Darvas Box – EXIT Strategy

Source: Budi Suryono

Maaf sebelumnya, karena kesibukan, saya baru bisa membalas sekarang. yang bisa saya jelaskan mengenai exit sebagai berikut :

Exit prakteknya adalah 3 X lebih sulit dari entry, lebih rumit, banyak artnya, agak subyektif, perlu banyak2 latihan untuk supaya bisa cepat dan reflek menjalankannya tanpa nyesal apapun hasilnya.

1. Exit kalau loss, batasi loss 5-7% dari buying cost, bila mencapai angka tsb exit cepat, pengalaman saya saham yang turun lebih dari 5% lebih lama baliknya.Exit dulu lebih mudah, perkara balik beli lagi gampang di higher price dan probability sukses pembelian kedua-ke tiga untuk saham yang sama biasanya lebih baik.
2. Kalau sudah running profit di bawah 5 % just let it be, taking profit plan di bawah 5 % dengan risk 5-7% nggak make sense kecuali situasi khusus (seperti general market is very bad)
3. Kalau lolos 5% profit, mulai mikir bagaimana exitnya, idenya adalah bukan sell at TOP, tapi catch easy and big part of the up swing yang bisa dilakukan sbb :

a. Setelah lewat 5 % profit saham akan rally ,make new high every day, hold, sit tight, watch volatility (Volatility yang saya maksud adalah [Highest of the day – Lowest of the day]/Lowest of the day), kalau volatility one day > 10 % siap2 exit:
– kalau closing of the day kira2 deket high, bisa dijual besoknya (ada dua pilihan, kalau masih hijau hold dulu, jual di di siang atau menjelang penutupan, kalau merah jual langsung di paginya)
– kalau closing of the day kira2 setengah antara high- low of the day ,jual hari itu menjelang market closing
b. Atau kalau selama rally nggak ada one day volatility >10%, sell at new low (saya selalu buy on new high kenapa nggak sell di new low?) sebagai trailing stop, tracking every day low sebagai trailing stop, kalau keesokan ketemu new low, jual di harga itu.

Bagaimana kalau setelah kita jual, harga naik lagi? mungkin & sangat mungkin, nggak ada sistem yang perfect, tapi berdasar pengamatan saya risk reward sudah nggak seimbang dan dengan exit kondisi a atau b tsb sudah cukup optimum untuk menangkap short term swing.

Untuk contoh mudahnya kita ambil case BLTA, mohon dibuka chartnya pak, (kalau nggak salah pak Thomas ikutan di BLTA ya?), di 22 Nov’05 cross all time high di 1030 (objectif) setelah form cup (agust-oct) & handlle (oct-nov) (intepretatif/subyektif),

Ingat kita orang bodo, yang selalu buy di highest price (berbeda dengan sebagian besar player adalah orang pintar dengan strategy Buy Low Sell High), buy di highest di level tersebut dan beberapa hari kemudian turun, cut loss 5% di level 970 an dijual ke orang orang pintar yang bid di level tsb.

Again.. BLTA made all time high di 1040 di 27 Des’05, sekali lagi ingat kita orang bodo, always beli di highest dari orang pintar yang saat itu jualan di 1040 dan closing 1060 hari itu. Besoknya turun lagi, cut loss untuk dijual ke orang pintar? Jangan dulu selama triger 5% cut loss belum kena sit tight.

BLTA dalam beberapa hari sideways sampai tanggal 9jan’06 membentuk all time high 1070, sekali lagi ingat kita orang bodo, ada kesempatan kelihatan tambah bodo, yaitu nambah beli di highest dari orang pintar di 1070, besoknya BLTA explode, rally melewati 5% profit, tapi rule point a.=>volatility>10% kena, warning!!, besok saat nya exit (price 1160-1220).

atau jika anda kelewat di kesempatanpun inipun masih ada rule a. New Low terjadi di tanggal 16 Jan 06, dengan trailing stop previous low 1180 sell ke orang pintar langsung di bid 1170. Still not bad Exit Strategy.

