m********0
发帖数: 2717 | 1 Someone on this board mentioned the limitation of Technical Analysis not
long ago, so I decided to amuse ppl here and myself by introducing some of
my understanding of TA here. Of course, my knowledge of the market is still
very limited, and I might change my understanding, maybe even during the
discussion.
if you dont believe or disagree in what I am going say thats ok i dont mind
you trying to embarrass me. Most people lack is the ability to listen to
others’ opinion, especially in a cyberworld where I see dirty joke, fight
and performing art every day. If by any chance I made you re-think what you
thought you knew for a long time, I will be very glad and willing to discuss
, for those who have urges to kick me, I don’t think it’s worthy of my
response, so please don’t waste your time. | r*m
发帖数: 16380 | | l**********o
发帖数: 9952 | | r*m
发帖数: 16380 | 4 翻译很快很专业！
【在 l**********o 的大作中提到】
: 支持股神！
| w*********7
发帖数: 2883 | | g********5
发帖数: 10335 | 6 re daniu! haha
still
mind
you
discuss
【在 m********0 的大作中提到】
: Someone on this board mentioned the limitation of Technical Analysis not
: long ago, so I decided to amuse ppl here and myself by introducing some of
: my understanding of TA here. Of course, my knowledge of the market is still
: very limited, and I might change my understanding, maybe even during the
: discussion.
: if you dont believe or disagree in what I am going say thats ok i dont mind
: you trying to embarrass me. Most people lack is the ability to listen to
: others’ opinion, especially in a cyberworld where I see dirty joke, fight
: and performing art every day. If by any chance I made you re-think what you
: thought you knew for a long time, I will be very glad and willing to discuss
| l**********o
发帖数: 9952 | 7 靠，就差一秒钟啊，被你抢了股神的沙发！
【在 r*m 的大作中提到】
: 翻译很快很专业！
| j*****h
发帖数: 3292 | | w******s
发帖数: 16209 | 9 英文太流利了。
【在 m********0 的大作中提到】
: Someone on this board mentioned the limitation of Technical Analysis not
: long ago, so I decided to amuse ppl here and myself by introducing some of
: my understanding of TA here. Of course, my knowledge of the market is still
: very limited, and I might change my understanding, maybe even during the
: discussion.
: if you dont believe or disagree in what I am going say thats ok i dont mind
: you trying to embarrass me. Most people lack is the ability to listen to
: others’ opinion, especially in a cyberworld where I see dirty joke, fight
: and performing art every day. If by any chance I made you re-think what you
: thought you knew for a long time, I will be very glad and willing to discuss
| g********5
发帖数: 10335 | 10 看到美女来了
村神翻墙也要上来啊 啊？
哈哈
【在 w******s 的大作中提到】
: 英文太流利了。
| | | m********0
发帖数: 2717 | 11 I don't want to get into the meaningless argue of TA and FA, or XA. As a
retail speculator(I never think the it’s the holding term that separate
speculators and investors), to choose TA has subjective and objective
reason.
There is a wild spectral to make money in nowadays market. Futures/spot,
Futures calendar spread, different futures spread, ETF and underlying,
currencies triangles, volatility, dividend arbitrage, macro, co-
integrated pairs, regression analysis, sentiment, momentum, statistical
arbitrage, depressed investment, market making to name a few. But with
very limited capital(<100 million) and energy, most retailer would
choose some directional way with limited empirical level learning. I am
no exception.
Maybe my background is more quantitative, but the most important reasons
are, it’s much tougher to test if you can use FA to profit in a
consistent manner. I did read Lynch’s book, but I don’t like the fact,
very likely it takes years to verify, and I only have one life to spend
(just think about at what age those famous fundamental guys became
famous). Very likely, I might suddenly find myself at age of 60, OMG, I
am not that one guy out of a million who was smart enough to have bought
XXX when it’s at YYY by value evaluation) Next reason is a great
portion of TA is well defined (patterns are somehow ambiguous). But most
FA is very tough to copy, even you have some friends who are
historically very good at FA, it’s tough to learn it from him. Well, you
can easily copy a piece of code or a descriptive sentence to make profit
without asking what your friend bought/going to buy.
It is also the trend, that quantitative approach exceeds fundamental
approaching as we have much more liquidity and much more powerful
computing power. After all, it’s only my personally choice. We face such
choice on probably every aspect of our lives. Linux and Windows, Google
and Bing, Android and OS, straight or homosexual, going back to China or
staying in US. Spending too much time on such issue is a waste of time
IMHO. | l*******e
发帖数: 42 | 12 please do not copy from someone. LOL | m********0
发帖数: 2717 | 13 for me, and likely most ppl, trading is to make money. that's the first
target. (It might be a fun thing to burn capital if you have multi-million
to billion). So
What is more important than why, IMO.
you would often hear statement after some stock drops to a certain level and
then rebounce. TA ppl might claim like this
"reached a critical support level and failed to break it, and made a second
attempt(which is often called RETEST) and failed again, double failure is
often a strong reversal signal..."
FA ppl might see it differently,
the cashflow is still strong, that company has even more cash than current
market cap. There will be other value investors like me jumping to buy it
and push it up.
Which one is correct? well if you think it's was the first one, such pattern
also fails from time to time. If you prefer the second one, remember, maybe
80-90% of volume(for stocks) are high frequency trading volume, it's indeed
more or less a process of pre-defined auction algorithms to fight with each
other intraday.
People trades based on what he/she thinks/understands the current market
condition, while it's the market who decide the risk and reward who doesn't
care about anyone's intrepretation as individule.
for example, in the paper "Foundations of Technical Analysis"
http://web.mit.edu/alo/www/Papers/1705-1765.pdf
there is an example about intrepretations,
The presence of clearly identified support and resistance levels, coupled
with a one-third retracement parameter when prices lie between them,
suggests the presence of strong buying and selling opportunities in the near
-term.
with this one:
The magnitudes and decay pattern of the first twelve autocorrelations
and the statistical significance of the Box-Pierce Q-statistic suggest the
presence of a high-frequency predictable component in stock returns. | m********0
发帖数: 2717 | 14 Thank you for your remind,
Yeah, some sentences look familiar.
I typed most of words, and borrowed one or two sentences from somewhere
else
, only because I didn't get a better way to state it in a short time.
My understanding comes from the reading and learning from here and there.
