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TRACKING COMMODITY PORTFOLIO
Editor,
Is there a Website I can use to track my portfolio of commodities and options? Currently, I use Yahoo!, but it only covers the Chicago Board of Trade and doesnÕt provide quotes from NYMEX and other exchanges. Perhaps this topic could be the subject of a short article.
Tim Denker, via E-mailThanks for writing. Last month, we launched a new section called "Websites for Traders," where we describe Websites with features that traders would find of interest. We'll keep an eye out for a Website that offers commodity and options portfolio tracking. In the meantime, perhaps another reader can suggest such a Website.-- Editor
ELECTRONIC TRADING
Editor,
In your May 1999 interview with David Nassar, he refers to electronic communication networks (ECNS), which offer Level II quotes for trading. I am familiar with Level II quotes and daytrading -- I went to a seminar offering the equipment and training for daytrading. However, they required a $50,000 minimum balance to start.
My questions are the following: Is all daytrading based on leveraged positions? Is there a source for Level II quotes on the Internet or through a dial-up service? Is a $50,000 minimum balance standard for starting an account with an establishment that will provide ECN access? Nassar refers to electronic direct access trading (EDAT) for having a direct connection to the Nasdaq (as opposed to using an online brokerage, where orders go through a trading desk). Where is the access for EDAT trading?
I really enjoy your magazine. It's a great source of ideas. I like the articles that discuss research as opposed to the how-to-use-indicators articles. The research articles provide good support for how to go about developing and testing oneÕs own trading system.
Derkweed Lollaweed, via E-mail
First of all, you can try to daytrade almost any tradable. But when you refer to leveraged positions, you are speaking of options or futures. Most people who daytrade using a Level II quote screen are not daytrading leveraged positions; instead, they are trading the stock itself. You can access Level II quotes over the Internet from several sources. For starters, see our June 1999 review of eSignal, as well as our 1999 Bonus Issue for other data suppliers. Regarding the deposit, $50,000 is a reasonable amount for a broker to require to open an account, since undercapitalization is one of the leading reasons daytraders don't make it. For more about daytrading terminology, see Stuart Evens' Traders' Notes in our July 1999 issue.-- Editor
ZIG ZAG INDICATOR
Editor,
IÕve recently discovered the zigzag indicator on my MetaStock 6.5. I think this is a very interesting indicator. Could you tell me if there have been articles about how to implement this indicator? I haven't been able to find any on your Website.
Marc Siebel, The Netherlands
Try Arthur Merrill's book Filtered Waves, Basic Theory (Chappaqua, NY: The Analysis Press, 1977), which is all about the zigzag indicator.-- Editor
BRESSERT ECU INDICATOR
Editor,
I read with interest Walter Bressert and Doug Schaff's June 1999 article on identifying cycles, "The Euro's Weekly Cycles." I thought that one purpose of publishing an article was to make public how the research was conducted. Bressert shows us his ECU indicator, yet when I went to his Website and downloaded the indicator, it was locked. Is the code going to be revealed? This indicator is the main subject of the article.
Jim, via E-mailPerhaps Mr. Bressert will share more of his research. In the meantime, you have the indicator to use. -- Editor
PAST ARTICLES
Editor,
You have a great publication that has improved my results tremendously. I buy it every month and will be taking a subscription soon. How can I order past articles? Your Website only posts the article abstracts. Also, how much does each article cost? I started buying the magazine six months ago and would like to order an occasional older article if it is possible.
Tony Westin, via E-mailWe don't currently offer individual articles for sale, but we do sell single back issues if we have copies left. We usually have single back issues for recent years. (Call our Circulation Department at 800 832-4642 or E-mail them at circ@traders.com to inquire about a particular back issue. The cost is $8 apiece.) We also offer all our past articles collected in book form or on CD-ROM. And soon, we may offer individual articles for sale at our Website. Other plans include a CD-ROM that will offer articles for purchase in bundles of 10. -- Editor
MONTE CARLO SIMULATIONS
Editor,
IÕve been a subscriber for some time now and I havenÕt seen any articles on Monte Carlo simulations as it applies to verifying trading systems. Could you direct me to some resources where I can find some information on this powerful statistical tool? IÕd like to see an article in your magazine on Monte Carlo simulations for testing trading systems. Maybe even an article on the science of chaos and how it applies to trading.
Joel Beck, via E-mailFairfield, CA
Thanks for writing. We've published several articles in the past that borrow from the concept of Monte Carlo simulation, and we've also published articles on chaos theory. Here's a selection:Monte Carlo simulation:
Balsara, Nauzer J. [1992]. "Appreciating The Risk Of Ruin," Technical Analysis of STOCKS & COMMODITIES, Volume 10: December.