Kita lupakan BLTA?… tidak selama UPTREND, BLTA tetap prospek, ada kesempatan untuk menujukkan kebodohan kita.tunggu di new high price…
Again…BLTA make new high di 6 Feb, beli di stupid price 1250, besoknya BLTA Rally, everyday make new high, tanggal 9 feb ‘06 melewati 5% profit, tinggal menentukan kena rule a. atau b., besoknya rally kencang VOL tinggi>10%, kena rule a. Closing dekat high, berarti sell besoknya (price 1500-1570),

Kalaupun ini lewat masih bisa pakai rule b. yang terjadi di Valentine day,1 4 feb, dengan previous low sebagai trailing stop 1500, sell langsung di bid ke orang pintar 1490, still not bad exit strategy.

Kita lupakan lagi BLTA? belum, saya orang bodoh ini akan nunggu di highest pricenya yang saya nggak tahu kapan waktunya, mungkin 3bulan lagi, tiga tahun lagi..
atau mungkin nggak akan pernah beli karena BLTA tidak mampu membuat highestnya, karena BLTA sudah bangkrut.

Untuk back testing, belajar dari real trade yang sudah2, cheek lagi sistem exit berkali2 ini untuk winning stock yang diantaranya pernah saya rekomend yaitu PGAS, ANTM, KLBF, AALI, APOL dll, atau saham yang mungkin yang pak Thomas pernah Explore

So…. saya hanya memberi ide, PRnya tetap di pak Thomas yang saya yakin pasti melakukan modifikasi, Contoh…bagaimana exitnya pakai short term MA? atau
strategy exit setelah kena 90% dari previous highestnya? kalau merasa cocok dengan itu nggak ada salahnya dipakai..

Saya sama sekali nggak keberatan exit strategy di ungkap ke publik secara luas, karena the biggest secret in trading adalah justru nggak ada secretnya.
Mayority player terlampau pintar untuk percaya dengan apa yang saya katakan, mereka akan tetap akan terus melakukan hal yang sama. Behavior Market financial dari
jaman rikiplik, jaman kuda gigit besi begitu-begitu aja.Wall Street never changes,the pockets change, the suckers change, the stocks change, but Wall Street never changes, because human nature never changes.

Selesaikah dengan entry exit kita kuasai? nggak sama sekali nggak… itu hanya menyelesaikan 40% persoalan, persoalan terbesar ada di Money Management dan psikology, dimana jebakannya jauh lebih banyak, yang dengan jujur saya juga masih belajar di area ini, karena orang dengan strategy entry exit persis sama, tapi salah satu menggunakan money management yang baik dan satu nggak, beda hasilnya adalah antara Bumi dan Langit. ini PR saya sendiri yang belum selesai..

Untuk trading tip,(maaf kalau boleh saya tebak, pak Thomas waktu jual selalu kecepetan, baru untung sedikit kabur), kalau nggak tahan profit taking, ya sudah profit taking, tapi sisakan 1lot atau 2lot untuk disiplin mengikuti exit rule diatas. Jaman sekarang sudah ada trading via internet, nggak perlu kontak via phone dengan broker, jadi nggak usah gengsi main saham hanya 1-2 lot.

Yang penting LATIHAN DAN MEMBIASAKAN, bukan masalah P&L yang dibuat dan gunakan KACA MATA KUDA, dalam arti menganut prinsip HEAR NO EVIL, SEE NO EVIL, SPEAK NO EVIL…jangan perhatikan news, jangan baca millis, jangan dengar analys market dari broker, koran, millis dan termasuk dari saya dan jangan bicara posisi anda pada siapapun (Ini yang saya langgar sendiri, tapi saya punya reason tertentu untuk ini).

Sekali lagi ingat kita orang bodo,yang judmentnya gampang terpengaruh dari luar. HANYA KONSENTRASI PADA CHART DAN VOLUME PLUS WATCH THE TAPE/QUOTE DI SCREEN !!!!!.
Don’t antisipate but always respons, when price goes to your triger level, honor it!!, act quickly without hesitate & thinking.
Saya jadi teringat orang yang berumur panjang di Sicilia, pada jaman Mafia merajalela dimana balas dendam & bunuh membunuh sudah turun menurun, ternyata siapa?..
Orang Buta,Tuli dan bisu sekaligus !
Maaf sebelumnya pak Thomas, karena selain pak Thomas, banyak yang nanya masalah ini, penjelasan akan saya CC ke MILIS, mungkin berguna buat yang lain. Kebanyakan nulis lama2 saya bisa beralih profesi. Sekali lagi saya nggak khawatir strategi saya dibaca jelas dan ditiru oleh market player lain, karena sebagian besar pelaku pasar (mungkin lebih 90%) adalah orang pintar yang gak bakalan mau beli di highest dan dari kecil di format/di brain wash untuk selalu bargain, punya kecerdasan&ego, always try to hide their mistake and always try to postpone punishment. Sampai kiamat situasi ini juga nggak akan berubah karena human nature never changes.

