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Caspia (情人草) 于 (Fri Apr 22 21:47:36 2011, 美东) 提到:
都说要follow the trend, 不过个人觉得range stocks交易起来更放心，
优势：底部顶部经过中期多次试探，买入／卖出／制损点比较好把握，
相比牛骨volatility相对较小，资金比较好管理
底部时买入有一种价值投资的喜悦感。
典型的比如 CEPH/CELG/AMGN/DISCA/TIE/WMT/EWZ （最近52wk)
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google2005 (Antioxidant) 于 (Fri Apr 22 22:20:06 2011, 美东) 提到:
range stocks主要要看好突破range 之后走势变化
trend主要是要看好trend momo的变化
吃亏就怕思维定势
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updownlife (渔夫) 于 (Fri Apr 22 23:21:40 2011, 美东) 提到:
我有同感
但range stock 特别考验你的信心和耐心:
信心:买的时候一般会有很多负面新闻， 没有信心就很难作range
耐心:range 买了后反弹有时很快，但有时会很慢， 有时会继续跌，这时耐心（实际也
要有信心）就很重要
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slimcan (独孤九剑) 于 (Fri Apr 22 23:51:52 2011, 美东) 提到:
记住趋势是你的朋友。range market看上去好看，做不是那么好做的。
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scalper (scalper) 于 (Fri Apr 22 23:52:16 2011, 美东) 提到:
Totally agree, I wish I could find more stocks like CWT, moving within a
range for such a long period. Just think how easy it was to DT super low
volatility stocks when we had 1/8 point bid/ask spread.
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aripple (aripple) 于 (Sat Apr 23 00:09:10 2011, 美东) 提到:
follow the trend - the pre-assumption it is in a strong trend.
if you can identify a range market. oscillators are much useful.
not sure about stocks,
regarding futures. if you do range trading, it's extremely
inefficient unless you like scalping.
range has much smaller risk and reward, maybe it fits your
personality more.
no stock is forever range or trending.
to identify them is the first step. A stock could be in range
period, but it could be trending viewed in big/smaller time frame.
ppl normally used ADX to evaluate how strong a trend is. I am not
good at reading this indicator.
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kingcrown (小母牛过生日) 于 (Sun Apr 24 17:10:09 2011, 美东) 提到:
up
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goseewait4 (xixihahaguanle) 于 (Mon Apr 25 20:30:24 2011, 美东) 提到:
bi
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Caspia (情人草) 于 (Tue Apr 26 11:44:39 2011, 美东) 提到:
To trade ranging stocks, the expectation is that the stock would not break
the current range. The more closer
it approaches to the ceiling, the higher risk it has. The basic assumption
is buying into support and selling
into resistance. Once a stock breaks out, it enters a new trading range,
which becomes another story.
I will post some backtest results later.
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Caspia (情人草) 于 (Tue Apr 26 11:45:50 2011, 美东) 提到:
Agree.
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Caspia (情人草) 于 (Tue Apr 26 11:49:01 2011, 美东) 提到:
For identifying trend strength, I am using a novel indicator called Trend
Strength Indicator, which is defined as
below.
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updownlife (渔夫) 于 (Tue Apr 26 11:49:42 2011, 美东) 提到:
how's your backtesting result?
Let's share some thoughts
assumption
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Caspia (情人草) 于 (Tue Apr 26 11:51:14 2011, 美东) 提到:
Yes, reducing drawdown/increasing sortino ratio is my major concerns when
developing system.
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google2005 (Antioxidant) 于 (Tue Apr 26 11:51:58 2011, 美东) 提到:
nice share, no software for calculation ?
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google2005 (Antioxidant) 于 (Tue Apr 26 11:54:38 2011, 美东) 提到:
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updownlife (渔夫) 于 (Tue Apr 26 11:55:27 2011, 美东) 提到:
Good indicator.
I found that most of the time the slowstochastic indicator can also serve my
purpose. But I have built my own stochastic indicator using a "special"
period for each stock. That works well for me to identify the good range
buys.