And I might agree this point on this person and that point from another
point. I can assure you I know and thought about all what I stated other
than just being a parrot.
Since my only purpose is to discuss and maybe learn from it.
Do you feel comfortable if I continue? or I have no problem to stop and
remove posts.
【在 l*******e 的大作中提到】
: please do not copy from someone. LOL
| g********5
发帖数: 10335 | 15 veli good post,haha please continue....
【在 m********0 的大作中提到】
: Thank you for your remind,
: Yeah, some sentences look familiar.
: I typed most of words, and borrowed one or two sentences from somewhere
: else
: , only because I didn't get a better way to state it in a short time.
: My understanding comes from the reading and learning from here and there.
: And I might agree this point on this person and that point from another
: point. I can assure you I know and thought about all what I stated other
: than just being a parrot.
: Since my only purpose is to discuss and maybe learn from it.
| j*****h
发帖数: 3292 | | m********0
发帖数: 2717 | 17 我只写了个开头，突然忘记自己刚才想写的了。 那就不讲究逻辑框架，想到哪写到哪？
【在 j*****h 的大作中提到】
: 下面还有么有啊？
| j*****h
发帖数: 3292 | | c**o
发帖数: 3531 | | l******n
发帖数: 507 | | | | m********0
发帖数: 2717 | 21 One more points on interpretation. IMHO, trading is applied science, the
form of interpretation is just like the language you speak, it doesn't
matter as long as it's expressive and logically sound.
You will often hear statement like, "if TA signal matters FA analysis (from
a TA believer's point of view), or vice versa, it's a strengthen to the
signal". I accepted this argument without thinking long time ago.
Now if I understand two different approach as different interpretations of
same stuff, I doubt it. Why? Because FA or both TA and FA is very subjective
. When you have a TA signal and you are a TA person, it's very hard to be
mutual. you will subconsciously try to find TA to support your original idea
. I don't know in what percentage the incline affects your judgment, but it
has some bias. Another reason is like, if something is red, A says it's red,
B says it's red too, it does not make it redder.
While one might also claims, TA signal will bring TA players to buy(sell),
if FA gives a buy signal too, it will generate more bullish view, and more
buyers(sellers) means more momentum. Right, the % of fundamental players
might not be low in terms of capital. But the % of trading volume of these
players is relatively, and unsynchronized. So at this point, I will neither
accept nor reject this statement and keep benign skeptical as usual.
philosophy is luxury, I will skip for a while. | p****0
发帖数: 611 | 22 顶好文。
美女继续。
from
subjective
idea
【在 m********0 的大作中提到】
: One more points on interpretation. IMHO, trading is applied science, the
: form of interpretation is just like the language you speak, it doesn't
: matter as long as it's expressive and logically sound.
: You will often hear statement like, "if TA signal matters FA analysis (from
: a TA believer's point of view), or vice versa, it's a strengthen to the
: signal". I accepted this argument without thinking long time ago.
: Now if I understand two different approach as different interpretations of
: same stuff, I doubt it. Why? Because FA or both TA and FA is very subjective
: . When you have a TA signal and you are a TA person, it's very hard to be
: mutual. you will subconsciously try to find TA to support your original idea
| m********0
发帖数: 2717 | 23 when I try to learn trading like one year ago, I started with indicators,
cause this is very well-defined and I like well-defined stuff(less ambiguity
and argument). I didn't dig into how these indicator was invented as I was
too busy to make quick money. a group of indicators works well for me for a
while(i didn't mean they stop working now, but I tried too many instruments,
basically everything, literally, I can trade with IB, and changed style
frequently). If I look back, I would think it's ok to do so if one enjoys it
. But eventually, for most of us, you will focus on a small number of
instruments, maybe only one or two, and fixed your style. One better do.
Back to the point, I read about 100 books(20% worthy the time), 20 blogs(non
-BS blogs) and around 50 different academic papers in trading. From point to
point, I have some shift in my understanding. For example, | e*******e
发帖数: 1357 | | m********0
发帖数: 2717 | 25 When I read some books focusing on price actions, I was attracted by the
preface, as it explains another methodology well and why others works
not so
good (Bar to Bar is a good example, the author claimed he tried
hundreds of
indicators and designed some, but he turned into a pattern reader guy
in
the end).
It might be an AD strategy, but I really like the idea to make things as
simple as it could, You must have heard such saying" simple method often
works best". It's attractive too, the only problem is one can find an
infinite number of examples to prove it and disprove it. I still believe
in
price actions, it's a good way of interpretation, (again, I like this
word)
HH, HL, why HL follows with HH? cause ppl buy at different time and have
different profit targets. so some ppl will take profit ahead of others
along
with some other short sellers(timid trials) to make HL.
I made a lot practice before on it, like I made comments on this one
after market,
it works, but it needs a lot more to make it work. I didn't manage
everything well and lose some patience during live trading, like the
second
one, basically made all the common beginner's mistakes in a short time. | l****t
发帖数: 235 | 26 Today's paper about TA on Yahoo finance:
http://goo.gl/XO17S | m********0
发帖数: 2717 | 27 attachment size limited in one thread, so attach it here.
Please criticize how many mistakes I made, to list a few:
counter-trend,
emotionally removed stop order,
over-trading,
change style from tape reading to intraday swing arbitrarily.
and? | m********0
发帖数: 2717 | 28 brief? I am lazier and lazier :D
【在 l****t 的大作中提到】
: Today's paper about TA on Yahoo finance:
: http://goo.gl/XO17S
| l****t
发帖数: 235 | 29
Before Wall street has a clear picture of tomorrow, more and more of them
simply look at past :)
【在 m********0 的大作中提到】
: brief? I am lazier and lazier :D
| m********0
发帖数: 2717 | 30 draw back with price actions?
It's semi-good-defined, which makes it hard to backtest, it also means the
profitability is individually dependent.
Defenders might say, you have to combine it with good risk management,
and good mindset, specially be open-minded. Be skeptical anytime, and when
market changes, accept and adaptive to it in real time. Right, these will
never be overstated. But every trend has its end, it might be as tough to
see its end as to see its begin. And it works with a number of exceptions in
between. The underlying theory of price actions(eg, action and reaction) is
psychology. With the % of discretionary traders keeps decrease, the theory
will be gradually unrooted | | | m********0
发帖数: 2717 | 31 Good to know, FLOCKING is good for systematic trading.
