S and c stock market

Back Home Search VOLUME S&C on CD Ch In This Issue by John Sweeney, Editor Back Trak/High Tech 10 Product Review: Direc-Tree Plus 14 Product Review: MetaStock Downloader 15 Product Review: Master Chartist by John Buchowski 19 Historical Data 24 Computer Investment Software 28 In This Issue by John Sweeney, Editor Ch 49 In Search of the Perfect System 50 Are There Patterns in Financial Ratios? by Clifford J Sherry, Ph.D 56 Profitability of Selected Technical Indicators: U.S T-Bond by Steven L Kille and Thomas P Drinka 59 Generalship for Consistent Profits by Vincent Cosentino 62 Trend of the Trend by Gregory L Morris 64 Applying Statistical Pattern Recognition to Commodity by Scott Brill 67 Product Review: Ganntrader I by Hans Hannula, Ph.D 72 Product Review: C3KANSYS by John Sweeney 77 Ch In This Issue 81 Copyright (c) Technical Analysis Inc Back Home Search VOLUME S&C on CD by John Sweeney, Editor Ch Letters to S&C 82 DJIA/NYSE Auto/Cross-Correlations by Frank Tarkany 85 Profitability of Selected Technical Indicators: Silver by Thomas P Drinka and Steven L Kille 86 Sweeney Agonistes 88 Changing Tides in the Investment Software Market by Thomas A Rorro 89 In Search of the Cause of Cycles by Hans Hannula, Ph.D 93 Wyckoff in Action, Part by David Weis 99 A Complete Computer Trading Program , Part by John F Ehlers 102 Product Review: Market Manager Plus 105 Product Review: Personal Options Advisor by Hans Hannula 108 Assessing Risk on Wall Street by Robert W Hull 112 In This Issue by John Sweeney, Associate Editor 115 Interview: Van K Tharp, Ph.D.: Trader’s Psychologist by John Sweeney 116 Letters to S&C 120 An After-Christmas Story by Ron Jaenisch 121 Floor Talk 126 Ch Copyright (c) Technical Analysis Inc Back Home Search VOLUME S&C on CD by William Eng Ch Weekly Price Cycles: Evidence of Auto-Correlation 127 Profitability of Selected Technical Indicators: by Steven L Kille and Thomas P Drinka 128 Calculating Retracements by Hal Swanson 132 Wyckoff Method, Part 9: Selecting the Best Individual by Jack K Hutson 136 Hardcard Offspring by Howard Falk 140 A Helping Hand from the Arms Index by James Alphier and Bill Kuhn 142 A Complete Computer Trading Program, Part by John F Ehlers 144 Using Maximum Adverse Excursions for Stops by John Sweeney 149 Ch In This Issue by John Sweeney, Associate Editor 153 Tools for Thinking Traders: MicroVest’s Steven Kille 154 Letters to S&C 157 Wyckoff Method, Part 10: Refining Chart Analysis by Jack K Hutson 158 Relative Strength Index Profitability With Money by Thomas P Drinka and Steven L Kille 162 How to Spot Takeover Candidates by Norman S Wei 165 Cycles and Chart Patterns by Anthony F Herbst 171 Copyright (c) Technical Analysis Inc Back Home Search VOLUME S&C on CD Book Review: The Big Hitters by Dr Alexander Elder 173 Book Review: Technical Analysis of the Futures Markets by John Sweeney 174 A Complete Computer Trading Program, Part by John F Ehlers 175 Enhanced Williams’ %R by Robert J Kinder, Jr 180 Product Review: Market Analyzer Plus 183 In This Issue by John Sweeney, Associate Editor Ch 187 Ch Interview: Larry Williams: Where Will He Go Next? 188 Letters to S&C 191 Wyckoff, Part 11: Maximizing Profits With Stop Orders by Jack K Hutson 192 Artificial Intelligence by Neil Gordon, Ph.D 195 Modern Portfolio Theory: A Powerful Tool for Futures by Gary S Antonacci 200 A Complete Computer Trading Program, Part by John F Ehlers 203 Winning Under Stress: The Fight-Flight Reaction by Van K Tharp, Ph.D 207 How to Be Wrong and Still Profit by David L Caplan 211 Eurodollar Futures Using Entry/Exit Methods Combined by Steven L Kille and Thomas P Drinka 214 Quick Scans 217 Copyright (c) Technical Analysis Inc Back Ch Home Search VOLUME S&C on CD by John Sweeney Product Review: Telescan Stock Evaluation Service by John Sweeney 218 Product Review: Speculator, The Futures Market Game 222 Ch In This Issue by John Sweeney, Associate Editor 225 Stop Worrying Yourself Out of Profits 226 Letters to S&C 229 Forecasting the Market with theOverbought/Oversold by Steven B Achelis 231 The Algebra of Inequalities by Donald D Bump, Ph.D 233 Intraday Swings with Wave Charts by Jack K Hutson 236 Modern Portfolio Theory in Managed Futures, Part by Gary S Antonacci 239 Using Stochastics by Cynthia Keel and Heidi Schmidt 242 Product Review: The Kelly Hotline by Bob Bukowski 245 Mutual Fund Timing by Fay H Dworkin, Ph.D 247 Product Review: Using ProfitTaker by Terry Apple 251 Book Review: The Professional Option Trader’s Manual by John Sweeney 254 Ch In This Issue by John Sweeney, Associate Editor Copyright (c) Technical Analysis Inc 257 Back Home Search VOLUME S&C on CD Ch Estimating the Market Profile Value Area