CALDEIRÃO DE BOLSA

zecatreca Escreveu:Caro nunoand99

Ja que adivinhou em que fase estava o salvador(ou quase) em que fase me colocaria?

Por acaso gostava que comentasse.

cumprimentos
Um abraço

Trend Indicators and Price Components
Thursday, January 29, 2009


Since trading with the trend is essential to exploiting the trend component of market price action, successful systems and approaches employ some method of identifying trend. A popular idea is a separate trend filter. This is an algorithm that preliminarily looks at recent price action and determines whether the trend is up, down or neutral.

It is not essential that every approach have a separate trend filter. Some methods, such as moving averages, incorporate a trend indicator into the entry technique. Others (not recommended by me) try to predict an imminent change in trend and are therefore entering when the trend is against them at the time.

Many traders attempt to complicate the problem of trend identification. They invent all kinds of fancy mathematical equations and methods of massaging past price action to more precisely determine whether the trend is up or down. I have long argued that this is pointless. Like all things in trading, simplicity is the best route.

Of course, trend is only relevant in conjunction with a particular time frame. But once you identify the time frame, there is nothing fancy about the concept of trend. The price is either moving up or it is moving down during that time period. You can look at a chart and in most cases quickly determine whether price is moving up or down in your time frame. Why should it be any more complicated than that? Perhaps in cases of price congestion, it is slightly more difficult to say with certainty what the trend is by quickly looking at a chart. However, this is no reason to unnecessarily complicate the trend determination process.

In creating simple trend indicators, there is one intriguing issue. What price components should you use to construct the indicator? There are four choices: the open, high, low and close. You could use them separately or in combination. Can research help determine whether one or more price components does a better job of indicating trend than the others? Or are they all equivalent in trend-identifying ability?

I first performed this exercise in my 1989 book, The Dow Jones-Irwin Guide to Trading Systems. The testing period there was the five-year period ending June 30, 1987. Some time ago, I thought it would be instructive to bring that research up to date.

The procedure is to create four simple trend filter indicators. Each will use different price components. To test their effectiveness, I created for each a simple trading system. When the trend filter is pointing up, the system goes long. It holds the position until the trend filter reverses to down. At that point the system closes out the long position and establishes a short position. The system continues to trade that way. It is always in the market and always positioned in the direction of the trend filter. In order to make the system test as realistic as possible, I deducted $100 from each trade to cover slippage and commission. Theoretically, the filter that is most effective in determining trend should yield the highest profits as a trading system.

I tested each filter in ten diversified markets over a ten- year period. The ten markets were the same I used in my book: Cattle (LC), Sugar (S), Soybeans (SB), Swiss Francs (SF), Comex Gold (GC), T-Bonds (US), Japanese Yen (JY), Heating Oil (HO), Eurodollars (ED) and the S&P 500 (SP).

I used a similar approach to measure historical market trendiness in my book, Trendiness in the Futures Markets. Because the time period is so crucial in measuring trend and because I did not want to make a subjective choice, for purposes of that book I tested every time period between 5 and 85 days. I update the research every year, so the book is constantly up to date.

For this limited project, I chose to use 34 days as a constant time period. From my research I have found this area to be an excellent overall trend-measuring period for all markets. It did yield profitable results for the average of all ten markets, even after deducting $100 per trade for slippage and commission.
Momentum

Momentum is perhaps the simplest form of trend indicator, but it is theoretically sound and ought to be psychologically pleasing. It looks at the direction of the closing price. It uses only the closing price in its calculation.

To calculate Momentum, first determine the time period over which you will measure trend. Then compare today's close with the close at the beginning of your chosen time period. In this case you would compare today's close with the close 34 days ago. If today's close is lower, the trend is down. If today's close is higher, the trend is up. If today's close is the same, the trend is the same as it was the previous day.

This comports with common sense. If the 34-day trend is up in the market, wouldn't you expect today's close to be higher than that of 34 days ago? Isn't that what trend means? This is a simple indicator to use while eyeballing charts. Pick your time frame and become an instant trend expert.

Using the Momentum-based trading system, half the markets were profitable, and the overall average trade was $42.
Directional Movement

This method of identifying trend was created by Welles Wilder and described in his 1978 book, New Concepts in Technical Trading Systems. Unlike Momentum, which uses only the closing price, Directional Movement uses only the high and the low price. It is fairly complicated mathematically, and therefore, you cannot eyeball it on charts.

