"which of the ones you mention here would be the FIRST one to read?" Read them in the order I gave. If you are new to programming or TS's EasyLanguage the 4th one is a good introduction.
mark brown (me) published that system in active trader magazine i have published lots of free mechanical systems. guess what? i am right here talking to you. mark brown ps so i guess i'm the guy who saved you 3 grand.
============ August; a]Read your name ''August'' in 2001 Stock Traders Almanac,by Yale Hirsch.Think Jeff Hirsch publishes them now.[2007 Almanac] b]How to Make Money in Stocks[b2] ]How to Make Money Selling Stocks Short , both by William O'Neil; as he rightly remarks trading is much like medical profession, years of school, then college, then medical school/charts, then intern/ long hours Then practice, then money.Paraphrased him. c/see]Wisdom is profitable to direct.I see 20 % per month in derivatives funds/Futures magazine, sure, but not many make 240% per year.
I remember reading about this one years ago. MB, how is the Oddball still working? Did it lose any punch over the years? (Hope it's okay to post it here. I'll put the link in, so everybody can see the charts and original page) Regards. http://trader.online.pl/MSZ/e-st-Oddball_SiP_System.html Oddball S&P System by Mark Brown Trading the momentum of market breadth One of the best ways to keep track of the market's true dynamics is to monitor its advancing and declining issues. Here's a strategy that uses the momentum of advancing issues to time short-term trades. By Mark Brown The S&P tracking stock (SPY) and the S&P 500 futures contract probably are among the most difficult markets to trade. Statistics would most likely show the futures contract toward the top of a group of markets responsible for the quickest depletion of customer trading accounts. Most short-term traders trade the S&P 500 markets using timeframes ranging from a single tick up to one hour. When trading in these shorter timeframes, it s easy to become disoriented and lose track of the true market dynamics. One tool many traders use to track internal market strength is a breadth indicator such as the advance-decline line (the running total of advancing NYSE stocks minus the declining stocks). The changes in the number of advancing or declining issues can offer a glimpse of market dynamics not immediately revealed by price action. For example, even if the market is rising, a declining advance-decline line may indicate these gains are being fueled by a progressively smaller number of stocks, in which case a correction or reversal may be imminent. While breadth indicators are commonly used to gauge longer-term directional strength, intraday analysis of advancing or declining issues can be used to develop shorter-term trading strategies. Here, we ll look at how measuring the momentum of advancing NYSE stocks on an hourly basis can be used to time trades. Breadth of fresh air It is well-known that the combined directional bias of the NYSE advancing, declining and unchanged issues lists are helpful in determining the overall direction of the S&P 500 index and S&P futures. Traditionally, studies have been based on either a combination of the advancing and declining issues (such as the advance-decline line described previously), or the advancing, declining and unchanged issues. However, research suggests that you can gain the same benefit (and simplify your analysis in the process) by using only the advancing issues statistics. And just as many short-term traders use price momentum in their trading decisions, the "breadth" momentum can be used to trigger trades. In fact, the momentum of the advancing issues provides enough information to develop a profitable trading strategy that allows you to bypass the actual market prices. One simple trading model based on this approach is the Oddball S&P system, which uses hourly readings from the NYSE advancing issues list. This timing model is based on the theory that in the short-term the S&P futures (and even the actual S&P index) and the market breadth may deviate from time to time, but they will nonetheless align themselves when large moves are made. The original purpose behind this strategy was to use advancing/declining/unchanged numbers to identify high-volatility situations that showed the highest likelihood of having a directional bias. However, research and testing showed it was sufficient to use the advancing issues alone not just as a filter, but also as a stand-alone trading strategy. In addition, as mentioned earlier, using only the advancing issues numbers makes the approach less complicated. As a very basic trading approach, this strategy also functions as an excellent benchmark against which to compare other systems. Measuring momentum The strategy is based on calculating the rate of change (ROC) of the hourly advancing issues number. ROC, which is an oscillator-type indicator, is the difference (or alternately, the ratio) between the current price and the price n periods in the past. For example, the five-day ROC would be the difference between today s price and the price five days ago. On an hourly chart, the five-period ROC would be the difference between the current price and the price five bars (hours) ago. (For a more thorough discussion of the ROC indicator, see Indicator Insight: Momentum and rate of change, Active Trader, October, p. 82). Because there are seven hours in the trading day, a seven-period ROC of the advancing issues number was used in this strategy. One way to construct an oscillator-based system is to trigger trades when the indicator crosses above and below the zero line (the median line that represents neutral momentum, when the current price is the same as the price n periods ago). But a better alternative is to use two separate indicator levels, or zones one to initiate long trades and another to initiate all short trades. A good initial setting is to set the buy level to 3 percent, and the sell level to 1 percent. That is, you buy as soon as the rate of change of the advancing issues is 3 percent higher than it was seven periods ago and sell as soon as it falls below 1 percent higher than it was seven periods ago. (See Strategy snapshot, below, for the precise formula for the indicator.) This