.47%
2000 62.64% 49.41%
2001 37.42% 36.10%
2002 79.87% 46.96%
2003 56.66% 29.33%
2004 103.05% 44.92%
2005 21.08% 11.10%
86-95 avg 100.77% 42.47%
96-05 avg 121.23% 55.61%
20 yr avg 111.00% 49.04%

compound 97.52 46.60%

look under wild_card's name, a couple days back.

That's the simple average. The 20-year compound annual return is 114.92%