Selalu ada kemungkinan mungkin di market ada yang 100% melakukan strategi yang berlawanan, selalu coba buy di bottom dan sell short di highest price dan bisa berhasil, karena ybs orang pintar tahu persis apa yang dicari (setelah minum jamu tolak angin dulu tentunya).

Market demikian luas untuk menampung segala macam style…
Saya hanya orang bodo yang jumlahnya kurang dari 10% dari player, berusaha survive, menerapkan “Reverse Logic” kata si Mbah, counterintuitive strategy dan
have Courage to be minority, selalu mencoba keluar dari kerumunan massa.
Always buy on high, buy on strength, sell on weakness (BOS & SOW, bukan sebaliknya BOW&SOS).. Never try to sell at the top.. Always cut loss short and run.. Hold running profit..

Never average down but always average up… never try to bargain, always hit offer when to buy and hit bid when to sell, ‘cause i’m a broker dreamer.

Mudah2an clear dengan jawaban saya dan membantu pak Thomas dalam selling decision.
Salam semoga sukses and enjoy the game….

A Look At The Turtle Trading System

by

Cho Sing Kum
12^th Mar 2004

This article was initially written for the March 2004 issue of Chartpoint magazine which unfortunately wound down operation recently and this article was not published. It is now re-edited and produced here.

Check out our Turtle Trading Software, Analyst’s TurtleFarm, that is programmed to the Turtle Rules.

Click here for information

Download a free trial

It All Began In 1983

The year was 1983. I had just decided that I wanted to go full-time into technical analysis. I took a sabbatical from work in October to learn on my own, not having gone any where with technical analysis since early1982.

The Singapore representative for Compu-Trac happened to be back in Indonesia so I was helping him out here. It was from this connection that I got to know people at Drexel Burnham Lambert’s Singapore office. They were a bunch of very nice guys and the office was having problem setting up the computer to download data from Commodity Systems, Inc. in the USA.

They were asking me why I did not go to Chicago. They were telling me I should go and handed me a newspaper cutting. You see, about that time, Richard Dennis and Bill Eckhardt had put out advertisement for trainee traders for the Turtles program. I gave it some thought but because I was not in a position to relocate to Chicago, it never crossed my mind to apply. Six months into my sabbatical I was offered a job at Drexel which I took up. Since then I was always curious about the Turtle trading method.

Not A Well Kept Secret

The Turtles were sworn to secrecy. While the Turtle method appeared to be a well kept secret, it was actually not. Channel breakout was growing in popularity in the 1980s. So was volatility adjusted risks. In the late Bruce Babcock Jr’s 1989 book, The Dow Jones-Irwin Guide to Trading Systems, bits and pieces of what could be the Turtle trading methods in one form or another were scattered in the pages. All these were well known market knowledge. But while I was hearing about the successes of the Turtles, I never knew that their method was already out in the market. I was still looking out for it.

The 1923 Book

I finally went to Chicago in 1986. I went not for any Turtle program but for company orientation that took me to New York, Chicago and Tokyo a year after I joined Merrill Lynch Capital Markets. It was something I did during this trip that had a big impact on my learning. I went to the bookshops around the Chicago Board of Trade and bought all the trading books I could carry. Once back home, I ordered more books from Traders Press Inc. by mail order.

Good and often lesser known trading books were hard to come by in Singapore bookshops in the 1980s. I could not remember whether I bought this book in Chicago or from Traders Press. Wherever it was, I was very fortunate to have bought the book, Reminiscences Of A Stock Operator, first published in 1923. It was actually a biography of Jesse Livermore, one of the most respected stock and commodity market speculators of all time.

