Over the weekend, I mentioned that I was working on “trend detection” code. I was referring to trends in a scalping context, which is different from the traditional way of riding trends. For example, suppose that you got long at the bottom in March, rode the trend all the way up, and took profits at the peak in early June. That would have been a very nice trade, catching about 300 SPX points. With one ES futures contract, that would be a $15,000 profit.
But with vigorous and skillful scalping, I think it is possible to almost double that amount. In fact, in back-testing, Ziggy can get near that goal. Of course, we have to take our back-testing with a grain of salt, but scalping with a neutral bias can probably beat even the most precise trend-riding – even if the trend is of historic proportions.
But suppose that you could scalp the trend with a bullish, or bearish bias to match the primary trend? That would be something, right? The coastline gets longer and longer the finer you trace the fractal outlines.
On the other hand, being aggressive with the wrong bias will lead to terrible losses. So, this is the way I am thinking about trends.
JG,
The SSSI is no longer free. If I subscribe to it, I’ll start mentioning it again.
Matt
the links the past few days get more and more interesting
http://www.ritholtz.com/blog/2009/08/andy-xie-china-has-become-a-giant-ponzi-scheme/
could a 1115 move be first before a 838 move?
Yerk,
That’s an interesting chart you posted. Many “busted” patterns (that busted H&S on SPY was a biggie). Even the always-faithful divergences between price and various indicators – busted.
I saw the same thing happen during the more-or-less powerful upturn in 2007 right before it turned over and began the big crash. As I recall, and just confirmed, it even gave a nice H&S right before the turnover.
My take on this is that the wrong time frame is being analyzed for the current situation. Moving up to the weekly, there is a fairly clean picture of the current advance. Divergences and patterns are easier to spot along with the ever-popular MACD still cranking up with 3 stochastic cycles thus far.
I’ve noticed this anomaly of failed technicals on the intraday also. The 1 minute will have a nice divergence oand blow right through it. There will be patterns suggesting a move to the downside then price keeps moving up.
This is one of the reasons I move to a next-higher time frame as soon as possible as part of my trade management. Or, use two time frames to detect price movement more accurately.
Matt and Larry,
Thanks for the responses.
JG
Shanghai was ready to dive after lunch, at -1.7%. Then someone came in and saved the day. +0.25%.
Ah, this will be a long wait for me and I just started yesterday. Will it turn south before November 2012?
Larry rofl. I just had a discussion about the systemic meltdown in 09 or 10 – I have yet to meet someone with deeper insights who thinks this mess is over -, so you should be on the safe side before 2012.
George, the weekly to me seems to have room to run. Let’s see if the monthly takes over when the weekly tops out…
Looks like the market is setting up for the run to 1010 today.
ES is stuck between 992 and 995 now. let’s see what gives
Larry, your 8:57pm post : what bet is that ? are you short, have puts, etc ?
VXX – i have offer to sell for a buck or so profit for the next two days…
off to walk in the woods to swat at mosquitos.
have a great day all
20/20 on health care with John Stossel:
http://www.youtube.com/watch?v=gdx_2cuPgQQ
After, I am short the market since yesterday morning. I think the monetary stimulus game is over. And I will sit for at least two weeks – no matter what.
I am short Oslo. I think Shanghai (or the China story) and maybe Oil will go first.