【在 l****t 的大作中提到】
:
: Before Wall street has a clear picture of tomorrow, more and more of them
: simply look at past :)
| G*******m
发帖数: 16326 | | G*******m
发帖数: 16326 | 33 快点儿，up or down tomorrow ? | i*u
发帖数: 299 | | m********0
发帖数: 2717 | 35 patterns and EMA
I just attached a stock graph, piece of cake for TAers right? | m********0
发帖数: 2717 | 36 I will just read from left to right without adding more lines to make
another commented graph.
I used mostly EMA20, green one, and occationally EMA50, red one.
1. price breaks down EMA20, downtrend
2. price breaks both EMA20 and EMA50, confirmed,
3. waited for a rebounce, and EMA20 croos EMA50 (I am not familiar with
terminology like gold crossing, dead crossing), might to short
4. price breaks both again, short confirmed.
5. at around time 35, it's another short opportunity during downtrend
when
price rebounces to somewhere around EMA20, might trapped if some ppl
didn't
notice failed HH
6. at round time 50, probably a typical RSI bullish divergence by
eyeballing
, confirmed with a bull bar.
....
7. a cycle of bullish trend until time 90.
8. typical header and shoulder, bearish, short it.
9. then a serial bearish movement, every rebounce touches EMA20 is a
entry(
re-entry) of short. yes, you can even draw a straight trendline,
or trend channel if you like. And it is possible, take any financial
stock, eg. BAC, MS, it's in such period.
....
10. at around 200, we have a period of ranging market with probably a
horizontal support,
11. range breakout
12. whatever
Perfect reading for TA ers right?? | m********0
发帖数: 2717 | 37 The thing is the it's not a graph for any stock. I just make it with the
following R code,
require(TTR)
ret<-cumsum(rnorm(252,sd=0.036))
ret2<-exp(ret)
p<-50*ret2
ma20<-SMA(p,20)
ema20<-emaTA(p,20)
ema50<-emaTA(p,50)
plot(p, type="l")
lines(ema20, type="l",col='green')
lines(ema50, type="l",col='red')
and I used lognormal distribution for the returns, textbook assumptions
for
a big group of models.
skeptic(as exists everywhere), yes, I borrowed this idea from ET. Please
don
't rush to criticize, I credit it to whoever played this trick first. My
intention is, as stated at the every beginning, is to amuse. And for me,
I
just want to reproduce it with my benign skepticism.
First, as I said, the drawback for most of the analysis above is it's
vaguely defined, if you are good enough, you can calculate/estimate the
probability of having a header and shoulder pattern in a given time
window,
a given distribution of random walk and a given definition of header and
shoulder.
Second, is this assumption sound? the normal distribution of
log(return)?
Few ppl questioned it when see it. But it's the fundamental of many
security
pricing model. As for equity, I ran a normal test [JB method] for about
7200 US equity symbol in my own database (grabbed it from yahoo).
Only 10 or so could pass the normal test with 95% confidence interval.
If you like, here's the code,
require(RODBC)
require(quantmod)
require(TTR)
require(PerformanceAnalytics)
library(fTrading)
con<-odbcConnect("Stock")
sym<-sqlQuery(con,("select distinct Symbol from Stock.dbo.stock_daily
order
by Symbol"))
numSym<-dim(sym)[1]
write.table("Symbol,p-Value,nobs,NAs,Minimum,Maximum,1. Quartile,3.
Quartile
,Mean,Median,Sum,SE Mean,LCL Mean,UCL
Mean,Variance,Stdev,Skewness,Kurtosis"
,
file = "basicStat.csv", eol="", row.names=FALSE,
col.names=
FALSE, quote=FALSE)
for (i in (1:numSym)){
sb<-sym$Symbol[i]
print(i)
data<-sqlQuery(con,paste("select distinct [Date], [Close] from
Stock.dbo.
stock_daily where Symbol = '"
, sb, "' order by [Date] Asc", sep = ""))
ret<-log(data[1:dim(data)[1]-1,2]/data[2:dim(data)[1],2])
stat<-basicStats(ret)
normtest<-normalTest(ret,method="jb", na.rm=TRUE)
write.table(paste("\n", sb, ",", normtest@test$p.value, sep=""),
file="
basicStat.csv", append=TRUE, eol=",", row.names=FALSE, col.names=FALSE,
quote=FALSE)
write.table(stat, file = "basicStat.csv", append=TRUE, eol=",",
row.names=
FALSE, col.names=FALSE, quote=FALSE)
}
Here's some of questions,
what you expected the top 20 normal symbols to be? I will attach the
result
tomorrow. good distribution means more tradable or tougher to trade? | M*****8
发帖数: 17722 | 38
..................
开始即使跌，后来会更高 --- 最新预测。
当然不能，也不，保证必然会如此。
【在 G*******m 的大作中提到】
: 快点儿，up or down tomorrow ?
| w*****7
发帖数: 5038 | 39 太牛了
一定要继续
【在 m********0 的大作中提到】
: I will just read from left to right without adding more lines to make
: another commented graph.
: I used mostly EMA20, green one, and occationally EMA50, red one.
: 1. price breaks down EMA20, downtrend
: 2. price breaks both EMA20 and EMA50, confirmed,
: 3. waited for a rebounce, and EMA20 croos EMA50 (I am not familiar with
: terminology like gold crossing, dead crossing), might to short
: 4. price breaks both again, short confirmed.
: 5. at around time 35, it's another short opportunity during downtrend
: when
| w*******o
发帖数: 6125 | 40 你只开始trading一年多，大背景都是牛市，很多东西在牛市都work在熊市就不work，
反之亦然。TA，我还是那个观点，信书，但不能尽信书，而且不要以为可以找到永远
work的setup,我觉得
是有if not...then not...,但是没有if...then...的。
【在 m********0 的大作中提到】
: when I try to learn trading like one year ago, I started with indicators,
: cause this is very well-defined and I like well-defined stuff(less ambiguity
: and argument). I didn't dig into how these indicator was invented as I was
: too busy to make quick money. a group of indicators works well for me for a
: while(i didn't mean they stop working now, but I tried too many instruments,
: basically everything, literally, I can trade with IB, and changed style
: frequently). If I look back, I would think it's ok to do so if one enjoys it
: . But eventually, for most of us, you will focus on a small number of
: instruments, maybe only one or two, and fixed your style. One better do.
