back start next
[start] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [28] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [ 71 ] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81]
71 Endnotes temporarily distorting market action before the real trend takes hold? Chapter 16 1. This logic is quite similar to Keltners Ten-Day Moving Average Rule in its entry logic, but not in its exit logic. Keltners approach was in the market all the time, long or short. Ours picks occasional trades where the risk-reward is seen as quite favorable. 2. Steve Notis compiled many of these techniques in his Professional Breakout System in the mid-eighties. 3. Parabolics are supported by most technical analysis software today and may be computed by hand. See New Concepts in Technical Trading Systems by Welles Wilder for details (see the Bibliography). As published, it was a complete system, but we only use it for exits. Chapter 17 1. hitp: www.dictionary.com. 2. For example, Intraday Intensity is designed to reflect the machinations of institutional traders, as they buy and sell positions for their funds. It does so by looking at where we close in a days range on the assumption that traders will increasingly force price in the direction of their order flow as the day wanes. Chapter 18 1. Accumulation Distribution relies on the open for its calculation. For many years the Wall Street Journal published the opening price along with the rest of the price and volume data each day, but in the early 1970s it dropped the opening price in order to expand its listings. Thus several generations of analysts and traders grew up without access to the open-a shame that was only corrected fairly recently by the advent of broad electronic distribution of stock data.
Endnotes 2. MACD = 12-period exponential average of the last - 26-period exponential average of the last. Signal line= 9-period exponential average of MACD. 3. To calculate a volume-weighted average, multiply each periods price by that periods volume. Then sum the products for the number of periods in the average. Finally, divide the sum by the total volume for the same number of periods. The formula for a 10-day volume-weighted average of the last is 10-day sum of (last* volume)/ -day sum of volume. Chapter 19 1. The Welles Wilder Parabolic will increment stops in the direction of the trade based on increasing a variable initially set to 0.02 gradually to a terminal value of 0.2. Larger initial values or larger step values will cause the stops to increment more quickly. This will get you out quicker, but is far less forgiving of pullbacks and thus may lead to whipsaws. Chapter 20 1. We conducted a study of the Arms Index, which confirmed that NYSE trading has a long-term positive bias. The Arms Index depicts the balance between issues traded and the volume in those issues. The formula is (advances/declines)/ (up volume/down volume). The Arms Index is neutral at 1, on strong up days it will be less than 1, and on weak days it will be greater than 1. Its long-term average is 0.85, not 1.00 as you might expect. This demonstrates a long-term positive bias to the market that will be reflected in the indicators derived from it, a bias that should be adjusted for. 2. MACD uses exponential averages, which are often expressed as percentages rather than days. To get the percentage value necessary for the calculation when you know the days, use the formula 2/(n + 1), where n is the number of days. 3. You may lengthen the calculation period to 30 or longer if you are getting too many signals for your taste. 4. 21-day Intraday Intensity or Accumulation Distribution per-cents are useful here too.
Endnotes Chapter 21 1. Andrew Cardwell has done a lot of work on this approach to interpreting RSI and is preparing a book on the subject. 2. In 1962, bowling stocks were the Internet stocks of the day and led a speculative rally that collapsed in a lightning-fast bear market. It was believed that bowling would become the great American pastime-that there would be a bowling alley on every block and that everyone would bowl. Automatic pin spotting was the technological key, and vast growth was projected. Chapter 22 1. One interesting approach is to try using a program like MESA to determine the dominant cycle lengths and set your bars to harmonics of the cycles. For example, if you found an 80-minute cycle, try 20-, 40-, 80-, and 160-minute bars. 2. One way to deal with the volume-distribution problem is by normalizing volume using daily seasonality, but that is beyond the scope of this book.
[start] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [28] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [ 71 ] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81]
|
Menu