for Intraday by Donald L Jones 258 Letters to S&C 260 The TEM Trading Systems and How It All Began by William Cruz 262 War Stories from Commodex by Philip Gotthelf 264 Introduction to Spread Investing, Part by Frank Taucher 269 Product Review: Economic Investor II by Bob Lang 272 Product Review: Essex Eurotrader by John Sweeney 275 Building a Trading System by Frank Alfonso 281 Gap Watching by Joe Van Nice 284 In This Issue by John Sweeney, Associate Editor Ch 287 Profitability of Selected Technical Indicators: by Thomas P Drinka and Steven L Kille 288 Point/Counterpoint (Markov Analysis) 292 Wyckoff Part 13: Serving a Trading Apprenticeship by Jack K Hutson 294 Spread Investing Tools of the Trade, Part by Frank Taucher 297 Want to Try Something HOT!? by John Sweeney 301 Copyright (c) Technical Analysis Inc Back Home Search VOLUME S&C on CD Money supply (M2): A Leading Economic Indicator by Clifford J Sherry, Ph.D In This Issue by John Sweeney, Editor Ch 10 304 311 Quick-Scans 312 Letters to S&C 314 Wyckoff, Part 14: Developing a Personal Trading Style by Jack K Hutson 316 Cyclical Analysis of Stock Prices with Astrology by Robert S Kimball 319 Spread Investing Advanced Concepts, Part by Frank Taucher 326 The Loss Trap by Van K Tharp, Ph.D 331 Book Review: Understanding Randomness by Clifford J Sherry, Ph.D 325 How to Use Maximum Entropy by John F Ehlers 334 Product Review: Options-80A by Hans Hannula, Ph.D 340 Ch In This Issue by John Sweeney, Editor 347 11 Letters to S&C 348 Cycles Without Tears by Hans Hannula, Ph.D 350 Market Profile and Market Logic, Part by Thomas P Drinka and Robert L McNutt 352 Flaws in the Roulette Wheel 356 Copyright (c) Technical Analysis Inc Back Home Search VOLUME S&C on CD by Curtis McKallip, Jr Ch Spread Investing, Part 11 361 by Frank Taucher Market Strategy (Wyckoff Method, Part 15) by Jack K Hutson 364 On Tips and Tipsters by Vincent Cosentino 369 The Danger in Profits by Van K Tharp, Ph.D 371 Price/Volume Cross-Correlations in the DJIA by Frank Tarkany 374 Product Review: Volatility Breakout System by John Sweeney 377 Product Review: Macro*World Investor 380 Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:1 (10-13): Back Trak High Tech Back Trak High Tech MicroVest P.O Box 272 Macomb, IL 61455 (309) 837-4512 Instruments: Stocks, Futures Computer: IBM PC, XT, AT with 512K; floppies or floppy and hard disk - drive; DOS 2.0 or higher; IBM graphics card and/or color monitor supported; 80-or 132-column IBM/EPSON compatible printer Databases Supported: Commodity Systems, Inc., 200 W Palmetto Pk Rd., Suite 200, Boca Raton, FL 33432, (305) 392-8663; Nite Line, 175 West Jackson, Suite A 1038, Chicago, IL 60604, (312) 427-5125 Prices: Back Trak and High Tech (IBM only) $695; High Tech $295 T his is a slick package and probably a "Best Buy." It will store data for you, extract it for study, apply up to 51 different technical studies to it, graph the results (on High Tech only) for your visual inspection, run simulations of trading strategies using the studies and techniques of money management that you select, and, finally, optimize the parameters of those studies to produce a trading system The only thing left to is phone in the orders! Back Trak/High Tech is competitive with packages such as CompuTrac ($ 1,500) and, to some extent, Profit Taker ($995), Swing Trader ($ 1,595), and SPECTRUM ($2,500) All except CompuTrac generally hand you a set of tools (i.e.: technical analysis indicators) which may or may not be disclosed, and let you test your own range of parameters on whatever time series of prices you select to find the "best" parameter set for your own personal trading system So popular has this approach become that one vendor has a total black box on the market with a contest to find the mysterious best parameters! Here we are reducing trading to a game show, an approach which I must protest The good folks who did this probably wanted to showcase the data/software in a friendly manner and have some fun at the same time, but it still irks me I must be turning into a prude in my old age Fortunately, there is a serious alternative Back Trak/High Tech is cheaper than its competitors and it has, by far, the most technical indicators to compute and test They are all disclosed and explained The flip side is that it is more of a toolbox than a way of thinking, as some of the others are You will have to supply some thought and conceptualization to the selection of the indicators you want From my point of view, that's ideal It's the right way to go about trading So how does it work? First of all, I tested it on a 64OK IBM-like ghost (the name had been etched off by Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:1 (10-13): Back Trak High Tech the liquidator) with a 10 megabyte hard drive, a mystery monitor (ditto), and a Panasonic KX-P1093 printer programmed to look like an Epson FX-185 On this rig, which has run everything ever sent No me, everything about Back Trak/High Tech worked, no questions asked, with the exception of the output to the printer which worked sporadically! Dumping to files worked without a hitch and is probably the better idea The High Tech module is the place to start Do not skip the setup choices on the menu Take the time to tell the program in which directory it may find its data and try to adjust the color schemes to your eyes About the only complaint I have about the programming is that someone put lines through the menu bars, making them practically illegible on color screens with lower resolution The homework being done, go directly to the meat: TECHNICAL INDICATORS Figure is a screen dump of your choices You just highlight the one you want, specify your parameters (or take proprietor Steve Kille's defaults) and tell the machine where you want it on the screen and how big you want it A typical result is Figure This takes less than a minute To add additional indicators, either on the graph you have or on another section of the screen, hit Return to go back to the TOOLS menu and Return again to select the TECHNICAL INDICATORS Page the cursor to the one you want, set parameters and position on the screen there it is Not only is this fast, it's simple Most prompts can be answered with Return so the process really flies You can set up the screen many different ways See Figures and as alternatives In color, they can be spectacular Not as good as my kids' space wars games on the Commodore but close! Printed out, as they are here, they lose punch but I don't suggest printing them out anyway You'll quickly bum up a lot of paper to which you'll seldom refer Leave it in the machine where it can be regurgitated at lightning speed and save your filing space Let's talk about hitches in High Tech Really, I can think of only one You don't get to select the beginning and ending dates of the prices graphed It seems to me an obvious improvement As to quality, point-and-figure charts are missing! These really are a staple I've expounded on their value before so there's no point in beating the drums again They'd be very nice to have Assuming you've done your homework with the indicators and graphics, you'll next want to see if your insights can make money Step out of High Tech and call up Back Trak (let's call it BT) You're going to love this: it feeds the trader's maniacal search for just the right set of numbers to produce money What Kille has done to you here is give you just about every conceivable way of trading just about every conceivable indicator Ninety-eight percent of the time BT will what you want For the other percent, a formula builder is under development and may be available by the time you read this Let me show you what I mean with illustrations right off the screen I could never discuss all the possibilities in an article of this length The first screen you'll run across is the Simulation Setup menu (Figure 5) The sequence of items is important In order to run a simulation, you cycle through each item which you wish to specify It serves as a very fast checklist to select the indicators you want (Figure 6) and their parameter ranges; the data files (manual or automated updating, CSI format, Figure 7); your stop strategy (Figure 8) and its parameters; your entry and exit method (Figure 9) and the optimization criterion (Figure 10) The prudent trader will also use the output option to limit the printing which could be truly voluminous! Those are just the items I used routinely You may very well use the others, of which a unique one is the Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (374-376): Price/Volume Cross-Correlations in the DJIA by Frank Tarkany When the tabulation was completed a computer was used to calculate the Price/Volume Cross-Correlation Coefficient (r) and chi-square Statistics (χ2) The technique for these calculations is explained in the March 1987 Stocks & Commodities article titled "DJIA/NYSE Auto/ Cross-Correlations." The correlation coefficient (r) and chi-square statistic (χ2) are calculated as shown below:  C  r = AD − B  (C + D)(A + C)( B + D),  A + B where A = ++ count, B = -+ count, C = +- count and D = -count χ2=r2N, where N = A + B + C + D The program then calculates the same statistics using Price Percent Filters from % to 10% for four different time frames from January 2, 1897 to January 2, 1987 Results Figure summarizes the results: Column is the filter's magnitude in percent