: Back to the point, I read about 100 books(20% worthy the time), 20 blogs(non
| | | m********0
发帖数: 2717 | 41 我觉得你的问题在于一开始就树立了一个假想敌。
assume我怎么怎么样，然后对这个assumption发出责难。
譬如你觉得trade一年多的人一定比十年的人经验少吗？
我现在基本都是以1min，5min的strategy为主，到现在也就写了一个开头。也许你耐心等我写
完，会重新认识我的理解。
在这样的time frame，加上我trade过的其他商品，每天我都可能遇到我的timeframe下
的大牛市，大熊市，去看看棉花，大熊市了快半年了吧。
如果你从头看到尾，你知道我最强调的就是benign skeptical，不知道你为什么觉得我是
那种死读书，机械运用的一类。
我写这些主要是amusement的目的，当然我不可能让每个人都happy。不过我在第一篇就
写了，
能认真听别人的意见的人本来就很少，我一点也不意外，你还是以那个论调来打一个空
靶子。
【在 w*******o 的大作中提到】
: 你只开始trading一年多，大背景都是牛市，很多东西在牛市都work在熊市就不work，
: 反之亦然。TA，我还是那个观点，信书，但不能尽信书，而且不要以为可以找到永远
: work的setup,我觉得
: 是有if not...then not...,但是没有if...then...的。
| w*******o
发帖数: 6125 | 42 发点不同声音而已，不是责难，请继续。
【在 m********0 的大作中提到】
: 我觉得你的问题在于一开始就树立了一个假想敌。
: assume我怎么怎么样，然后对这个assumption发出责难。
: 譬如你觉得trade一年多的人一定比十年的人经验少吗？
: 我现在基本都是以1min，5min的strategy为主，到现在也就写了一个开头。也许你耐心等我写
: 完，会重新认识我的理解。
: 在这样的time frame，加上我trade过的其他商品，每天我都可能遇到我的timeframe下
: 的大牛市，大熊市，去看看棉花，大熊市了快半年了吧。
: 如果你从头看到尾，你知道我最强调的就是benign skeptical，不知道你为什么觉得我是
: 那种死读书，机械运用的一类。
: 我写这些主要是amusement的目的，当然我不可能让每个人都happy。不过我在第一篇就
| S*****y
发帖数: 567 | 43 can u recommend some books for ta?
心等我写
我是
【在 m********0 的大作中提到】
: 我觉得你的问题在于一开始就树立了一个假想敌。
: assume我怎么怎么样，然后对这个assumption发出责难。
: 譬如你觉得trade一年多的人一定比十年的人经验少吗？
: 我现在基本都是以1min，5min的strategy为主，到现在也就写了一个开头。也许你耐心等我写
: 完，会重新认识我的理解。
: 在这样的time frame，加上我trade过的其他商品，每天我都可能遇到我的timeframe下
: 的大牛市，大熊市，去看看棉花，大熊市了快半年了吧。
: 如果你从头看到尾，你知道我最强调的就是benign skeptical，不知道你为什么觉得我是
: 那种死读书，机械运用的一类。
: 我写这些主要是amusement的目的，当然我不可能让每个人都happy。不过我在第一篇就
| m********0
发帖数: 2717 | 44 I will do in the following post.
【在 S*****y 的大作中提到】
: can u recommend some books for ta?
:
: 心等我写
: 我是
| S*****y
发帖数: 567 | 45 thanks ~~~~~
【在 m********0 的大作中提到】
: I will do in the following post.
| C*******i
发帖数: 2131 | | m********0
发帖数: 2717 | 47 I was over-reacting, sorry.
I agree with you consistency is the key. And I always believe in consistency
makes ATM.
Market evolves, a lot strategies works well does not work any more.
Meanwhile, there are more strategies been created, more systematic framework
, more computing power to search patterns, even patterns like short X every
trading day around XX:XX(maybe combined with market up/down for that opening
). I have a few candidates in my mind.
And there are different *market inefficiency* if you like this term, under
different frequencies. I didn't notice that before. Once I talked to a guy
with some high frequency experience, he asked me what books I read on it. I
mentioned the Irene Bridge's book, He said it's very introductory and poorly
written book. I probably read first half of the book one year ago, and the
only thing from the author originally, is probably one paper only.
She claimed RSI(don't remember it's RSI(2) or RSI(14)) also works under high
frequency(micro-second). Now I think the conclusion makes some sense if it'
s RSI(2). but still it's more or less a joke. As the form of RSI is purely
empirical and it's basically a polynomial function under taylor expansion. I
think hard and hard, still am not able to connect it with any form of
theory. I guess the original idea of this indicator was
just to find a simple function to map the return into a fixed region with
bell shape distribution. It does so in a very concise way(RSI(2) is
different). But to apply this to micro-second level, it won't work well as
the distribution of returns are different, and it's different inefficiency.
One will expect higher Kurtosis. There are so theory on high frequency data,
like bid-ask spread bounce,
if we have the same probability to achieve bid and ask prices(spread took by
bidder or asker), then we will have negative lag one auto-correlation and
zero high lag auto-correlation.
to explain it in an easy way, prices is mean reversal (in next period only)
if both sides has same pressure. That's probably why RSI2 works if you saw
the distribution and auto-correlation of RSI2.
【在 w*******o 的大作中提到】
: 发点不同声音而已，不是责难，请继续。
| y****i
发帖数: 5690 | 48 说中文多好啊 看懂了
心等我写
我是
【在 m********0 的大作中提到】
: 我觉得你的问题在于一开始就树立了一个假想敌。
: assume我怎么怎么样，然后对这个assumption发出责难。
: 譬如你觉得trade一年多的人一定比十年的人经验少吗？
: 我现在基本都是以1min，5min的strategy为主，到现在也就写了一个开头。也许你耐心等我写
: 完，会重新认识我的理解。
: 在这样的time frame，加上我trade过的其他商品，每天我都可能遇到我的timeframe下
: 的大牛市，大熊市，去看看棉花，大熊市了快半年了吧。
: 如果你从头看到尾，你知道我最强调的就是benign skeptical，不知道你为什么觉得我是
: 那种死读书，机械运用的一类。
: 我写这些主要是amusement的目的，当然我不可能让每个人都happy。不过我在第一篇就
| g****u
发帖数: 695 | 49 首先对 LZ 的认真态度和下的功夫表示大赞。你写的我都认真读过了。
但对 TA，我说个我的态度仅供 LZ 参考：不同的市场条件下，总有一些 TA methods 是
有效的。难的不是 given market conditions 然后找到这些 TA methods，而是
make sure these market conditions still valid in the next trading
period. 问题在于我说的 market conditions 是没有办法 explicitly 的研究和
定义的。所以判别 market conditions 本身我认为是 impossible 的，所以我总的
结论是 TA cannot keep profitable over long-term.
consistency
framework
every
opening
【在 m********0 的大作中提到】
: I was over-reacting, sorry.
