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04-23-2009, 12:48 AM
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You know what they say...if it ain't broke, don't fix it!...  I do drop in now & then to see what's happening...doesn't sound that great at the moment, but you definately got perseverence...lol...and that will payoff now that you seem to have recognized what your problematic pattern is and sought out some solutions. That book sounds good...sounds like I should get it too along with Mark Douglas's book (since you didn't label his in the "tired" group....thanks! 
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04-30-2009, 09:45 AM
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Hello,
See attached chart of Spot Gold for a few VERY GOOD reasons to use stops!!! I have to say that since reading Larry Williams' book I am quite happy now to take some small (even consistent small) losses 'on the road to riches' and am therefore FINALLY using stops AND NOT MOVING THEM OR SECOND GUESSING THEM (so none of these moves cost me anything material). I'm not quite sure what is causing these TOTALLY VIOLENT moves (month end, Options expiry, who knows). Just 'be careful out there'!!! Regards, Dale. (FINALLY: I managed to attach the chart)!!! Last edited by dpaterso; 04-30-2009 at 10:07 AM.
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06-08-2009, 02:53 PM
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Hope all is well.
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06-08-2009, 03:24 PM
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Hey Craig!!!
I'm still here (you did not SERIOUSLY think I was 'done' yet I hope)!!! LOL!!! Well: The 'riddle' of Wilder's systems has been solved I think!!! I have spent the past two months or so studying (and I mean REALLY studying) two books by Alexander Elder, all three books by Bill Williams (for the second or third time around), two books by Larry Williams, and going through (again) a lot of Le Beau's ideas. And 'here is the thing': ALL of these / their systems (INCLUDING Wilder's) are just about the same (which tells me that they are either ALL 'wrong' or Wilder is also 'right')!!! As an example: Bill Williams' 'Balance Line' (which is his 'Alligator Jaw') generates THE IDENTICAL signals to, guess what, Wilder's ADX, BUT the calculations for the two systems (indicators) are W-A-Y different and yet they arrive at the same result!!! Larry Williams has a 'swing system' which, guess what, gives the IDENTICAL signals (using the same 'logic') as Wilder's Swing Index!!! Bill Williams' 'Fractals' give (almost) identical signals to Wilder's Swing Index!!! I could go on. HOWEVER (and it's a BIG 'BUT'): there are two things common to EVERYONE EXCEPT Wilder: RISK MANAGEMENT and STOP LOSSES!!! And THEREIN, my good friend, lie the ABSOLUTE differences!!! SO to answer your question: it really does not matter WHICH of these market guru's are your 'poison'. Without RISK MANAGEMENT and STOP LOSSES you're GOING to 'wipe out'. It's that simple. And no: at this point I'm not trading any of Wilder's trading systems. I'm currently demo trading a system based on 'the best bits' of the above market guru's (but, as I said, one MAY AS WELL be trading the DMI BUT WITH RISK MANAGEMENT and STOP LOSSES)!!! To be fair though: MAYBE I just did not understand Wilder's 'Capital Management' (although I always THOUGHT I did). Put another way: all those fancy percentages that I posted about while we were discussing leverage and lot sizes was absolute nonsense!!! NOW I UNDERSTAND RISK MANGEMENT ('Capital Mangement'???). I'm about ready to put this new thing 'through its paces' on the live account again (I'm just waiting for one more 'piece of the puzzle' to 'fall into place' i.e. a 'capital boost' because unfortuanately this system cannot be traded with 'peanuts' otherwise you cannot incorporate RISK MANAGEMENT and then we'll all be 'back to square one')!!! Also: AT LEAST THIS TIME AROUND I've demo traded it and tested it thoroughly with the help of a VERY good friend of mine. See: I've learned SOMETHING in the past two 'and a bit' years!!! LOL!!! Ironically: because of all the 'pain and anguish' I've found it REAL easy to treat a demo account as a live account I'll tell you i.e. the SAME emotions have 'come into play' so there's no fooling myself here!!! Regards, Dale.