Columns 2,3,4 / 5,6,7 / 8,9, 10 and 11 , 12,13 show the number of data points, correlation coefficient (r) and chi-square statistic (χ2) for each time frame Figures through illustrate the 10% PPF price and volume values from January 2, 1897 to August 12, 1982 Figure is from August 12, 1982 to December 12, 1986 with the 1% PPF overlaid on the 10% PPF Conclusions (June 13, 1949 to January 2, 1987) In recent times, the 10% Price Percent Filter has the highest positive price/volume change, cross-correlation correlation coefficient of 0.5509 Next is 9% at 0.4424 All ten Price Percent Filters have a chi-square confidence level greater than 99.5% except 8% (chi-square > 99%) Frank Tarkany has worked for the last 20 years in computer software applications, mainly in the military weapons systems and scientific fields Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (374-376): Price/Volume Cross-Correlations in the DJIA by Frank Tarkany FIGURE 1: Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (374-376): Price/Volume Cross-Correlations in the DJIA by Frank Tarkany FIGURE 2: FIGURE 3: 10% Price Percent Filter and Volume Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (374-376): Price/Volume Cross-Correlations in the DJIA by Frank Tarkany FIGURE 4: 10% Price Percent Filter and Volume FIGURE 5: 10% Price Percent Filter and Volume 10% Volume filter Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (374-376): Price/Volume Cross-Correlations in the DJIA by Frank Tarkany FIGURE 6: 10% and 1% Price Percent Filter and Volume Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (361-363): Spread investing Part by Frank Taucher Spread investing Part by Frank Taucher W hat if you have no interest in trading spreads, but prefer to trade outright commodity contracts? Could you use the same principles developed in the spread investing program laid out in this series of articles and apply them to trades in individual futures contracts? The answer to the above question is "yes." I use the same two tools in analyzing outright seasonals as I analyzing spread seasonals These tools are the quarter-month seasonal trade analysis and seasonal history printout What we are specifically attempting to uncover is the cream-of-the-crop period of the year when it is usually quite profitable to trade a particular commodity and also quite reliable In other words, we want trades that have averaged a considerable profit over the years, and also have been able to experience those profits year after year after year Some examples are quite obvious: the winter rise in heating oil, the summer rise in gasoline, the pre-harvest rises and post-harvest declines in crop commodities Others are not so obvious: the rise in Treasury bills as income tax payments are made in the spring and interest rates decline, the end-of-the-year repatriation of foreign earnings and their effect on the currencies, and the mid-year decline in lumber prices A logical extension of these situations is that we not only want to profit from a particular commodity market during a specified period of time, but also want to leave the commodity alone during the rest of the year unless another seasonal is found to exist The development of a diversified portfolio of seasonal trades is the reason why the commodity can be neglected during non-focused periods Since there are enough trades to keep funds fully invested throughout the year, it is not necessary to chase trades during non-focused periods Of course, it goes without saying that a favorite trading system or method can be used in combination Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (361-363): Spread investing Part by Frank Taucher with seasonals to further filter the trades, just as was done in our last article with the spread trades Thus, a seasonal investment program not only tells us which market to trade and when, but also the direction and extent of the expected move, the specific contract month to trade that best exemplifies the move, a point at which to call it quits (the stop level), and supplies us with a sufficient number of trades to diversify our funds Let's look at a specific example: March corn in the 19 years from 1969-1987 In Figure 1, the quarter-month seasonal trade analysis matrix, we have isolated the period from November (1107) to February 28 (228) as one of declining prices in the March corn contract Specifically, 84% of the time this contract has tended to decline $603 during this period 84% of the time as indicated in the cell where the entry date of 1107 and the exit date of 228 meet, producing the numbers "603/16" (The 16 is the probability that corn has gone up— so that 84% is the probability it has gone down.) At the bottom