: I agree with you consistency is the key. And I always believe in consistency
: makes ATM.
: Market evolves, a lot strategies works well does not work any more.
: Meanwhile, there are more strategies been created, more systematic framework
: , more computing power to search patterns, even patterns like short X every
: trading day around XX:XX(maybe combined with market up/down for that opening
: ). I have a few candidates in my mind.
: And there are different *market inefficiency* if you like this term, under
: different frequencies. I didn't notice that before. Once I talked to a guy
| w*****7
发帖数: 5038 | 50 2020的英文很不错
你
居然看不懂
【在 y****i 的大作中提到】
: 说中文多好啊 看懂了
:
: 心等我写
: 我是
| | | m********0
发帖数: 2717 | 51 I made a false assumption on previous post, RSI2 could be used both way(
momentum or mean-reverse), I did not know it has possitive
autocorrelation
for five minutes day of ESH1. let me try to understand it this way, as
it
has a concave shape, when you get in the middle 50,
RSI2= 50[1-(P-N)/(P+N)]
P-positive return for 2 periods
N-negative return for 2 periods,
you are having a balance between bid and ask, and it will be short
lived,
just like a pendulum, it will spend least time in the middle.
You will expect a jitter to break the balance, and turn into imbalance.
> table.Autocorrelation(rsi2)
NA
rho1 0.5164
rho2 0.2669
rho3 0.1399
rho4 0.0694
rho5 0.0273
rho6 0.0034
Q(6) p-value 0.0000
WHY?
because if bid and ask was balanced, there will be less or no trading. | m********0
发帖数: 2717 | 52 谢谢，我也认真读了你的观点。
我准备写一些跟你观点接近的东西，但是还没来得及。
你说的那问题是很核心的，我也想了一些点子来尝试一下。
具体到细节，理解不是都一样。求同存异一点问题没有。
是
【在 g****u 的大作中提到】
: 首先对 LZ 的认真态度和下的功夫表示大赞。你写的我都认真读过了。
: 但对 TA，我说个我的态度仅供 LZ 参考：不同的市场条件下，总有一些 TA methods 是
: 有效的。难的不是 given market conditions 然后找到这些 TA methods，而是
: make sure these market conditions still valid in the next trading
: period. 问题在于我说的 market conditions 是没有办法 explicitly 的研究和
: 定义的。所以判别 market conditions 本身我认为是 impossible 的，所以我总的
: 结论是 TA cannot keep profitable over long-term.
:
: consistency
: framework
| c*******o
发帖数: 1722 | 53 How did you find out the second part?
~~~~~~~~~~~~
【在 p****0 的大作中提到】
: 顶好文。
: 美女继续。
:
: from
: subjective
: idea
| l**********o
发帖数: 9952 | | g*****u
发帖数: 14294 | | x****7
发帖数: 895 | 56 赞。期待继续.
【在 m********0 的大作中提到】
: 谢谢，我也认真读了你的观点。
: 我准备写一些跟你观点接近的东西，但是还没来得及。
: 你说的那问题是很核心的，我也想了一些点子来尝试一下。
: 具体到细节，理解不是都一样。求同存异一点问题没有。
:
: 是
| j*****h
发帖数: 3292 | 57 王二大牛不出来
有其他大牛出来消火么？
楼主请接着写，虽然我都不用，
LP不肯帮我编程，逼着老子走FA的路啊
【在 m********0 的大作中提到】
: 我觉得你的问题在于一开始就树立了一个假想敌。
: assume我怎么怎么样，然后对这个assumption发出责难。
: 譬如你觉得trade一年多的人一定比十年的人经验少吗？
: 我现在基本都是以1min，5min的strategy为主，到现在也就写了一个开头。也许你耐心等我写
: 完，会重新认识我的理解。
: 在这样的time frame，加上我trade过的其他商品，每天我都可能遇到我的timeframe下
: 的大牛市，大熊市，去看看棉花，大熊市了快半年了吧。
: 如果你从头看到尾，你知道我最强调的就是benign skeptical，不知道你为什么觉得我是
: 那种死读书，机械运用的一类。
: 我写这些主要是amusement的目的，当然我不可能让每个人都happy。不过我在第一篇就
| p********n
发帖数: 2046 | 58 With the Algo systems,round numbers(100+) on your chart are not significant
anymore.
【在 m********0 的大作中提到】
: When I read some books focusing on price actions, I was attracted by the
: preface, as it explains another methodology well and why others works
: not so
: good (Bar to Bar is a good example, the author claimed he tried
: hundreds of
: indicators and designed some, but he turned into a pattern reader guy
: in
: the end).
: It might be an AD strategy, but I really like the idea to make things as
: simple as it could, You must have heard such saying" simple method often
| m********0
发帖数: 2717 | 59 You meant whole numbers on the graph of Crude Oil I commented?
I disagree, as I heard
1. managers pay extra attentions on such levels,
eg. EUR 1.40, CL 100, ES 1000,
2. Psychological level for non-automatic traders
I don't know if algorithmic system(I think it's systematic, algo is about
execution), takes extra weightings on whole/round numbers in general,
but based on my observation with 5min trading on crude oil for a month, more
than 70% of the time, it breaks up/down a whole numbers, you have an edge
to take the momentum for a profit like $0.30 (I seldom use trailing stop).
It's one of my strategies.
significant
【在 p********n 的大作中提到】
: With the Algo systems,round numbers(100+) on your chart are not significant
: anymore.
| c**t
发帖数: 9197 | | | | m********0
发帖数: 2717 | 61 ignore my first reply, I did a simple test on CLM1,
it looks no edge to catch the short term momentum after crossing some
whole numbers,
I put some trades on CL based on this idea, I guess the sample data
(about one month) is too small for any conclusion.
