MTA May 2005 Conference Power Point Presentation

e-mail: jparent@nobid.com

MTA newsletter article (from May'05)

Other articles

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my lowK portfolio and hiK portfolio at Marketocracy.com

Amibroker - charting and analytic software
Marketocracy - THE best market simulation
Ward Systems - neural network software, classifier product was used in the presentation


Plug-in required to use Amibroker Formula Language scripts below
- contains aceTanh(x) function (same as tanh(x), but not a native function of AFL)
- copy to Amibroker Plug-in directory

ace.dll

Four Pass System To Model Daily Volatility
- uses Amibroker scanning feature
- must have stocks sorted into Yahoo Industry Groups (102 in all)
- fourth pass creates industry group RS composites
- .afl files can be viewed as text in your browser

pass1.scan.afl
pass2.scan.afl
pass3.scan.afl
pass4.scan.afl

Exploration to display indusrty groups table after 4 pass scan is complete

relativestrength102yahoo_sectors.explore.afl

References

MTA Journal

Bottom Fishing with Relative Strength, Steve Leuthold , May 1979

Relative Price Analysis - With A Twist,G. Edward Noonan, May 1980

Relative Strength Divergence Analysis, Fred Dickson, p.15-22, May, 1982

Deviation from Expected (Relative Strength Corrected for Beta), Arthur Merrill p.21-28, August 1982

A Simple Approach to Volatility, Richard C. Orr, ph.D, p.23-31 , November 1985

The Kase Dev-Stop, Cynthia Kase, p.36-42 Summer, 1993

Volatility Adjusted Momentum: An Indicator to Identify Unusual Momentum and Assist in Forecasting the Direction of Securities Prices, Louis Blyth Llanes, p.61- , Winter 1995

Sector Analysis Using New Highs and New Lows, Frank Teixeira CMT, p.49-55 , Spring 1997

A Practical Application of Alpha and Beta to Portfolio Construction, Robert Peirce, p.9-14, Summer-Fall 1997

New Relative Strength Concept – An Updated Version of an Old Indicator, Nicholas Daxelhoffer, p.9-13, Summer-Fall 1998

Predicting Rank Order Stock Price Performance Using a Multi-Factor Relative Price Strength Model, Frederic H. Dickson, CMT, p.9-13 , Winter-Spring 2000


Technical Analysis of Stocks and Commodities Magazine

Price path a new volatility measure by Joanne Hill, Ph.D. and Matthew Celebuski
Many trading strategies rely on market levels or changes in those levels for... V.6 12 457-461

Volatility analysis and simulation used in tactical trading Part 2 by Peter Eliason
The tactical trading algorithm, as explained in the March 1989 issue... V.7 7 224-226

Volatility analysis in tactical stock trading by Peter Eliason
Every stock, average and index has its own characteristic volatility range that holds the signals of impending... V.8 4 155-157

Measuring Volatility by Jean-Olivier Fraisse
Are financial markets becoming more and more volatile Can they still attract the small investor, even with such impressive fluctuations in daily... V.8 10 392-395

SIDEBAR Weighting schemes to computes implied volatility
This sidebar lists the types of weights based on volume, distance in- or out-of-the-money, and volatility... V. 8 10 392-395

Volatility And Trading by Jean-Olivier Fraisse
Volatility describes how fast and how much prices change. The larger a security's volatility, the wider its potential price move in a given... V.8 11 419-422

SIDEBAR Assessing volatility's predictive value
To assess the predictive value of volatility, I reviewed 1,443 days of price action on the Standard Poor's 100 stock index, starting on May... V.8 11 419-422

Volatility by Arthur A. Merrill, C.M.T.
Does the degree of volatility in the stock market give us any clue to the future of the market I tested day-to-day volatility and found that it does have a... V.9 1 38-38

The Relative Volatility Index by Donald Dorsey
This author modifies the basic relative strength index to measure volatility instead of daily net price change to generate trading... V.11 6 253-256

Redefining Volatility And Position Risk by C.A. Kase, C.T.A.
A method on looking at the volatility of intraday price bars using a stop system called the dev-stop. Volatility... V.11 10 432-436

The Volatility Index by David C. Stendahl
David Stendahl explains the volatility index VIX , which measures volatility based on the implied values of eight Standard Poor's 100 OEX options from... V.12 5 198-199

Refining the Relative Volatility Index by Donald Dorsey
The relative volatility index was designed to measure the direction of volatilty. Since it was first introduced, however,.. V.13 09 388-391

Historical Volatility and Pattern Recognition by Laurence A. Connors and Linda Bradford Raschke
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Markets move through phases during which volatility fluctuates. Here's how..V.16 6 265-272

Which Volatility Measure by Gordon Gustafson
Is it true Is average true range, an approximation, superior to standard deviation, the most beloved of quants, as a measure of volatility Many.. V. 19 6 46-50

(Working Money) Can Beta Help You Battle Volatility by David Penn
Of all the enemies of capital appreciation, stock price volatility is one of the most immediate. Can beta... V. 19 10 94-96

Four Measures Of Market Volatility by Frederic Ruffy
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The Truth About Volatility by Jim Berg
Many indicators can help identify volatility. But can you use them to target specific price areas for entry... V. 23 2 14-20