of the matrix are the average prices of March corn over the entire 19- year period It is these prices that we plot in Figure to graph the spread from October 31 to March In the seasonal trade printout (Figure 3), rather than listing all 19 years, I have isolated three years in particular Any grain trader who has been around the pits since the late 1960s would want to see what happened during the grain explosion of 1973 Hence, the 1973 experience (using March 74 contract) is listed along with the following year, 1974, and the experience in 1986 (using, of course, the March 1987 contract) Most of the numbers are self-explanatory and at the bottom of the table, the pertinent statistical data is summarized for all 19 years Note that the worst loss was experienced in 1973 ($3,913), but 1974 had the largest gain of all 19 years ($6,463) Such is often the case in seasonality When a large contra-seasonal occurs in a commodity market, the following year often provides an abnormally large seasonal move as the contra-seasonal move is corrected Inspecting all 19 trades would show you the trade displays sufficient consistency to qualify as a seasonal trade In this inspection, it becomes apparent that a stop of $ 1,100 should be used Indeed, if this stop had been used, total profits would have been increased on this trade by $3,3264 to $14,827 and the average profit would have increased to more than $780 per trade It is also possible to make the same type of calculations that were made with the spread trades For instance, if we take the March corn seasonal and divide the sum of the margin ($500 plus the stop ($1,100) into the average profit, we obtain: $603/ ($500 + $1,100) = 37.7%, which annualizes to more than 120% Earlier, the importance of having a diversified portfolio of many seasonal trades was mentioned In my investment program, I use the quarter-month sheets to construct three different seasonal portfolios The large portfolio has more than 250 seasonal trades in it and, at its peak, has a $60,000 margin requirement The medium portfolio has more than 100 trades and requires $30,000 in margin money, while the small portfolio, which consists of just over 70 seasonal trades in nine commodities (gold, bonds, lumber, heating oil, pork bellies, soybeans, wheat, sugar and the Deutschemark or one from each major commodities group) has a $15,000 margin requirement (The medium portfolio adds coffee and the S&P 500 to the commodities in the small portfolio) In this article, we have seen that the same principles discussed earlier in my spread investing program apply to individual contracts as well We have seen how individual trades are developed and how our Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (361-363): Spread investing Part by Frank Taucher various portfolios are developed from individual trades The main feature of these portfolios is, again, the tremendous amount of diversification they provide the trader throughout the year Frank Taucher, Suite 190, 8236 E 71st St., Tulsa, OK 74133, publishes The 1987 Commodity Trader's Almanac FIGURE Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (361-363): Spread investing Part by Frank Taucher FIGURE FIGURE Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (377-379): Volatility Breakout System Version by John Sweeney Volatility Breakout System Version by John Sweeney Technical Trading Strategies, Inc 4877 S Everett St Littleton, CO, 80123 (800)648-2232 Service: Disclosed trading system for Treasury bonds, notes and bills; Eurodollars, municipal bonds, Deutschemarks, Yen, Swiss Franc, British Pound, S&P 500, Value Line, NYFE index and Maxi Index Other contracts can be entered Price: $3,000.00 Equipment: IBM PC/XT/AT or 100% compatible, 384K RAM, DOS 2.0 or higher, hard disk and one floppy or two floppies Copy protected Ratings: Ease of Use: A Customer Service: A Documentation: A Reliability: A Error Handling: A* Profitability: A Minimizing Losses: A+ * BETA test of Version worked well but hasn't been in the field long enough to be sure Version worked perfectly I t turns out it is possible to devise a trading strategy which effectively minimizes drawdowns while steadily building your accounts balance Doug Bry and Phil Spertus have put together such a package in Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (377-379): Volatility Breakout System Version by John Sweeney the Volatility Breakout System (VBS for short) VBS was designed to accept very short-range pricing data and generate reliable trading signals for trades of much longer duration To that, its developers studied four parameters of pricing activity: time horizon, price range, trading boundaries beyond the range and volatility, both