It's more from empirical observations, but disappointingly, I have to
question it now and be neutral before making more test to prove or
disprove it.
some of the basic test is the time it spent with in 0-0.5, round(p)-p.
most of commodities has strong momentum in 5 minutes frame,
if it spends less time in 0->0.25 than 0.25->0.5, we have some edge
chase it when price breaks whole number from up/down side.
here's the a simple graph on break/out whole number.
significant
【在 p********n 的大作中提到】
: With the Algo systems,round numbers(100+) on your chart are not significant
: anymore.
| m********0
发帖数: 2717 | 62 frequency profile
mag = round(close) - close
【在 m********0 的大作中提到】
: ignore my first reply, I did a simple test on CLM1,
: it looks no edge to catch the short term momentum after crossing some
: whole numbers,
: I put some trades on CL based on this idea, I guess the sample data
: (about one month) is too small for any conclusion.
: It's more from empirical observations, but disappointingly, I have to
: question it now and be neutral before making more test to prove or
: disprove it.
: some of the basic test is the time it spent with in 0-0.5, round(p)-p.
: most of commodities has strong momentum in 5 minutes frame,
| f******d
发帖数: 6361 | 63 妞妞你真有意思，有空看看这本书：
QUANTITATIVE TRADING HOW TO BUILD YOUR OWN ALGORITHMIC TRADING BUSINESS
by Ernie Chan | m********0
发帖数: 2717 | 64 read it long long long time ago,
said many many many times it's for beginner,
not a very practical book
I finished it in half day.
for me, the only interesting sentence in this book is something
"he claimed he turned some of the most unprofitable strategies(by
backtesting) into some of the most profitable strategies he used in
live trading"
I never doubt that, but it's not informative.
I don't know if he is as lame as his book or he withheld too many
details.
【在 f******d 的大作中提到】
: 妞妞你真有意思，有空看看这本书：
: QUANTITATIVE TRADING HOW TO BUILD YOUR OWN ALGORITHMIC TRADING BUSINESS
: by Ernie Chan
| f******d
发帖数: 6361 | 65 那妞妞有啥牛书推荐
【在 m********0 的大作中提到】
: read it long long long time ago,
: said many many many times it's for beginner,
: not a very practical book
: I finished it in half day.
: for me, the only interesting sentence in this book is something
: "he claimed he turned some of the most unprofitable strategies(by
: backtesting) into some of the most profitable strategies he used in
: live trading"
: I never doubt that, but it's not informative.
: I don't know if he is as lame as his book or he withheld too many
| w*****7
发帖数: 5038 | 66 非常专业
期待继续
【在 m********0 的大作中提到】
: read it long long long time ago,
: said many many many times it's for beginner,
: not a very practical book
: I finished it in half day.
: for me, the only interesting sentence in this book is something
: "he claimed he turned some of the most unprofitable strategies(by
: backtesting) into some of the most profitable strategies he used in
: live trading"
: I never doubt that, but it's not informative.
: I don't know if he is as lame as his book or he withheld too many
| m********0
发帖数: 2717 | 67 not many to recommand in a quantitative sense.
the only book cross my mind is
Momentum, Direction and Divergence
at least, William gave a good description on why and how he designed
those indicators.
I don't believe all he said, but it's logically sound with few assumptions.
If you really are interested with technical stuff but not to micro-structure
level, MTA has some interesting articles.
http://www.mta.org/eweb/dynamicpage.aspx?webcode=journal
there is another good journal with similar style but I forgot the name.
【在 f******d 的大作中提到】
: 那妞妞有啥牛书推荐
| m********0
发帖数: 2717 | 68 I am not surprised.
It's hard to get appreciations by promoting.
and you didn't read the reason I like it.
it's not the conclusion I like, it's the methodology.
【在 f******d 的大作中提到】
: 那妞妞有啥牛书推荐
| f******d
发帖数: 6361 | 69 妞妞以后多来玩，有啥牛书就贴一个
【在 m********0 的大作中提到】
: I am not surprised.
: It's hard to get appreciations by promoting.
: and you didn't read the reason I like it.
: it's not the conclusion I like, it's the methodology.
| m********0
发帖数: 2717 | 70 continue with your comment, I thought about these questions before.
I stopped thinking as
life will continue with lots of open questions, thinkers die and practioners
thrive.
such questions are too big for most of us, and also too boring for most of
us.
I think most ppl using TA in the right way are not stupid enough to believe
they are able to sleep on one simple system to retire at 30s.
Practically, long/short is quite subjective.
For some ppl, with one profitable system running for a year, it might be
quite enough to shut it down and diversify the profit generated to different
investments.
For other ppl, they are perfectly comfortable if a strategy only worked for
a month. What will you do if your oil well runs out of oil? Most natural,
find another. Is crude a profitable in a consistent manner?
Well, it's not a question for generations. Will anyone care in 1900 about
the uncertainties and certainties which might bury this industry into
history?
As I said, I'd rather avoiding talking about such questions. The more
argument, the more it feels like religions.
I would try to propose some basic questions and if we have similar answers
to those, it's much easier for me to continue.
是
【在 g****u 的大作中提到】
: 首先对 LZ 的认真态度和下的功夫表示大赞。你写的我都认真读过了。
: 但对 TA，我说个我的态度仅供 LZ 参考：不同的市场条件下，总有一些 TA methods 是
: 有效的。难的不是 given market conditions 然后找到这些 TA methods，而是
: make sure these market conditions still valid in the next trading
: period. 问题在于我说的 market conditions 是没有办法 explicitly 的研究和
: 定义的。所以判别 market conditions 本身我认为是 impossible 的，所以我总的
: 结论是 TA cannot keep profitable over long-term.
:
: consistency
: framework
| | | x**********g
发帖数: 618 | 71 Take a seat and listen carefully. Thanks | Y***o
发帖数: 4135 | 72 Mark. and thanks for sharing..
from
subjective
idea
【在 m********0 的大作中提到】
: One more points on interpretation. IMHO, trading is applied science, the
: form of interpretation is just like the language you speak, it doesn't
: matter as long as it's expressive and logically sound.
: You will often hear statement like, "if TA signal matters FA analysis (from
: a TA believer's point of view), or vice versa, it's a strengthen to the
: signal". I accepted this argument without thinking long time ago.
