Ebbnflow's Day-to-Day Chart / MAY'07

[ebbnflow]

ebbchart:

The System uses the ebbtracker's I-fund with simple cross-checking rules:

a) Two or more stop signs = safe haven (G/F-fund).
b) Two or more green signs = stocks (I-fund).

For further explanation of the ebbchart, see post#2 on this page.

 

[ebbnflow]

ebbchart patterns:

 

[ebbnflow]

For what it's worth:

............THU..FRI..MON
C-fund.....

S-fund....

I-fund.....

The System uses the ebbtracker's I-fund with simple cross-checking rules:

a) Two or more stop signs = safe haven (G/F-fund).
b) Two or more dollar signs = stocks (I-fund).

Following the above rules, I'm on the F-fund for Thursday/May 03 (2 stops) and Friday/May 04 (2 stops). It's the G-fund for next Monday/May 07 (2 stops).

 

[ebbnflow]

Howxotk, since the ebbtracker only tries to match the closest past historical patterns it can find, there's no guarantee the same results will prevail in the present. Through the trading technique employed by my use of patterns, trends and cycles, I know I will miss some gains, but I will also miss a lot of dips. Hopefully, I'd miss more of the latter.

I have finally tabulated the ebbchart's tally (going back since January 16) using the spreadsheet provided on this site. The only tweak/change I made was the elimination of the S-fund. I now only use the I-fund when going to stocks. Otherwise, the simple rules of cross-checking remains the same:

a) Two or more stop signs = safe haven (G/F-fund).
b) Two or more green signs = stocks (I-fund).

My ebbnflow tally won't reflect the ebbchart's results exactly because I haven't followed it correctly from the start. But by following the simple rules stated above the ebbchart's tally should be accurate.

 

[Spaf]

Gee Ebb,

According to your chart. I'll sleep in Monday. Tuesday I'll put the equipment in the Lilly Pad (boat). Wednesday I'll start her up. Thursday and Friday are the best Fishing days*.

*RE: Calendar from Mike's Hardware and Pblg. 2007

Regards

Spaf

 

[fabijo]

Ebb - Isn't it frustrating to see what returns you would've had if you followed your system? I always look at my monkeys and beat my head against the keyboard!

I like your idea of cross checking. That seems to be a pretty good idea. It seems like you used the I fund because it generally is the most volatile. It would be cool to see how it would do if it was combined with another tracker that said which fund is most volatile on the green days. Now that I have your tracker's historical moves, I might find some time to see how it would be doing if it was combined with my monkeys and your cross checking. On days the tracker says stocks, I'll see what fund the monkey says. On days out of stocks, I'll see what the tracker says about G/F.

 

[ebbnflow]

Yep, what could have been if we knew then what we know now. It's always the case I'm afraid, but without the journey it wouldn't be half as much fun.

I've been cross-checking my system with lots of other stuff also. I'm trying to see any patterns from volumes, vix and others. Maybe you can find some correlation with the ebbtracker and your monkeys that could boost your gains even more. Those monkeys are making big moves up the tally.

 

[ebbnflow]

Gee Ebb,

According to your chart. I'll sleep in Monday. Tuesday I'll put the equipment in the Lilly Pad (boat). Wednesday I'll start her up. Thursday and Friday are the best Fishing days*.

*RE: Calendar from Mike's Hardware and Pblg. 2007

Regards

Spaf

Yep, I'm going to start fishing again by Wednesday. Getting tired of the lily pad waiting for the small pullback.

 

[tspgo_com]

Ebb:

It seems you already know what you will be doing for entire the week. If there is significant change in the market (eg: a huge drop or huge gain), do you go back and recalculate to see if there has been a change in the current pattern for the remaining days?

Thanks.

 

[ebbnflow]

Ebb:

It seems you already know what you will be doing for entire the week. If there is significant change in the market (eg: a huge drop or huge gain), do you go back and recalculate to see if there has been a change in the current pattern for the remaining days?

Thanks.

Tspgo_com, I do, but it doesn't happen too often. It happened once back in March and again last April, and both times the changes turned out to be good gains for the ebbtracker. Usually, it only affects the last day of the chart.

 

[Warrenlm]

It appears the tracker would have avoided the Feb 27 drop. Does you data show it would have avoided the significant drops in the past?

 

[airlift]

Ebb and Fabijo,
What I have just finished reading in both of your last couple of posts makes me think that if both of you were to link up your efforts in a productive manner, you could have a real powerhouse, a fantastic money-making machine. Think of this possibility, you could reduce the losses and increase the gains perhaps exponentially! Best wishes!

 

[Birchtree]

That's why financial engineering is the graduate course to study - they are wanted by the private equity folks as well as hedge funds. All you need is an excellent foundation in math.

 

[ChemEng]

I wasnt aware that there was a financial engineering program anywhere...

 

[ebbnflow]

Oh, oh...AI traders are coming!

HAL 9000-Style Machines, Kubrick's Fantasy, Outwit Traders

By Jason Kelly

May 3 (Bloomberg) -- Way up in a New York skyscraper, inside the headquarters of Lehman Brothers Holdings Inc., Michael Kearns is trying to teach a computer to do something other machines can't: think like a Wall Street trader.