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Caspia (情人草) 于 (Tue Apr 26 11:56:27 2011, 美东) 提到:
Yeah, this is a good one. It would be great if it has more liquid options
for leveraging.
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aripple (aripple) 于 (Tue Apr 26 12:09:10 2011, 美东) 提到:
这个其实跟TSI很像。
另外一个很老的TSI叫TRUE STRENGTH INDICATOR.
一个是percentile以后二次滤波，
一个是算二次滤波以后的percentile
Trend
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HeraklesGong (傻根儿) 于 (Tue Apr 26 12:23:14 2011, 美东) 提到:
金子出了没有？
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aripple (aripple) 于 (Tue Apr 26 12:27:05 2011, 美东) 提到:
long time ago。 我们根本不是一个频率的。没什么参考价值。你昨天喊空EUR的那个时候，没多久EUR就飙了。
也许对你的频率无所谓。
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HeraklesGong (傻根儿) 于 (Tue Apr 26 12:30:26 2011, 美东) 提到:
今天ES算有效突破吗？
个时候，没多久EUR就飙了。
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:31:30 2011, 美东) 提到:
这些我都检验过，最后我发现，这几个indicator都基于和MACD类似的计算方式，
用MACD就可以代替，如果一定要使用trend indicator. 等用了一段时间后，你又会
发现这个是浮云，因为又回到了最最基本的而又常常被忽略了的均线系统。 所以那些
什么trend indicator被我彻底的扔到了垃圾桶。 当然，这只是我的做法，合合.
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walstudio (午夜未眠人) 于 (Tue Apr 26 12:35:52 2011, 美东) 提到:
Orz风神.
经此"乾坤大挪移"一役，
风神武功肯定又上了一个台阶.
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Caspia (情人草) 于 (Tue Apr 26 12:37:17 2011, 美东) 提到:
So you got to be adaptive.
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:38:30 2011, 美东) 提到:
不敢不敢，要追赶未眠股神，还得使用第一式，最基本也最彪悍，hiahia
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aripple (aripple) 于 (Tue Apr 26 12:40:57 2011, 美东) 提到:
Patially agree. Trading manually，
resistence/support + news + direction sense + patience + risk control
is enough.
But if you do mechanical trading, indicators is one way to go and
it's not a waste of time to design new one.
But IMO, I don't think that TSI makes big sense to me.
it tries to use oscillators' methodology to evaluate trending.
I don't buy it much.
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:42:18 2011, 美东) 提到:
Orz lili, 这个不是adaptive的问题，估计以后你会明白和理解的。这些adaptive啥的
我都
亲自试验过好几个月，刚开始很兴奋，搞到了秘密武器，最后用一段时间，会发现
strength狠强的时候，个股或者大盘都转头，你就会去想，哦，一定有突发事件，来改
进一下
new-driven adpative true strength indicator吧...... 经过无数大小战役，最后恍
然发现还是浮云。
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:45:13 2011, 美东) 提到:
机器trading 都不过夜，基本上都是当日结算，我觉得可以找几个现在在街上作
algorithm
的矿工们来解释一下就清楚了。 其实这里现在就不少。合合
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aripple (aripple) 于 (Tue Apr 26 12:45:42 2011, 美东) 提到:
the issue is not the indicator.
it's your expectation :D
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aripple (aripple) 于 (Tue Apr 26 12:48:06 2011, 美东) 提到:
of course most indicators claimed to adapter to multiple timeframes.
even RSI(2) is empirically proved to be useful in high freq trading.
algorithmic trading is about execution optimization, I guess you meant
systematic
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google2005 (Antioxidant) 于 (Tue Apr 26 12:48:36 2011, 美东) 提到:
orz 蜂神神秘武器太多了
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Caspia (情人草) 于 (Tue Apr 26 12:49:15 2011, 美东) 提到:
I mean be adaptive between different strategies. We have hundreds of simple
strategies, if one become
ineffective, some others must start to prevail. An adaptive system must
know where/when to switch to new
strategies.
We don't need to keep inventing silver-bullet indicators. We just need to
know when to switch to another
simple strategy.