: Now if I understand two different approach as different interpretations of
: same stuff, I doubt it. Why? Because FA or both TA and FA is very subjective
: . When you have a TA signal and you are a TA person, it's very hard to be
: mutual. you will subconsciously try to find TA to support your original idea
| f****w
发帖数: 138 | | m********0
发帖数: 2717 | 74 http://www.ljmu.ac.uk/BLW/BLW_Facultytopleveldocs/higher_order_
this one makes you happier?
I typed half hour and lose it when posting.
【在 f******d 的大作中提到】
: 妞妞以后多来玩，有啥牛书就贴一个
| f******d
发帖数: 6361 | 75 啊，这些我不懂，一大堆的数学和公式还有indicator，我不感冒，而且我不怎么看
paper，只看别人总结paper，你总结一下就行了。anyway，妞妞有空就来转转，叫一下
，贴点有趣的，讲讲故事，看见你特开心。
【在 m********0 的大作中提到】
: http://www.ljmu.ac.uk/BLW/BLW_Facultytopleveldocs/higher_order_
: this one makes you happier?
: I typed half hour and lose it when posting.
| g*******w
发帖数: 430 | 76 不错的帖子， 多谢楼主分享， 偏向于quantitative多些， 如果在机构里做应该很有
用吧？ | u********e
发帖数: 4950 | 77 终于认真读完了lz的所有分析文章, 太专业了
大赞 | S******t
发帖数: 8388 | 78 好贴要顶！
谢谢分享！
能不能介绍一本最初级的关于Momentum的书？越简单的越好。^_^
structure
【在 m********0 的大作中提到】
: not many to recommand in a quantitative sense.
: the only book cross my mind is
: Momentum, Direction and Divergence
: at least, William gave a good description on why and how he designed
: those indicators.
: I don't believe all he said, but it's logically sound with few assumptions.
: If you really are interested with technical stuff but not to micro-structure
: level, MTA has some interesting articles.
: http://www.mta.org/eweb/dynamicpage.aspx?webcode=journal
: there is another good journal with similar style but I forgot the name.
| m********0
发帖数: 2717 | 79 I guess I will stop this thread, as it's not as thought-provoking as I
thought.
But I decided to share my books on tradings I collected, most of them
are pdf (I bought some of them, stole most of them from internet, I owe
these authors a lot but I guess it's financially harmless as most ppl
here won't buy their books anyway :D
I will include no indicators files, no academic papers(as most ppl
here enjoy empirical stuff). Considering sharing some script, template,
real code.
Someone offers a safe way for me to share without copyright risk?
Here's the list:
(Forex) Ebook - Trading Systems And Methods - Kaufman, Perry J.pdf
All About High-Frequency Trading.pdf
Analysis_of_Financial_Time_Series, Third Edition, Tsay, John Wiley & Sons,
2010.pdf
Ashraf Laidi. Currency Trading and Intermarket Analysis. How to Profit from
the Shifting Currents in Global Markets.pdf
Avoiding_Option_Trading_Traps-What_to_look_for_Strategies_for_Success(
Lawrence_McMillan,2002,OptionStrategist.com)_[pdf].pdf
Beating the Financial Futures Market - Combining Small Biases Into Powerful
Money Making Strategies [Wiley Trading].pdf
Bennet, David 2008 - Day Trading Grain Futures - a practical guide to
trading for a living.pdf
Brooks, Al - Reading Price Charts Bar by Bar.pdf
Candlestick and Pivot Point Trading Triggers - Setups for Stock, Forex, and
Futures Markets - 2007.pdf
Come into my trading room A complete guide to trading.pdf
Cooper, Jeff - The 5 Day Momentum Method.pdf
Day Trading -- Systems & methods - C Le Beau & D W Lucas.pdf
Day Trading Options.pdf
Day Trading and Swing Trading the Currency Market by Kathy Lien (2nd Edition
, 2009).pdf
Deel, Robert - The Strategic Electronic Day Trader.pdf
Dt Day Trading Rules(Joel Blom,2003,Thinkorswim).pdf
EXCHANGE TRADED FUNDS AND E-MINI STOCK INDEX FUTURES.pdf
Ec_of Futures.pdf
Edgar Peters - Fractal Market Analysis.pdf
Empirical Market Microstructure - Joel Hasbrouck.pdf
Encyclopedia Of Chart Patterns - 2Nd Ed - T N Bulkowski.pdf
Fifty Challenging Problemsin Probability With Solutions.pdf
Fooled by Randomness - Role of Chance in Markets and LIfe.pdf
GEORGE A. FONTANILLS Trade Options Online Trading for a Living 2nd.pdf
High Probability Short Term Trading Strategies (Raschke & Connors).pdf
Introduction to Amibroker Howard Bandy.pdf
Irene Aldridge, High-Frequency Trading A Practical Guide to Algorithmic
Strategies and Trading Systems.pdf
Jake Bernstein - The Compleat Day Trader-Trading Systems, Strategies, Timing
Indicators and Analytical Methods - McGraw Hill 1995.pdf
John Wiley & Sons - Candlestick and Pivot Point Trading Triggers - Setups
for Stock, Forex, and Futures Markets - 2007.pdf
John Wiley & Sons - Pairs Trading - Quantitative Methods and Analysis -
Ganapathy Vidyamurthy - (2004).pdf
Kase, Cynthia - (1996) Trading With The Odds - Using The Power Of Statistics
To Profit In The Futures Market (Isbn 155738911X).pdf
Kaufman , Perry J. - Trading Systems and Methods.pdf
LBR_Scalp_setups.pdf
Lawrence G Mcmillan - Profit With Options (Essential Methods For Investing
Success).pdf
Link, Marcel - Trading Without Gambling. Develop a Game Plan for Ultimate
Trading Success - John Wiley & Sons (2009).pdf
Mandelbrot & Hudson - The Misbehavior of Markets(2004)[getAbstract].pdf
Mastering the Trade - Proven Techniques for Profiting from Intraday and
Swing Trading Setups, John F Carter.pdf
McDowell, McMillan - Art of Trading - Combining the Science of Technical
Analysis with the Art of Reality-Based Trading - 2008.PDF
McGraw-Hill - Quantitative Trading Strategies (2003).pdf
McMillan 2003 Using Volatility In Your Trading Decisions (Presentation).pdf
Mcmillan On Options (2Nd Edition, 2004) Lawrence Mcmillan.pdf
Modeling Maximum Trading Profits with C++ - New Trading and Money Management
Concepts - Salov, Wiley 2007.pdf
Modelling Financial Times Series, 2ed.pdf
Momentum, Direction and Divergence.pdf
Najarian - How I Trade Options (2005).pdf
Natenberg - Option Pricing and Volatility.pdf
New Concepts In Technical Trading Systems Full! - J Welles Wilder.pdf
Optimal Trading Strategies Quantitative Approaches for Managing Market
Impact and Trading Risk - 1Ed - Robert Kissell, Morton Glantz (AMACOM) -
2003.djvu
Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) - [
Wiley] - [0471794643].pdf
Phantom of the Pits.pdf
Profit with Options Essential Methods for Investing Success.Lawrence G.