Ferguson, James William [1990]. "Reverse Martingales," Technical Analysis of STOCKS & COMMODITIES, Volume 8: March.
Hartle, Thom [1997]. "On The Fundamentals Of Technical Analysis: Andrew Lo," interview, Technical Analysis of STOCKS & COMMODITIES, Volume 15: December.
Hartle, Thom [1998]. "Charles White Of Tucson Asset Management," interview, Technical Analysis of STOCKS & COMMODITIES, Volume 16: February.
Katz, Jeffrey, and Donna McCormick [1997]. "Using Statistics With Trading Systems," Technical Analysis of STOCKS & COMMODITIES, Volume 15: August.
Malley, J.M. [1995]. "Trading, Profitability, And Leverage," Technical Analysis of STOCKS & COMMODITIES, Volume 13: April.
OÕMalley, Tom [1996]. "Trading With A Variable Position Size," Technical Analysis of STOCKS & COMMODITIES, Volume 14: May.
Pelletier, Bob [1992]. "Money Management Using Simulation And Chaos," Technical Analysis of STOCKS & COMMODITIES, Volume 10: April.
Chaos theory:
Anders, Bernd [1989]. "Chaos Theory And Market Behavior," Technical Analysis of STOCKS & COMMODITIES, Volume 7: November (391-395):
Guppy, Daryl [1998]. "Using Multiple Moving Averages," Technical Analysis of STOCKS & COMMODITIES, Volume 16: February.
Hannula, Hans, Ph.D., CTA [1996]. "Statistics Of Chaotic Markets," Technical Analysis of STOCKS & COMMODITIES, Volume 14: June.
Hannula, Hans, PhD, RSA, CTA [1990]. "Making Money With Chaos," Technical Analysis of STOCKS & COMMODITIES, Volume 8: August.
Hartle, Thom [1997]. "On The Fundamentals Of Technical Analysis: Andrew Lo," interview, Technical Analysis of STOCKS & COMMODITIES, Volume 15: December.
Hartle, Thom [1998]. "Asoka Selvarajah Of Rabobank International," interview, Technical Analysis of STOCKS & COMMODITIES, Volume 16: April.
Kean, John [1992]. "Chaos Theory And Neural Network Analysis," Technical Analysis of STOCKS & COMMODITIES, Volume 10: June.
Krynicki, Victor E., Ph.D. [1991]. "Nonlinearity, Chaos Theory And The DJIA," Technical Analysis of STOCKS & COMMODITIES, Volume 9: September.
METASTOCK FORMULA
Editor,
I enjoy your magazine immensely. I read your interview with Van K. Tharp in your April 1999 issue, which led me to buy a copy of Tharp's book, Trade Your Way To Financial Freedom, which led me to buy a copy of John Sweeney's book, Campaign Trading.
Your April 1999 issue also contained a very good article by Mark Vakkur titled "The Channel Breakout System." In the article, Vakkur gave the formula highest(high,buy_len)+1 point stop. Could you translate this formula into code for MetaStock? If not, then how about in a form that would be a reasonable approximation? I'm sure IÕm not the only subscriber who would like to have this. Keep up the good work.
Wolfgang Rebien, via E-mailI suggest contacting the developer of MetaStock, Equis International, regarding code for MetaStock. While we always encourage our authors to include code and spreadsheets with articles, we can't devote limited staff resources to developing code. However, we do offer our Traders' Tips section, which provides code for selected techniques described in the magazine, contributed by various software developers. In this case, we haven't covered the topic you mention in Traders' Tips. Good luck. -- Editor
ERRATA
Editor,
A problem with the sine calculation returning values below zero in the June 1999 TradersÕ Tips was brought to my attention by our EasyLanguage support group. To correct the problem, I made two modifications to the EasyLanguage. The modified function is shown below. This modified EasyLanguage is also posted on Omega ResearchÕs Website, https://www.omegaresearch.com.
Inputs: Length(Numeric);
Variables: Numerator(0), Denominator(0), Factor(180/6);Numerator = 0;
Denominator = 0;For value1 = 1 To Length Begin
Numerator = Numerator + MaxList(Sine(value1 * Factor), 0) *Close[Length - value1];
Denominator = Denominator + MaxList(Sine(value1 *Factor), 0);
End;If Denominator <> 0 Then
SWMA = Numerator / Denominator;Gaston SanchezOmega Research