Directional movement compares the portion of today's price bar that moves beyond yesterday's. If today's high and low are greater than yesterday's, the portion of the today's bar that extends above yesterday's is the up directional movement. If today's high and low are less than yesterday's, the portion of the today's bar that extends below yesterday's is the down directional movement. For an inside day (where today's high is lower and today's low is higher than yesterday's), there is no directional movement. For an outside day (where today's high is higher and today's low is lower than yesterday's), the day's directional movement is the larger of the up or down directional movement as defined above. Up directional movement is positive; down directional movement is negative.

To calculate the indicator, you find the total directional movement over the time period you selected for measurement. If it is positive, the trend is up. If negative, the trend is down. Just as with Momentum, the concept makes intuitive sense. If price is trending up, you would expect the preponderance of daily bars to have higher highs than the day before, and vice versa.

Using the Directional Movement-based trading system, half the markets were profitable, and the overall average trade was $54.
Open/Close Indicator

This is an alternate trend indicator I created about nine years ago. It looks at the relationship between the opening price and the closing price on the same day. Thus, it has the advantage for our purposes of incorporating the opening price in the trend calculation. It is the only trend indicator I know of that uses the opening price.

In an up trending market, you will find that the close is most often higher than the open. In a down trending market, the close tends to fall below the open. By comparing the sum of the closes with the sum of the opens over the trend time period you have selected, you get a good indication of the trend based on the relationship of the opens and closes.

Using the Open/Close Indicator-based trading system, half the markets were profitable and one broke even. The overall average trade was $31.
Combination Indicator

The last test attempts to use all four available data points (open, high, low and close) to determine trend. Its indicator is the combination of Momentum, Directional Movement and Open/Close. When all three indicators (measured over 34 days) point up at once, the Combination trend is up. It stays up until all three indicators point down at once. At that point, the trend changes to down.

Using the Combination Indicator-based trading system, again, half the markets were profitable, but the profits were considerably larger. The overall average trade was $185.

The results of these tests indicate that the best trend indicator was the Combination. Next best was Directional Movement. Momentum was third best. Open/Close was the least effective.

That such simple trend-following trading systems were profitable on average over ten diversified markets for a ten-year period shows that there is an exploitable trend component in market price action. By using a more sophisticated trading system and trading it in a more carefully chosen selection of markets, you can improve results substantially. That is precisely the way a diversified, trend-following program, such as I use in my personal trading, works.

salvadorveiga Escreveu:zeca, não há nada de novo pa dizer por isso...

salvadorveiga Escreveu:

mapaman Escreveu:

salvadorveiga Escreveu:

mapaman Escreveu:boas,

estive a ler este tópico e gostava de saber de que forma confirmam que estão aqui,ali ou noutro lugar qualquer?

sempre li que certezas nisto não existem,e o que pergunto é de que forma transformam essas certezas em lucros?

Do salvador já conheço muitos,agora gostava de ver uns gráficos do autor do tópico para "ver" de que forma transporta para a "vida real" o imenso conhecimento que transparece dos posts.

cumps

n percebi mapaman, o autor do topico fui eu...

Podes ser mais esclarecedor sff?

Abraço

as minhas desculpas.

assumo o erro quanto ao autor.

o resto mantenho.

abraço

mas ainda n esclareceste o que pretendes... eu pelo menos nao percebi.

Queres q eu faça graficos a demonstrar como negoceio? É isso?

Warrant Escreveu:Boa noite Salvador e Nuno

Ora bem, eu acho que estou pelas vintes mas sinto que já passei pela fase 34 várias vezes.

Mas eu não sou exemplo para ninguem uma vez que:
- nunca fiz sabática,
- tenho a conta sempre nos 100% de utilização de margem. Quando não está toca a comprar algo o que faz que em optimos pontos de compra para determinado activo não há guito
- Raramente uso STOPS o que me faz passar o dia todo em frente ao computador. Ou seja, os meus STOPS são automáticos nos 200% de margem o que me deixa sempre a conta reduzida a metade. Isto já aconteceu este ano pelo menos 20 vezes sendo que nos ultimos meses não tem acontecido o que já é uma melhoria.