McMillan.pdf
Quantitative Analysis, Derivatives Modelling and Trading Strategies - World
Scientific.pdf
Quantitative Strategies for Derivatives Trading.pdf
Quantitative Trading How to Build Your Own Algorithmic Trading Business -
Ernie Chan.pdf
Quantitative_Trading_Systems.pdf
Richard Yamarone - The trader's guide to key economic indicators.pdf
Sammy Chua's Day Trade Your Way to Financial Freedom.pdf
Short Selling - Strategies, Risks, and Rewards.pdf
Stock Patterns For Day Trading And Swing Trading.pdf
Taleb - from The Black Swan - The Belll Curve - That Great Intellectual
Fraud.pdf
Taylor Asset Price Dynamics Volatility and Prediction.pdf
Technical Analysis Modelling Financial Time Series.pdf
The Art of the Trade.pdf
The Crowd.pdf
The Day Trader's Bible - Or My Secret In Day Trading Of Stocks.pdf
The Option Trader Handbook - Strategies And Trade Adjustments - G Jabbour &
P Budwick.pdf
The Quants.pdf
The Volatility Edge in Options Trading by Jeff Augen.pdf
The handbook of pairs trading - Strategies using equities, options, and
futures.pdf
The.Black.Swan.pdf
The.Options.Course.Workbook.pdf
Thomas Demark - On Day Trading Options.pdf
Three Skills of Top Trading - Behavioral Systems Building, Pattern
Recognition and Mental State Management - Hank Pruden (2007 Wiley Trading).
pdf
Trade Stocks And Commodities With The Insiders - Secrets Of The Cot Report.
pdf
Trading For A Living - Psychology Trading Tactics Money Management.pdf
Trading Options - Option Pricing Models And Volatility - Using Excel Vba - F
D Rouah & G Vainberg (John Wiley & Sons) - 2007 [0471794646].pdf
Trading Options - The Option Trader Handbook - Strategies And Trade
Adjustments - G Jabbour & P Budwick (John Wiley & Sons) - 2004 [0471567078].
pdf
Trading Options - The Options Course Workbook - Step by Step Exercices and
Tests - G A Fontanills (John Wiley & Sons) - 2005(1).pdf
Trading Options at Expiration Strategies and Models for Winning the Endgame
By Jeff Augen.pdf
Trading Pairs - Capturing Profits and Hedging Risk with Statistical
Arbitrage Strategies.pdf
Trading Systems That Work - Thomas Stridsman.pdf
Trading Systems and Methods - KAUFMAN, Perry J..pdf
Trading To Win - The Psychology Of Mastering The Markets.pdf
Trading with Median Lines. A Simple Yet Powerful Methodology - Timothy Morge
.pdf
TradingInTheZone.pdf
Wiley - Trading For A Living - Psychology Trading Tactics Money Management.
pdf
Wiley 2009. Ashraf Laidi. Currency Trading and Intermarket Analysis. How to
Profit from the Shifting Currents in Global Markets.pdf
Williams , Larry - Trade Stocks And Commodities With The Insiders - Secrets
Of The Cot Report - Wiley Trading.pdf
ags.pdf
options-expiration-weeks.pdf
#1 Forex Trading Course - Turn $1,260 into $12,300 in 30 days by David C.
Arena.pdf
【在 S******t 的大作中提到】
: 好贴要顶！
: 谢谢分享！
: 能不能介绍一本最初级的关于Momentum的书？越简单的越好。^_^
:
: structure
| f******d
发帖数: 6361 | 80 谢妞妞分享
里面有一本好东西
以后常来玩，叫一下，发现牛东西就贴一下。
【在 m********0 的大作中提到】
: I guess I will stop this thread, as it's not as thought-provoking as I
: thought.
: But I decided to share my books on tradings I collected, most of them
: are pdf (I bought some of them, stole most of them from internet, I owe
: these authors a lot but I guess it's financially harmless as most ppl
: here won't buy their books anyway :D
: I will include no indicators files, no academic papers(as most ppl
: here enjoy empirical stuff). Considering sharing some script, template,
: real code.
: Someone offers a safe way for me to share without copyright risk?
| | | w******s
发帖数: 16209 | 81 I think copyright issue is always there.
You could do a tar and gzip all the files and use one time encryption to
scramble the data and name it diskwiperrandom.dat and then use secureway to
share with your friend and then tell him/her your password to restore it..
always put in a disclaim in the package file.
from
Powerful
and
Edition
Timing
Statistics
pdf
Management
World
&
F
].
Endgame
Morge
to
Secrets
【在 m********0 的大作中提到】
: I guess I will stop this thread, as it's not as thought-provoking as I
: thought.
: But I decided to share my books on tradings I collected, most of them
: are pdf (I bought some of them, stole most of them from internet, I owe
: these authors a lot but I guess it's financially harmless as most ppl
: here won't buy their books anyway :D
: I will include no indicators files, no academic papers(as most ppl
: here enjoy empirical stuff). Considering sharing some script, template,
: real code.
: Someone offers a safe way for me to share without copyright risk?
| t*****s
发帖数: 2933 | 82 村长,明天咋看啊??
to
【在 w******s 的大作中提到】
: I think copyright issue is always there.
: You could do a tar and gzip all the files and use one time encryption to
: scramble the data and name it diskwiperrandom.dat and then use secureway to
: share with your friend and then tell him/her your password to restore it..
: always put in a disclaim in the package file.
:
: from
: Powerful
: and
: Edition
|
|