minimum and maximum They asked themselves: "How much excursion beyond the recent trading range indicates a move which can be traded profitably?" It turns out there are many profitable answers to that question and VBS allows you to explore past data for those answers and generates trading signals to exploit the answers you find If you don't have the urge to explore, Bry provides a good starting set of parameters for bonds, S&P 500 and Dmarks A strong point in this system's favor is that it is completely disclosed and, for once, the explanation is very clearly written You could run this with a paper and pencil but the computer package is most likely a better idea Short-term pricing patterns seem to be the rage in trading circles today: recall Larry Williams' interview in these pages (Stocks & Commodities, June 1987) A similar approach is probably found in JC Productions' Deutschemark trading program In VBS, we have the best disclosure available, the best back-testing facility, the broadest application in contracts, the best drawdown record—and the highest price! Lifestyle VBS does require that you get up in the morning You can't check the data during a leisurely after-dinner read and phone in the orders the following morning Here you need to know the opening price to put in a couple of contingent orders (VBS will write these out for you!) Thus, you need to: (1) be able to think at a.m and (2) have a broker who can handle contingent orders If you are using a discount house, go over these with your trading desk supervisor to see if they can handle it In fact, this is one of those things you should check during the first few days you have the package Drawdown Although profitability is usually the first thing a trader looks for in a system, the impressive thing about VBS is that its equity drawdowns are so low Figure is Stocks & Commodities' start-up portfolio from the arbitrary date of March 9, 1987 The portfolio traded bonds, S&P's and Dmarks because these contracts had recommended parameters from the authors of the system Once you exceed the volatility parameters of the system, it quietly exits Thus, you are not likely to be in an environment where sudden large drawdowns occur It can still happen (see day in Figure 1!) but they are less likely On days 37-61 (April 27 to June 1) the system got out of all these markets and marked time—they were too volatile to trade with this parameter set That is, past experience had shown it to be more profitable to avoid trading during such volatile periods As volatility dampened in July, tradeable opportunities started showing up after a period when portfolio drawdown was minimized The system also features an exit when volatility is too low to generate profitable trading Those futures or stocks where "Dead Stop" sometimes occurs can be better traded when this feature indicates standing aside is prudent Trade identification A good trade doesn't go far wrong and if it is a loser it shows up quickly I plotted how far VBS' winning Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (377-379): Volatility Breakout System Version by John Sweeney and losing trades went against the recommended positions to see how much mental agony went with this system and whether it could effectively identify winning vs losing trades(for more on this technique, see Stocks & Commodities, October 1985) VBS does a very good job indeed, although its effectiveness can vary Figure 2a is the maximum adverse excursion of winning and losing Deutschemark trades It's just OK— more winners than losers and an effective cutoff for stop placement at 50 trading points It would be nicer if the losers had bigger adverse movements so the 50-point stop would cut them off early However, for Deutschemarks, the winning trade curve is very similar to the losing trade curve For both S&P's and bonds, the situation is more complex Both Figures 2b and 2c have a large number of winning trades with no adverse excursion at all—zero This means you could, were you willing, set extremely close stops (9 points in bonds and 60 points in S&P's) that would get hit at least 70% of the time and still quite well on the few trades that were winners from the moment they were put on! More conventionally, you could just let VBS' own stop system and volatility limitations get you out The figures in this article were prepared using VBS' stops and reversals, so they don't show much distinction between the shapes of the winning and losing curves That indicates VBS has pretty much found the good stop or reversal points There is one exception Note that you could put a stop at 240 S&P trading points and eliminate some very hefty losers! The general lack of improvements through