Bem se calhar ainda vão dizer que estou na fase 1

No fundo gostava mesmo de saber como se passa a fase 34 uma vez que já me deparei com ela várias vezes e continuo a deparar-me constantemente

Abraço e obrigado

- tenho a conta sempre nos 100% de utilização de margem. Quando não está toca a comprar algo o que faz que em optimos pontos de compra para determinado activo não há guito
- Raramente uso STOPS o que me faz passar o dia todo em frente ao computador. Ou seja, os meus STOPS são automáticos nos 200% de margem o que me deixa sempre a conta reduzida a metade. Isto já aconteceu este ano pelo menos 20 vezes sendo que nos ultimos meses não tem acontecido o que já é uma melhoria.

zecatreca Escreveu:Caro nunoand99

Pelo que li parece que ser um filosofo (ou professor
da area) de profissao

Sábias frazes foram proferidas por si que me levaram
a ler por 2 vezes os seus post's , entre algumas
menciono "ter mente aberta". Ler ate à mais
infima barbaridade postada com o minimo de fundamento, nos faz aprender com os
erros dos outros. Ate essas podem estar correctas.

Continue que eu estou a gostar!

Cumprimentos

mapaman Escreveu:

salvadorveiga Escreveu:

mapaman Escreveu:boas,

estive a ler este tópico e gostava de saber de que forma confirmam que estão aqui,ali ou noutro lugar qualquer?

sempre li que certezas nisto não existem,e o que pergunto é de que forma transformam essas certezas em lucros?

Do salvador já conheço muitos,agora gostava de ver uns gráficos do autor do tópico para "ver" de que forma transporta para a "vida real" o imenso conhecimento que transparece dos posts.

cumps

n percebi mapaman, o autor do topico fui eu...

Podes ser mais esclarecedor sff?

Abraço

as minhas desculpas.

assumo o erro quanto ao autor.

o resto mantenho.

abraço

julgo que deverias organizar melhor as ideias e não

"E sai tudo de uma "assentada"...
É que eu respiro "isto" "

Caso contrário estás apenas a falar contigo mesmo.

whitebala Escreveu:Achei fantastico o segundo artigo sobretudo o ponto 4 sobre que o importante "não é prever o que vai acontecer amanhã" mas sim saber como reagir aos permanentes inputs que o mercado nos dá.

Se tiveres mais artigos do estilo...por mim são bem vindos

Abraço

Do Charts Work?

This question is the subject of many debates but it really shouldn’t be so disputed. The answer is yes, charts absolutely work and do exactly what they’re supposed to do, but the reason so many people argue this fact is because their idea of what they’re supposed to do is skewed. Charts don’t tell you the future, when to buy, when to sell, etc. What they do is reflect everything that has happened and everything that is known about the security (stock, stock option, future, bond, fund, or any other financial asset) being charted, and it is the job of the trader to take any clues they may see in that chart to make educated guesses, then translate those guesses into trades. If one hundred traders all looked at the same chart and all of them decided to go long (buy) and none of them decided to go short (sell), you may assume that the chart is predicting a move up. Then, if the stock happens to crash, would you say that the chart was wrong? Nope. The traders were wrong, the chart did exactly what it was supposed to do, reflect the action. As soon as your expectations of what charts are supposed to do become realistic, then you can start to take advantage of them. I can’t tell you how many times I’ve heard people say things like “Charts are meaningless on this stock because it’s a news play” or some other excuse. Then you have chartists who add more confusion to the situation by saying things like “This stock is moving because of the chart”. Again, a chart is never meaningless because it will always reflect exactly what is happening, and stocks don’t move because of charts, but they may give you clues as to when they’re going to move.

Being a successful trader is all about playing the odds, and though a chart will never give you a definitive, guaranteed to work buy or sell signal, when used properly they can help you identify trades where the odds are in your favor. That’s all it comes down to, if you can identify the setups where the odds are better than 50% in your favor, over time you will be profitable if you only take those trades. That’s also assuming that you practice proper money and risk management, but that’s beyond the scope of this article. Here’s an example of how I may use a chart to identify a possible trade with limited risk and where the odds are better than 50% in my favor: Say the stock GOOG (Google) has been hit with some heavy selling and the price has been severely beaten down for a few days. Based on the chart, I identify an area of potentially strong support at 350, and the price is starting to fall to that range. In this article I won’t get into what to look for to identify support and resistance, but what they represent is areas where in the past have been met with heavy buying or selling, and therefore it’s reasonable to assume it may happen again. Eventually the price makes it’s way down to the 350 range and now I start to see an increase in volume, as well as the price start to level off, even going up a little. How do I know this? Well the volume is easy to see on the chart and so is the rising price. So here’s what I know: GOOG had been declining in value at a rapid pace, there is potential support around 350, the volume has picked up since the price got to the the 350 range, and the price has even slightly rebounded from it’s lowest point. Those are all facts and they are all reflected in the chart, now it’s my job to take those facts and decide whether or not I see a potential trade, and what that trade should be. Based on all that is reflected in the chart, I decide that the stock is currently oversold, at least temporarily, and that the market is starting to find buyers in this 350 range, so there’s a good chance that the sellers are exhausted and therefore GOOG could see a nice bounce soon. Should this bounce materialize, it’s not the chart that was right, it was my prediction based on what I saw in the chart. So I end up buying GOOG at 352, but then a new wave of sellers come in and quickly drop the price to 340. My prediction was wrong, the sellers weren’t exhausted and the buyers that came in at the 350 support were only enough to slow the free fall temporarily. Again, the chart wasn’t wrong, just my prediction. The good news is that charts can also help you limit your risk on a trade too. Since I identified the support range at 350, I knew to bail when I saw the sellers bring the price below it, and I was stopped out at 345, for roughly a 2% loss.