I was so fascinated by this book that I included many quotes of wisdom from it in the daily market closing commentaries I was writing. I wrote the Nikkei, Hang Seng, Chicago Treasury Bonds and Eurodollar futures closing commentaries. These daily commentaries were sent out by telex to Merrill Lynch’s Asian customers.

Now you may wonder what has this book to do with the Turtle method. In my opinion it has a lot to do although I did not know initially.

Fast forward your clock seventeen years to April 2003.

The Turtles Revealed Their Secrets

That month I was pointed to the website http://www.originalturtles.org. It was a new website wherein the claimed Original Turtles Trading Rules were revealed by Curtis Faith, one of the Turtles in the first class in Dec 1983. Before this I already knew about the 20-day entry and 10-day exit rules which were based on Richard Donchian’s work. I also knew about True Range and Average True Range from J. Willes Wilder Jr’s 1978 book, New Concepts in Technical Trading Systems. And not forgetting Bruce Babcock’s use of Average True Range as stops. What I did not know was how these were put together to form the Turtle Trading Rules.

My Most Important Discovery

And now the most important of my discovery – the combination of these parts resulted in what I would call the actualization of all that Jesse Livermore wrote in his 1923 book into a complete trading system! This was what the Turtle method was to me – a 1983 actualization of a 1923 book. I mean I could relate them. I certainly did not know whether Richard Dennis intended this but I could feel the resemblance, or rather Livermore’s experience, filtering into the Turtle methodology.

So it was that twenty years later, I finally got to learn the Turtle method after all. But Livermore’s experience was already available for eighty years, so what was twenty years. It’s always better to be late then never. Naturally, I gave the Turtle Trading Rules a thorough check out.

The Turtle Trading System

“The Turtle Trading System was a Complete Trading System. Its rules covered every aspect of trading, and left no decisions to the subjective whims of the trader. It had every component of a Complete Trading System.”

This quote is taken from the published “The Original Turtles Trading Rules” at the OriginalTurtles.org website. I agree with this. It is further stated that it covers each of the following decisions required for successful trading:

1. Markets – What to buy or sell
2. Position Sizing – How much to buy or sell
3. Entries – When to buy or sell
4. Stops – When to get out of a losing position
5. Exits – When to get out of a winning position
6. Tactics – How to buy or sell

For this article I will skip components one and six. I will cover the other four. Not that I don’t find them important but choosing the markets to trade is important especially that the Turtle Trading System is a trend-following system and not a for-all-market-types system! Tactics, well you will learn this through experience.

I will also not explain the details of the rules and the mathematics behind the calculation. You can find these in the published rules and are strongly encouraged to download the rules from the website mentioned above. [Edited: The rules in pdf format used to be available for free download but not anymore. The website is also no longer hosted on its own and is now part of a commercial website. A compulsory donation is now required to support that commercial website infrastructure. I feel this goes against the intended objective of the Free Rules Project which has the support of Richard Dennis. Here is quoted from an earlier download of the rules: The Original of the Free Rules Project. This project had its seed in various discussions among a few of the original Turtles, Richard Dennis, and others regarding the sale of the Turtle Trading System rules by a former turtle, and subsequently, on a website by a non-trader. It culminated in this document, which discloses the Original Turtle Trading Rules in their entirety, free of charge.]

The Turtle Rules In TradeStation 2000i

There are two Turtle trading systems which are called System 1 and System 2. I have coded both systems into TradeStation indicators and signals/system. In the examples that follow I will be using these for illustration. There are two features that I have not programmed. They are:

1. Pyramid of the 4th unit
2. Alternate Whipsaw Stop Strategy

EasyLanguage does not have a feature to retrieve the entry prices of all respective pyramid positions. It only allow for the first entry price of any pyramid entry strategy using the EntryPrice command and the average entry price of all pyramid entries using the AvgEntryPrice command. As such, I have to do backward calculation to derive the subsequent pyramid entry prices.

