Explanation request

[gibasse]

Hello to everybody, I'm new to the site.
I would like to ask what is the 20D Money Flow stregth I found almost everywhere in the online documentation and how it is calculated.
Moreover I would like to ask if there is a description of all the columns in the various tabs of the Excel file PascalA_List.xls.
Giuseppe

[Pascal]

Hello to everybody, I'm new to the site.
I would like to ask what is the 20D Money Flow stregth I found almost everywhere in the online documentation and how it is calculated.
Moreover I would like to ask if there is a description of all the columns in the various tabs of the Excel file PascalA_List.xls.
Giuseppe

The 20D MF is simply a weighted measure of the LEV * Price for a set of stocks in a specific sector. This is measured on a 20D rolling window and allows to see if large players are moving in/out of some specific sectors. The basic explanation can be found in Ch 8 of the VIT book.



Pascal

[gibasse]

To synthesize my question I don't understand what are some columns inthe PascalA_List file.
For example (see tab stocks):
- strength Aver Tot EV
- Extension Tot EV
- 2D Thrust
- Extension
And is there a reference file that explain in detail all the columns of the aforementioned Excel file?
Thank you
Giuseppe

[pdp-brugge]

Hi Guiseppe,

A while back I have made a document (for my own purposes) about the different terms used on this website.
I believe it is my own interpretation that maybe is not always correct.
If anyone else believes that some things in this document are not correct: please correct then and post the corrected document.
My native language is Dutch so please keep this in mind while reading my written English.
Good luck

PdP

14168

[gibasse]

Ref. Excel file PascalA_List.
I still have some doubts.
- Is it possible to explain a bit better the "Extension Tot EV"?
- I understand how it is calculated the rating column in the "stocks" tab. And the same column in the "Sectors" tab?
- How is it defined the 2D thrust for sectors?
- In the "Worst_Stocks" tab the thrust is EV-EV how many days ago?
Thanks

[Pascal]

The Advanced Search feature could be interesting to use.
For example: I typed "TEV Extension" and got the following link where it is explained.

http://www.effectivevolume.com/showthread.php?4613-Trading-ideas-table&highlight=TEV+Extension

The 2D Thrust is simply the TEV of the last two days divided by absolute value of the average TEV of the previous 10 days. For one sector, I simply take the average Thrust of all the stocks of the sector. The Thrust is always calculated using 2 days.

The rating for each stock is calculated giving 1/3 weight on the AB (Active Boundaries) indicator, 1/3 on LER and 1/3 on the sector. This means that the stocks with the strongest rating belong to sectors that are attractive, stocks that are cheap in terms of AB and that attract money in terms of LER.



Pascal

[gibasse]

Thank you for the answer.
To further simplify where do Thrust differs from 2D thrust?

With reference to the pdf "The 20DMF November 22, 2011" could you clarify a bit better when a secondary short position can start?
The strategy is defined to be applied to SPY ETF?
In your backtests I saw you took the close price (of the S&P500 index). But in the real time trading the first price available for trading, after your charts are released, is the open price. Have you ever backtest your ideas trading at the open instead that at the close?
Giuseppe

[Pascal]

Thank you for the answer.
To further simplify where do Thrust differs from 2D thrust?

With reference to the pdf "The 20DMF November 22, 2011" could you clarify a bit better when a secondary short position can start?
The strategy is defined to be applied to SPY ETF?
In your back-tests I saw you took the close price (of the S&P500 index). But in the real time trading the first price available for trading, after your charts are released, is the open price. Have you ever backtest your ideas trading at the open instead that at the close?
Giuseppe

Hi Giuseppe,



Thrust refers to 2D Thrust.
Regarding secondary positions using the 20DMF, I did not back-test such ideas using the 20DMF.
The 20DMF is only a market direction model. It can be used to trade broad market indexes such as SPY or IWM.
Although I trade it using double leveraged intruments, I do not advise using leverage.
I would trade either IWM or SPY depending on the US$/Euro trend/balance. These days, since the problems are located in Euro, a strong US$ would favor trading IWM on long signals and SPY on short signals.

The 20DMF has been used every day since March 2009. It has evolved with improvements whenever necessary.
Because I run the model before market opens, I take the day's close as a entry/exit reference price.
Taking the following day's open would slightly degrade the results, but not much. Also, there has been a 20DMF RT available for some time now to dual robot subscribers. Hence, the RT signals are available before market closes.

Unfortunately, we do not have the minute database ready for back-testing of RT signals before November 2011. However, since end of last year, the RT signals have performed slightly better than the EOD, which has been hit by consecutive whipsaws.

Below is a comparison table that I posted some days ago.



Pascal

14238

[Harry]

Hi Pascal,

Would you please check the reported 20DMF EOD trade/dates?

I believe the 20DMF issued a buy after the close 1-May due to new rules (went long at 2-May open, see Comments for 2-May) and didn't issue the short until after the close 4-May (went short at 7-May open, see Comment for 7-May).

A 3-May short would have been much more lucrative than 7-May. Have I been misinterpreting the signals? Please clarify.

[Pascal]

Hi Pascal,

Would you please check the reported 20DMF EOD trade/dates?

I believe the 20DMF issued a buy after the close 1-May due to new rules (went long at 2-May open, see Comments for 2-May) and didn't issue the short until after the close 4-May (went short at 7-May open, see Comment for 7-May).

A 3-May short would have been much more lucrative than 7-May. Have I been misinterpreting the signals? Please clarify.

The table compares the EOD model (without the porosity factor that I added recently due to the RT 20DMF coming out) to the 20DMF RT with the porosity.

My intention is not to issue an official track-record but to really try to compare models. The different colors on the table illustrate the effect of an early MF signal (light green or light orange), and early OB/OS signal (bright green) and the porosity (blue.)

Of these three factors, the one with the most influence was the OB/OS signal, which issued a Buy signal at the "right" time. The fact that the EOD model did not issue buy signals at these point of time is maybe due to some randomness (in my opinion.) The question that I want to respond to when I will do a minute back-test is to see whether past OB/OS signals when issued earlier by the 20DMF RT led to better or to worst trades.


Pascal

[Harry]

Thanks for the clarification, I now understand your intention.