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06-08-2009, 03:49 PM
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If you're ever on IM, look me up - I'm usually hanging around there.
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06-09-2009, 02:15 AM
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Hello again,
Well: if I had a dime (not EVEN a dollar) for every time I MYSELF thought that all the 'missing pieces' had been found then this would be a purely 'academic conversation' and I, and quite a few other people, would be 'pretty well off' by now!!! LOL!!! That said: this simple little system appears (SO FAR) to be the most consistently profitable of ANYTHING I've tried so far so yes: keep wishing me luck!!! At this point I need every little bit of help I can get!!! I must say though: that 'keep it simple stupid' ('KISS') saying really is 'the ticket' in this business I believe!!! I've always believe that the more complicated a system is: the better it would (should???) perform. Evidently I was wrong!!! I think that this is what attracted to me Wilder in the first place (well other than the fact that he is one of the 'originals' as it were). Only when I realised that a 12 period EMA (shifted) (Bill Williams' 'Alligator Jaw' / 'Balance Line') generated the identical signals as Wilder's ADX (and we ALL know the sheer complexity of the ADX calculations) did I start to think 'out of the Wilder box'!!! Even THEN, however, I was STILL moving between HUGE gains and HUGE losses and then started to think: there is no way that professional traders and the like would sit on a KAJILLION dollars of profit at 10h00 in the morning and then wait for that profit to turn in a KAJILLION x 2 dollars of losses!!! This has been my problem all along. Last year, when everything was going 'pear shaped' in the financial markets, it was not that difficult to be on the 'winning side' of a trend UNTIL those trends started to come to an end around October / November!!! THIS is when the 'boys' were seperated from the 'men'!!! Unfortuanately: I am (was???) still a 'boy'!!! Anyway, the long and short of it all, really, is this: JUST ABOUT every single system I've traded has always turned to profits almost immediately (this very thread is littered with comments about this) but it's KEEPING those profits that counts!!! That, and risk management i.e. losing NOT A PENNY MORE than a certain percentage (be it 1%, 2%, or 5% or whatever your 'poison'). Calculate this BEFORE you open a trade you're 'good to go'. Take another look at some of Chuck Le Beau's work with ATR exits / stop placement and you should be 'well on your way'!!! Take care and stay in touch (if, on the very odd occasion that I actually login to YM, I'll 'give you a shout')!!! Regards, Dale.
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07-08-2009, 03:36 PM
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ADX in excel spreadsheet
Hi there
Does anyone have a spreadsheet with ADX, DI+ and DI- that I could have? Trying to avoid programming it myself. thank Rockglen Quote:
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07-27-2009, 11:11 AM
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Dear Rockglen,
you're lucky that today I finally decided to put a bit of order into my (too many) files, and I found the worksheet you're looking for. I must say I am a bit surprised and not so eager in making this... but not for my possible "damage" (LOL LOL): I don't care at all, and I am pretty sure this worksheet is around the net since ages. But for you! I think that "trying to avoid programming" is not the best attitude to have in this business, even if I for myself recognize moments of laziness... But my suggestion is: well, if you want to make it, you have quite a lot of hard (but VERY interesting and very gratifying) work in front of you. Therefore I was a bit "resistent" in posting this file. But, well, it's already 20 days ago, and so I hope in the meanwhile you got it already. Perhaps this one could be useful just as verification... So: good luck! And above all: have a nice hard study and work! Fabio Last edited by fsprea; 07-27-2009 at 11:13 AM. Reason: Attached zip file because xls is not working
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07-27-2009, 05:41 PM
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Hi Fabio
Thanks for the file and your advice. I've spent the last 3 years programming my own trend-following system (without yet opening a position- conservative mountain climbing as I read once!), so I'm not adverse to hard work programming. I take on board your advice so I will programme ADX myself and use your sheet for verification. any advice on what annual profit and drawdown is a reasonable performance? My system in backtest (without ADX) on average is delivering profit of 34% and less than 30% drawdown over 20 years. many thanks Rockglen.
