Haps & Hazards of Back-Testing - MoneyMentor · 2014. 2. 3. · –Simple Moving Averages...
Transcript of Haps & Hazards of Back-Testing - MoneyMentor · 2014. 2. 3. · –Simple Moving Averages...
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20120502
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Sunny’s Dynamic Moving Average
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SunnyBands
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Today We Will
• Compare and Contrast
– Simple Moving Averages
– Exponential Moving Averages
– Bollinger Bands
– Keltner Channels
– SunnyBands
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Introduction
• After 30 years of trading and research, Sunny
Harris has developed many strategies both for
herself and for clients.
• More important than developing the strategies,
Sunny has developed testing methodologies that
have stood the test of time, and have become the
defacto standard in the trading community. In this
webinar Sunny will share some of her more
profitable trading concepts, and some of her
proprietary trading indicators.
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My Credentials
• Sunny J. Harris
• BA, MS, PhD Mathematics
• Trading since 1981 (30 years)
• #1 Rated trader by Stark Research 1993 &
1994 (365% & 178%)
• Research: Programming & Testing since 1981
• Teaching others to trade since 1986
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Books I Have Written:
• Trading 101—How to Trade Like a Pro
• Trading 102—Getting Down to Business
• Electronic Day Trading 101
• Getting Started in Trading
• TradeStation Made Easy!
• Working on Grading the Gurus
• …and more after that
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More about Me
• For a list of appearances, past and
present
• and a list of published articles,
• click here to go to
www.moneymentor.com
• then click on Seminars and then
Editorial
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Now for the Good Stuff
• How to make money trading
• The Steps
• The Indicators
• The Strategy
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Setting Your Goals
• Not everyone can trade the same
system.
• What’s good for the goose, is not
necessarily good for the gander.
• I might like 1-minute bars, and you
might like Daily bars.
• You might like 15-minute bars, and I
might like Weekly bars.
• Your system MUST be configured for
YOUR personality.
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How do you find your Time Frame?
• Before finding the right time frame, you
must first find the right instrument
• Bonds have a rhythm of 45-minute swings,
while the eMini has a rhythm of 15-minute
swings.
• Currencies swing on a daily chart.
• Mutual funds swing on a weekly chart.
• You must find the right rhythm
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Different Rhythms
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Finding the Right Symbol
• Don’t tell the market what you want to
trade.
• Let the market tell you where the money is.
• Start with screening the larger markets
– Dow 30
– Nasdaq 100
– S&P 500
– Russell 2000
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Doing both in Conjunction
• At the same time you query the
universe of symbols, you must still keep in
mind the Time Frame.
• At the same time you consider Time Frame,
you must still consider your own
personality.
• For instance, I have clients who:
– want only to trade in the first 2 hours
– only want to trade near the close
– want to place a trade and walk away
– want to do Mutual Fund switching
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Everything at Once
• You must consider
– Time Frame
– Time Constraints
– Universe of Symbols
• You must ask yourself:
– Where is the money?
– Where is the action?
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Start With
• Scanning the Universe of Symbols on
a Daily Basis
• RadarScreen setup:
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Another PHW Scan
• S&P 500
• Sorted w Highest PHW on top
• PHW Tells You What?
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What Does PHW Tell You?
• PHW stands for
– Potential Hourly Wage
• It is for you to evaluate whether you could
make more money trading or working at
McDonalds.
• It only makes sense to trade if you can
make money doing it
– Some people trade for the challenge
– Some people trade for the excitement
– These people lose money
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A Stock with a Low PHW
S: Sprint Nextel Corp
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A Stock with a High PHW
GOOG: Google
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Then pick a stock you can afford
• Filter by Price and by Volume (RS) ~
~
IF Close >= j_PriceBottom
AND Close <= j_PriceTop AND V >= j_VolMin
THEN BEGIN
Plot1( Close, "Price" , white) ; SetPlotBGColor(1,OKColor);
Plot2( Volume, "Volume" , white) ;
SetPlotBGColor(2,OKColor);
END;
If Close < j_PriceBottom
OR Close > j_PriceTop AND V < j_VolMin
THEN BEGIN
Plot1( Close, "Price" , white) ;
SetPlotBGColor(1,BadColor);
Plot2( Volume, "Volume" , white) ;
SetPlotBGColor(2,BadColor);
END;
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Filter by Price & Volume
Blue areas meet our criteria:
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Setting up the Filter
• Put in the Symbol Lists
• Insert the PHW Indicator
• Sort PHW from Highest to Lowest
• Select symbols within your price filter that
have the highest PHWs
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Filter PLUS PHW
• Qualifying stock must meet both filters
(High PHW and blue)
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How Much Is Enough?
• How Do You Know Whether Your Test
Generates Enough Profit?
• What is Possible?
• Should your chart generate $500, $5,000,
$50,000 or $100,000 or $500,000?
• You better know this before you begin
• Don’t just trade something because you
“feel like it”
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How Much Is Enough?