In his cubicle overlooking the trading floor, Kearns, 44, consults with Lehman Brothers traders as Ph.D.s tap away at secret software. The programs they're writing are designed to sift through billions of trades and spot subtle patterns in world markets.

Kearns, a computer scientist who has a doctorate from Harvard University, says the code is part of a dream he's been chasing for more than two decades: to imbue computers with artificial intelligence, or AI.

His vision of Wall Street conjures up science fiction fantasies of HAL 9000, the sentient computer in ``2001: A Space Odyssey.'' Instead of mindlessly crunching numbers, AI-powered circuitry one day will mimic our brains and understand our emotions -- and outsmart human stock pickers, he says.

``This is going to change the world, and it's going to change Wall Street,'' says Kearns, who spent the 1990s researching AI at Murray Hill, New Jersey-based Bell Laboratories, birthplace of the laser and the transistor.

As finance Ph.D.s, mathematicians and other computer-loving disciples of quantitative analysis challenge traditional traders and money managers, Kearns and a small band of AI scientists have set out to build the ultimate money machine.

For decades, investment banks and hedge fund firms have employed quants and their computers to uncover relationships in the markets and exploit them with rapid-fire trades.

Hyperquants

Quants seek to strip human emotions such as fear and greed out of investing. Today, their brand of computer-guided trading has reached levels undreamed of a decade ago. A third of all U.S. stock trades in 2006 were driven by automatic programs, or algorithms, according to Boston-based consulting firm Aite Group LLC. By 2010, that figure will reach 50 percent, according to Aite.

AI proponents say their time is at hand. Vasant Dhar, a former Morgan Stanley quant who teaches at New York University's Stern School of Business in Manhattan's Greenwich Village, is trying to program a computer to predict the ways in which unexpected events, such as the sudden death of an executive, might affect a company's stock price...

`Acid Test'

For Dhar, the markets are the ultimate AI lab. ``Reality is the acid test,'' says Dhar, a 1978 graduate of the Indian Institutes of Technology, or ITT, whose campuses are India's best schools for engineering and computer science. He collected his doctorate in artificial intelligence from the University of Pittsburgh.

A professor of information systems at Stern, Dhar left the school to become a principal at Morgan Stanley from 1994 to '97, where he founded the data-mining group and focused on automated trading and the profiling of asset management clients. He still builds computer models to help Wall Street firms predict markets and figure out clients' needs. Since 2002, his models have correctly predicted the stock prices from month to month 61 percent of the time, he says.

`Next Frontier'

Dhar says AI programs typically start with a human hunch about the markets. Let's say you think that rising volatility in stock prices may signal a coming ``breakout,'' Wall Street-speak for an abrupt rise or fall in prices. Dhar says he would select market indicators for volatility and stock prices, feed them into his AI algorithms and let them check whether that intuition is right. If it is, the program would look for market patterns that hold up over time and base trades on them...Read the whole article here.

That sounds very familiar.

 

[ebbnflow]

It appears the tracker would have avoided the Feb 27 drop. Does you data show it would have avoided the significant drops in the past?

It did avoid the Feb. 27 drop and three other big ones. I also missed some good gains along the way. I haven't tried to backtest the new cross-checking ebbtracker for last year. The cross-checking function (from C and S-fund) was added just recently (January 16, 2007).

But the bottom line is, when the simple rules of cross-checking were followed, the ebbchart did very well from Jan. 16 thru May 04 (+14.75%).

Simple cross-checking rules:

a) Two or more stop signs = safe haven (G/F-fund).
b) Two or more green signs = stocks (I-fund).

 

[ebbnflow]

Ebb and Fabijo,
What I have just finished reading in both of your last couple of posts makes me think that if both of you were to link up your efforts in a productive manner, you could have a real powerhouse, a fantastic money-making machine. Think of this possibility, you could reduce the losses and increase the gains perhaps exponentially! Best wishes!

Airlift, everytime I think of incorporating something else to the ebbtracker, I keep reminding myself to keep it simple.

 

[ebbnflow]

For what it's worth:

............TUE..WED..THU
C-fund.....

S-fund....

I-fund.....

The System uses the ebbtracker's I-fund with simple cross-checking rules:

a) Two or more stop signs = safe haven (G/F-fund).
b) Two or more dollar signs = stocks (I-fund).

Following the above rules, I'm on the F-fund for next Tuesday/May 08 (2 stops). The I-fund for Wednesday/May 09 (3 greens) and Thursday/May 10 (2 greens) with x-check in effect.

NOTE: Thursday is an x-check day. This x-check pattern (#2) has come up five times since January 16 and been correct 100% (5 of 5).

 

[airlift]

I thought there was a financial engineering program. Have you verified whether there is or not with Birchtree? Perhaps it is a new development in academics?

I wasnt aware that there was a financial engineering program anywhere...

 

[Howxotk]

Morning Ebb, Howxotk back, w/curiosity on your spin chart. Reading it is simple easy to understand, and seems to have a good success rate. Just interested in any short comings or concerns you might have with it in regards to it missing some strong gaining days...ie Fri, today. I decided to go againest it and stay in based on the AAII website that shows investor sentiment, Currently showing more bears than bulls. Hard for the market to sell off it the bears are already out!! FWIW H