stop placement indicates to me that the parameters developed by Bry are pretty effective Profitability VBS' track record, replicable on the version you receive, is quite good It uses only bonds, S&P's and Dmarks to come up with profits of $45,000 to $110,000 while holding maximum drawdowns to less than $5,000.in five years Win percentages were all over 50% That doesn't guarantee a prosperous future but in the prospective testing I did, I found the system adept at making good profits and holding on to them We'll need another five years to be sure but the trading I watched was quite similar to the historical record VBS track record is done with the parameters disclosed in the manual It also comes with five years of CSI data and a nifty, if long-running, optimization capability You can set it to search thousands of combinations of the four parameters and then home in on the few that look good My advice is: "Look outside the ranges you might intuitively consider." I had optimized within the constraints of my own desires (i.e., low volatility), but found good areas outside those constraints when Doug pointed them out to me Once you have the parameters you want, you can create a track record on a summary or day-by-day basis The day-by-day feature shows the prices, drawdowns, calculated values for entry and exit, profits and losses—the whole schmeer Or you can get a one-line summary This part is well done and ran without glitches for me, a surprise since it is a rollover system that uses the data from all the actual leading contracts Thus, there are no artificialities associated with perpetual contracts The system trades the real thing Nuts and bolts I tested the system for about four months In all cases, it worked well I did have questions about things I Article Text Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (377-379): Volatility Breakout System Version by John Sweeney missed when I read the manual for the first time, and Doug Bry answered them all instantly The manual is clearly written and takes you through everything in good order and the new Version is extensively menuized Space prevents me from reciting all the convenience features but I can comment that most all the bells and whistles that have made trading packages easy to use can be found here If you are using CSI data as I did, you'll be able to automate your data update just by using your native CSI files VBS has the unique capability to search throughout your hard disk for all CSI directories and string together the contracts it needs to complete a long-term optimization study or, for that matter, a daily signal output Those with large data directories will appreciate this feature Manual data entry also is possible through DOS's EDLIN, Lotus 1-2-3, or an editor built into the package Conclusion I like this package The trading idea— following the move outside an expected range—turns out to be robust and the package allows you to study it in depth The disclosure is complete and very educational VBS allows you to specify and backtest a system that trades those markets behaving well and get out of those that are not Plus, it makes money with very well-controlled drawdowns How much it makes depends on your parameters and your discipline Customer service is reputed to be very good and the service we received was tops— but then we were doing a review! Certainly, Technical Trading Strategies took all our criticisms to heart immediately and popped appropriate revisions into Version The price is very steep considering the competition is at $700 to $1000, but then this is one system that hasn't yet stumbled Keeping in mind that that could still happen, I'll have to leave the purchase decision to you However, I think enough of it to add this program to our comparisons contest with Eurotrader and the Kelly Hotline FIGURE Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (377-379): Volatility Breakout System Version by John Sweeney FIGURE 2a FIGURE 2b Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:11 (377-379): Volatility Breakout System Version by John Sweeney FIGURE 2c Figures Copyright (c) Technical Analysis Inc ... Tech FIGURE FIGURE Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:1 (10-13): Back Trak High Tech FIGURE FIGURE Figures Copyright (c) Technical Analysis Inc Stocks & Commodities... Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:1 (10-13): Back Trak High Tech FIGURE FIGURE Figures Copyright (c) Technical Analysis Inc Stocks & Commodities V 5:1 (10-13): Back Trak... compare in commission cost for any particular transaction in stocks, options, or bonds The user enters the number of shares, contracts, or bonds and price accordingly The trader can readily see