• That problem always perplexed me
• Until
• I invented an indicator to tell me
• On any chart, any time frame, any symbol
• Here’s how it looks on a chart:
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PHW Indicator at 0.01
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How Much Is Enough?
• This is one of the most important
indicators in all of my work
• For 2 reasons
1. How Much Is Enough?
2. Does My System Match the Dots?
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PHW Indicator at 0.02
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To see how much is enough:
• Give the chart space to the right
• Read the data on the right hand edge
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Now that you’ve found your Symbol
• How shall you Analyze It?
– Simple Moving Average
– Exponential Moving Average
– Bollinger Bands
– Keltner Channels
– SunnyBands
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Simple Moving Average
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Exponential Moving Average
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Bollinger Bands
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Keltner Channel
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SunnyBands
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Now that you’ve found your Symbol
• Put SunnyBands on the chart
• Tailor the settings
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Tailor the Settings
• Password Value
• OHLC
• OHLC
• FastDMA Length
• SlowDMA Length
• Fast Smoothing Factor
• Slow Smoothing Factor
• Color of Fast Line
• Color of Slow Line
• ATR Distance to Top Band
• ATR Distance to Bottom Band
• Thickness of Top Band
• Thickness of Bottom Band
• Thickness of Fast DMA
• Thickness of Slow DMA
• Password Text
• Precision of Calculations
• Return Value: do not change
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Different Band ATRs: 2.0
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Different Band ATRs: 1.5
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Different Band ATRs: 1.2
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Different Band ATRs: 1.0
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Different Band ATRs: 1.2 w 2.0
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ABA: Always Be Asking
• What Is True?
• What Is Happening?
• How Far is the Current Market Moving?
• What Happens When the Band is
Touched?
• What Happens if the DMA is Moving
Sideways?
• What Happens If the 15-min is Signaling
Short While the 1-min Signals Long?
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If There’s Only a Dollar
• TAKE IT!
• Don’t try to tell the Market where to go.
• What’s the Diff?
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Read the SunnyBands Values
• From the Right Hand Edge
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SunnyBands on Any TimeFrame
• 1 Minute
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SunnyBands on Any TimeFrame
• 5 Minute
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SunnyBands on Any TimeFrame
• 15 Minute
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SunnyBands on Any TimeFrame
• 30 Minute
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SunnyBands Combined w DMA
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Take Signal from Longer, Entry from
Shorter time frame SunnyBands
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Bands Over Bands
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What Are My Rules?
1. Take 1st Clue from VP-Prediction
2. Take Setup from 15-min and 30-min
Charts
3. Take Entries from 1-min and 5-min Charts
4. Enter Long when LT chart is red/magenta
& below lower SunnyBand, and ST chart
is also red and below lower SunnyBand
5. Take Profit when Attractor is reached, or
Upper SunnyBand on LT chart is
penetrated upward and then back
downward on red bar
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VP Prediction on MoneyMentor.com
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More of My Rules
6. When the DMA is “long” the bias is to
the up-side. Therefore, don’t expect a
short trade to drop further than the
midline.
7. If the DMA is flat, stay w the first entry
of the flat period until the DMA finds a
direction
8. If I got a short signal (blue/green going
up turns to red below Band) and
blue/green continues on up, reverse
and go long. This will likely be strong.
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More of My Rules
9. Opposite is true for Shorts
10.Wait for it.
11.Wait for Proof (ie move in the expected
direction)
12.There is always another trade
13.Take Your Losses FAST
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Wait for Correspondence
• 1 min & 5 min Charts
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Actual Trading Day
• 1 minute eMini S&P (ESU11)
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Actual Trading Day
“It takes TIME for profits to build.” –Larry Williams
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Example of Strong Up Move
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Time Sequence: July 4
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July 5
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July 6
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July 7
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July 10
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July 11-12
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What Are SunnyBars?
Wider Bars Show Increased Volume:
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SunnyBars: 5 min (Any Timeframe)
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What Are SessionBars?
Can be set to any Open & Close times
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What Are Attractors?
• Support
• Resistance
• Pennants
• Moving Averages
• Congestion Areas
• Draw them & set Alerts
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Attractors (1 min):
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Attractors (Daily)
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Pennants as Attractors
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Where’s the Market Going?
Daily Dow
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Where’s the Market Going?
Monthly Dow
14,000
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eSignal AdvancedGET
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and Don’t Forget
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That’s IT, in a NutShell
• For more information, or
• For consulting or tutoring
• Call me at (760) 908-3070, or
• Skype (760) 444-4174
• Fax (760) 859-3057
• Email me at:
• And visit www.moneymentor.com
• QUESTIONS?
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Special for Attendees of Webinar
• For all those who attended the 5/2/12
Webinar for TradersCoach.com I offer the
following:
• All of my products (except the book) at
50% OFF the prices listed on my website
(www.moneymentor.com) until 5/31/11.
• Thanks to all who attended.
• Remember that I’m happy to accept
phone calls: (760) 908-3070 PST.