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aripple (aripple) 于 (Tue Apr 26 12:51:30 2011, 美东) 提到:
only four are needed.
trending one, ranging one, event one, and days-to-go-fishing.
simple
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aripple (aripple) 于 (Tue Apr 26 12:53:11 2011, 美东) 提到:
被你的严谨打败了。 玩笑话嘛
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:56:08 2011, 美东) 提到:
我现在已经不用了，村长，我记得以前版面有篇抄盘手写的文章，他也提到过最后的操
盘回归，我当时不理解，现在也不能说很理解，但是至少我懂了不少。 呵呵
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:57:37 2011, 美东) 提到:
RSI(2)这个基本上是用来做开盘的，非ER season可以。这就是以前也有同学提出的
每天2%的基准参考点之一，如果我没记错的话。合合
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aripple (aripple) 于 (Tue Apr 26 12:59:00 2011, 美东) 提到:
one lazy way to improve this is:
1. choose the style you are most comfortable with
2. combine several reading in different style, including "sentiment"
3. use reading from all other styles as filters, discard when you see
contradict readings
Opportunity cost is the cheapest cost in trading.
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 12:59:37 2011, 美东) 提到:
呵呵，机器很少干那样的事。一些hedge fund搞。
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 13:00:06 2011, 美东) 提到:
Orz hehe, lili说的还是很强韩德hehe
simple
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aripple (aripple) 于 (Tue Apr 26 13:02:03 2011, 美东) 提到:
not really, check this:
http://marketsci.wordpress.com/2010/05/25/measuring-the-%E2%80%
I think caspia posted her result on RSI(2) with SPX.
not bad at all.
In my opinion, RSI(2) is better for higher frequency as you have
less chance to get a hit by news before exit.
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aripple (aripple) 于 (Tue Apr 26 13:05:48 2011, 美东) 提到:
no, a lot funds rebalance their portfolio but seldom liquid members totally.
So it's very common to stay overnight, even over month.
For sizable fund, there are pm of pm, which allocate fund among
different pm, based on performance style.
you could see pm with intraday styles, hf styles or swing styles.
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aripple (aripple) 于 (Tue Apr 26 13:09:40 2011, 美东) 提到:
propose很久了，flash order真的ban了吗？怀疑中。
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guanjiu (酒倌副所) 于 (Tue Apr 26 13:24:32 2011, 美东) 提到:
getco那种就基本不过夜。
market neutral的那些，daily balance，可以持有很长时间.大部分蠢得很。忽有投资
人，混饭吃尔!
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firecs (火) 于 (Tue Apr 26 13:30:17 2011, 美东) 提到:
村长，能有edge的做overnight的strategy真的不多，cross/inter market的不算。毕
竟overnight gaps大多数都是out of control的,风险和收益比不划算。HFT/intraday
trading大多希望收盘前flat positions，有些不得已清不掉，过夜了，也要搞个至少
dollar neutral才放心。
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firecs (火) 于 (Tue Apr 26 13:38:36 2011, 美东) 提到:
hehe...最近一年sharpe怎么样？你参考NASDAQ Closing Index吗?
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bigbigbee (大蜜蜂: Phase-Ot) 于 (Tue Apr 26 13:49:17 2011, 美东) 提到:
就是bench mark啊
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firecs (火) 于 (Tue Apr 26 14:06:48 2011, 美东) 提到:
说错了，叫Nasdaq Closing Cross.有人用来做overnight edge
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toypig (傻乐) 于 (Sat Apr 30 14:36:17 2011, 美东) 提到:
re
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tooearly (郎教授不炒股) 于 (Sat Apr 30 14:38:55 2011, 美东) 提到:
对的，认清趋势（不要被庄家线图蒙了），赚钱不费力。
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Caspia (情人草) 于 (Sat Apr 30 14:50:57 2011, 美东) 提到:
Trading range stocks usually give even better sortino ratio the holding
through a trend.
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XController (...) 于 (Sat Apr 30 15:24:31 2011, 美东) 提到:
i prefer range stocks |
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