means the system will always be in the market, either with a long or short position. The indicator settings used here were selected to keep the strategy as straightforward and simple as possible for testing. Traders may, of course, experiment with other indicator settings to see if they produce better results. Similarly, a different oscillator-type indicator could be substituted for the ROC. The underlying system logic and trading approach would remain the same. In short, the oddball S&P system works as follows: If the rate of change of the advancing issues is greater than the buy trigger level, buy the market. If the rate of change of the advancing issues is less than the sell trigger level, sell the market. Every hour, on the hour Because this system recalculates every hour on the hour, up to and including the close of the stock market at 4 p.m. EST, you will not be able to use the last reading of the day if you are trading the S&P 500 tracking stock (SPY). However, if you are trading the S&P futures, you will still be able to enter a trade based on the last reading because the futures market continues trading until 4:15 p.m. EST. For either market, this also means that you will have to wait for the first reading at 10 a.m. EST to trade in the morning. But this is actually advantageous, because as so many professional traders point out, you should avoid trading immediately after the open because of the directionless volatility that often occurs before the market finds its direction and pace for the day. This kind of trading strategy is strengthened by the fact that it is easy to monitor and execute, and it is based on one primary input. The one-hour timeframe was selected because it is outside of the typical short-term trader s time horizon, and also because consistency is a key factor when implementing a mechanical model. It is easy to check your trades each hour on the hour, or to program your laptop, mobile phone or handheld computer to do so for you. Also, only using one data point per hour also enhances the reliability of the model. Why? Because when you view an intraday chart and observe a bad price print it will most likely be the high or the low of the given bar. By eliminating all data points but the close, you also reduce the possibility of errors. This is an excerpt. For the complete article, see December 2000 issue of Active Trader magazine. Strategy snapshot Strategy: Oddball S&P system Approach: Systematic, stop-and-reverse (always in the market) Market: Index tracking stocks (SPY, QQQ) and stock index futures Indicator setup: Create a rate-of-change indicator of the hourly closing values of the advancing issues of the NYSE. Include only the closing data point of the natural hour, starting at 10 a.m. and ending at 4 p.m. EST. To calculate the indicator, use the following formula: Rate of change in advancing issues (RAI ) = ( AI / AI[n] -1) *100, where AI = Latest number AI[n] = Number of advancing issues n periods ago Entry: A buy signal is issued every time the indicator is greater than 3. A sell signal is issued every time the indicator is less than 1. Exit: Stop-and-reverse. Positions are reversed with each new buy and sell signal, as described above. Risk control/money management: There is no money management technique employed other than the system stays in the market 100 percent of the time, either long or short, with a constant number of contracts. RAI - Rate of change in Advancing Issues xyz:=Input("Time Periods",1,100,14); ( Security("X.WSE-A",C) / Ref(Security("X.WSE-A",C),-xyz) -1 ) * 100 Oddball S&P System Enter Long / Close Short Fml( "RAI - Rate of change in Advancing Issues") > 50 (OPT?) Enter Short / Close Long Fml( "RAI - Rate of change in Advancing Issues") < -10 (OPT?)
Here are some Oddball updates from the NeoTicker folks: http://newsletter.neoticker.com/?p=60 http://newsletter.neoticker.com/?p=147
hi, after verifiably making many people and institutions millions - the thing collapsed. reports were that when the top of the hour come, the pit would get silent just waiting to see if that was the hour. in fact the largest sp pit trader and i went in business together as a results and went on to daytrading using oddball technology. some disagreements regrettably cause a split, by for me it was invaluable to get inside the workings of chicago, exchanges he players etc. as of this day the system has recovered somewhat and is a standing bench mark for all systems. i am still building on the theories and doing well. i think most all of the free stuff i posted through the years has most likely done as well or much better than any systems which cost to purchase. i also know that my strict defined buy it here sell it there oddball web site was the first fully automated mechanical systems posted that hung it all out there for anyone to see for many years. then i went off to do more research and disappeared. then come the hoard of people trying to do what i did but for money. not to mention the reason i did it in the first place was to prove to discretionary traders that a fully mechanical trading system could make money without human intervention. i think i proved that point, i also proved you did not need to use the data from the market your trading to trade that market. i am now working on something really big for the public and soon it will be launched - it will be 10 times better than oddball and will still cost nothing. mark brown
actually what oddball was too many people all playing the same system. there was no one left on the other side of the trades. in many forms though the system is still extremely profitable and always has been. this system was developed in 87 and still is making money, again in various forms not in the public domain. Mark Brown - elite trader member since 2001 original oddball developer. good systems blow up because of the public and contract changes etc. bad system blow up because they were not tested on enough trades and data or someone cheated in the testing to fudge numbers etc.
Mark, thanks for joining the discussion. After reading two Stridsman books, there are a few major concepts which he feels are essential - for one example: The system must be simple. Do you have any major mantras that you keep in the forefront of your system design?