I think so many people are skeptical of charts and the possible benefits they offer because they have unrealistic expectations from them, they aren’t willing to put in the time it takes to learn to read them and then properly use them, and they’ve heard from so many other people that they’re useless. I forget where I read this, but I remember an article that supposedly debunked the use of chart technical analysis and it’s effectiveness, and it did so by implementing and testing some sort of simplistic method based on moving average crossovers. If you’re not familiar with what that is, it’s basically one of the most simple buy or sell signals that I know of. Though it can be useful in the right context, without other indicators or confirming criteria, it’s a method that is destined for failure. People are often looking for the holy grail when it comes to charts and buy/sell signals. Just like the person who supposedly debunked the effectiveness of charts, they want some sort of simple to follow signal that makes them money every time or nearly every time. If it were that simple, everyone would know about it and everyone would be rich.

So do charts work? If by ‘work’ you mean provide you with easy to read buy and sell signals that will instantly make you a great trader, then no they don’t work. If by ‘work’ you mean reflect everything that is known by the market about that security, then yes, they work every single time. Are there people out there that use the clues from charts to develop sound trading strategies and an in depth perspective into how a security trades? Absolutely, and that’s a fact.

mapaman Escreveu:boas,

estive a ler este tópico e gostava de saber de que forma confirmam que estão aqui,ali ou noutro lugar qualquer?

sempre li que certezas nisto não existem,e o que pergunto é de que forma transformam essas certezas em lucros?

Do salvador já conheço muitos,agora gostava de ver uns gráficos do autor do tópico para "ver" de que forma transporta para a "vida real" o imenso conhecimento que transparece dos posts.

cumps

cannot Escreveu:

cannot Escreveu:Segundo estas fases eu estou +- aqui:

19 We start trading again, this time with rules and find some success, but overall we still hesitate when it comes time to execute.
20 We add, subtract and modify rules as we see a need to be more proficient with our rules.

Abraço

Depois espero passar directamente para aqui, sem ter que "sofrer" com todas as outras etapas:

36 We stop thinking and allow our rules to trade for us (trading becomes boring, but successful) and our trading account continues to grow as we increase our contract size.

Usando sistemas de trading baseados em Machine Learning, que fazem realmente os trades por nós.

"E sai tudo de uma "assentada"...
É que eu respiro "isto" "

cannot Escreveu:pois é nunoand99, posso dizer-te que não consegui retirar nada daquilo que dizes

o que me ficou foi: bla, bla, medo, bla, bla, ganância, bla, MM, bla, sou eu, já volto, bla, bla...

que grande confusão.

salvadorveiga Escreveu:

mapaman Escreveu:boas,

estive a ler este tópico e gostava de saber de que forma confirmam que estão aqui,ali ou noutro lugar qualquer?

sempre li que certezas nisto não existem,e o que pergunto é de que forma transformam essas certezas em lucros?

Do salvador já conheço muitos,agora gostava de ver uns gráficos do autor do tópico para "ver" de que forma transporta para a "vida real" o imenso conhecimento que transparece dos posts.

cumps

n percebi mapaman, o autor do topico fui eu...

Podes ser mais esclarecedor sff?

Abraço

mapaman Escreveu:boas,

estive a ler este tópico e gostava de saber de que forma confirmam que estão aqui,ali ou noutro lugar qualquer?

sempre li que certezas nisto não existem,e o que pergunto é de que forma transformam essas certezas em lucros?

Do salvador já conheço muitos,agora gostava de ver uns gráficos do autor do tópico para "ver" de que forma transporta para a "vida real" o imenso conhecimento que transparece dos posts.

cumps

salvadorveiga Escreveu:muito bom nuno tas onfire

quero ver essa tua ideia do money management tou curioso. um abraço