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07-28-2009, 01:19 AM
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Hi Rockglen,
then: welcome to the club of "hard workers" LOL! If you look back in the pages of this "epical thread", as you already made because you included my quote, you find an already programmed "correct" ADX (actually it's called "DMI") for metatrader. Also if you use another platform/language you can probably find nice hints about re-programming it for yours. A little warning, anyway. You see how the story ended up, here, and basically telling that Wilder's merit, at his times, was to conceive the idea of "technical" systems, that, translated in our terms, can mean "mechanical" or "automatic" systems: in my view "systems that can be traded by computers". I am more and more convinced that, if made properly, this is feasible (and actually it's a common practice for any serious and big institutional investment firm). Wilder's merit is not to have provided a viable way to do that, at least on current markets. All of these statements (besides the last, that is somehow demonstrated by the 1000+ pages of the story in this and other threads and their end) would be worth a LOT of explanations and details, but in the moment I (and a small private group of "hard workers") are really working too much in the development of a "systematic system" (LOL: a lot to say here...) and are also a bit afraid that a public forum is not the ideal place to find other people with this sort of systematic thinking (look at some trial of mine to set up such sort of approach in "another thread" and the enthusiasm it elicited! LOL). Concerning your system, you already know you gave far too few details to get a reasonable answer. It is good knowing this is trend following, but you do not say on which instruments and on which timeframe. One of the two figures is inclomplete. If the profit of 34% is yearly, well this can be beated but is not bad. If it's over the 20 years, then, my friend, you're better out with T-bills, for sure, especially because they entail much less risk than 30% drawdown! This second figure is particularly concerning: trading a system with 30% drawdown is a hard job, believe me. Even if you let a computer trading for you and give a look only from time to time. The temptation of stopping the car is really STRONG. I can say that, out of the about 150 prototypes I have developed and tested so far (and the way ahead looks still not too short - but fortunately not as long -) there were quite a lot of them producing even more than 60% yearly return with drawdowns lower than 20- most times 15%. This is just backtesting. Forward testing (letting them run on a live demo account) is not so significant, because the time spent on the market is still too short to be statistically significant. Let's say that there is something giving the same gain but with half drawdown than yours. This is anyway far from the goal I (and the other friends) are aiming at: a system with "scientifically calculated" parameters. When I will have them, probably I'll post them somewhere here. Before I am a bit reluctant to speak about numbers that have no meaning (like scientific data presented as means WITHOUT a standard deviation: simply nonsense!). I can just give you two suggestions, if you want to go on in the fascinating endeavor of "scientific system development". First: fetch R. Pardo "The Evaluation and Optimization of Trading Strategies" (Wiley). It is the very recent (2008) second edition of his classical book. I'm reading it currently, and the nice thing is that I find over and over the correct formalization of ideas I have acquired by "trial-and-error" in hundreds of hours of "hard work". So, maybe this can shorten your "learning curve" (supposing, hopefully wrongly, that you still need one, and that you did not read the book yet). The second. Think of a trading strategy as a system composed by three devices (this is my "biggest acquisition" till now, before Pardo and not found so clearly elsewhere...  ):1. A Risk Management Device 2. A Directional Device (the set of "indicators" or patterns or whatsoever for trying guessing the future direction of the market. 3. A Trade management Device, how to enter/exit the market and the "mechanics" of how to manage positions. Well: I am now sure-by-experience that a "solid system" where 1 & 3 are "OK" is by far less influenced by the directional device. I'm a bit exaggerating here, but believe me. Any good "directional device" will produce losses in a badly structured system. Any decent will perform quite good. I have not found the "optimal combination" yet, but I'm not very concerned about finding new ideas of Directional Devices anymore (this was the main concern till recently): the web is full of them. The fact that they do not work in the hands of the most is due to lack of proper systematic (and scientific) development and inclusion in a correct system. Finally: reading Pardo you'll see better what I mean, but optimization is paramount to the development of a system, and one of the most misunderstood practices (and therefore dismissed as irrelevant or worst dangerous) among non-professional traders. Bye Fabio
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