There are certain entry situations where it is not possible to calculate the entry price of the 3^rd unit, for example, when the 2^nd and 3^rd units were entered on the same day (when using daily historical data for testing). While the entry prices can be assumed using the ½ N pyramid rules, this is never a good practice. Without any reliable method of calculating the entry price of the 3^rd unit it is not possible to enter the 4^th unit. So I only program the codes to pyramid up to a maximum of 3 units only.

The ½ N Alternate Whipsaw Stop is too small for proper testing on historical daily data.

These aside, the other challenging part is coding the Last Losing Trade Filter. So in the process I programmed four indicators to show the properties of all theoretical trades to guide me. See Fig 1. The four indicators are:

1. The first shows the 20-day channels as blue dots. The 2N-stop and 10-day channel exit are red dots. These dots are superimposed on the price chart to give visual representation of all theoretical trades (no pyramid).
2. The second shows the unrealized and realized position profit/loss of all theoretical trades based on 1 contract position size.
3. The third shows the market position of all theoretical trades.
4. The fourth shows the N values from which the N on the day before a position entry is captured and used for the entire duration of the position for calculation of the 2N-stop and ½ N profit.

Fig 1. Turtle’s Indicators

Position Sizing – How much to buy or sell

The position size or unit rather, is based on a concept called N. N is the price distance of one Average True Range of the last 20 days. The Turtle’s calculation differ from the normal method of averaging where you add up the last 20-day and divide this total by 20 to get the average number. Instead the Turtle’s method uses what is commonly called the Wilder’s smoothing method.

Wilder explained in his 1978 New Concepts book that this method of “averaging” saves the amount of work required for manual calculation. Now remember in 1978, personal computers were not common yet. His method of averaging when applied to the Turtle’s N is to multiply the previous day’s N by 19, add to this value today’s True Range and then divide the total by 20.

This method has the advantage that it is somewhat weighted, that is, it changes faster to more recent price behavior yet doesn’t swing as wildly as the normal method of averaging. See Fig 2.

Fig 2. Turtle’s N and ATR

Since the dollar value of N represent 1% of account equity therefore this concept normalized volatility across different market. A market with higher volatility will have a bigger N and dollar value hence smaller position size while low volatility produce a smaller N and dollar value hence a bigger position size. Please refer to the published Turtles rules for detailed explanation if you don’t understand this.

Entries – When to buy or sell

There are two systems. Both are channel breakout systems. System 1 is shorter-term based on a 20-day breakout while System 2 is longer-term based on a 55-day breakout. Very briefly, System 1 would go long on a break above the 20-day high or go short on a break below the 20-day low. System 2 would go long or short on a break of the 55-day high or 55-day low respectively.

In System 1, there is a filter rule which is not applicable in System 2. System 1 will only initiate a position provided the last theoretical trade is a loss. If the last theoretical trade is a winner, then System 1 will only enter when price breaks out of the FailSafe breakout point of 55-day high (for long) or 55-day low (for short) to avoid missing major moves. Let’s take a look at this visually on the March 2004 Soybean Oil chart in Fig 3.

Fig 3. FailSafe Breakout

At point A, System 1 went short on a breakout of the 20-day low. This position was liquated at point B when price breaks above the 10-day high. A few days later at point C, price breaks above the 20-day high. This would have been a long entry but because the last trade was profitable, this trade was therefore not taken. About a month later at point D, price has traded higher to break above the 55-day high. System 1 then went long so as not to miss the bigger move that followed.

Fig 3 shows the system without pyramid so as not to clutter the chart for clarity. The same system is shown again in Fig 4 with the Turtles’ method of pyramiding. The Turtles pyramid to maximum of 4 units at every ½ N profit. Now because of a limitation of TradeStation EasyLanguage where I cannot reliably get the 3^rd unit entry price (to allow a 4^th unit to be added) so I programmed the trading system to pyramid to a maximum of 3 units.

The Turtles’ method of adding additional units with the stops tightened is very logical. It lowers overall position risks and yet enjoys maximum benefits when it catches good trend moves. However there will be times when this may pose a problem.

Fig 4. Pyramid entries

If you study Fig 3 and Fig 4 carefully, you will notice that there was an extra exit in Nov marked by the label “lxN”. This was followed by a long re-entry in early Dec. Explanation of the Turtles’ stops and exits will make this clearer.

Stops and Exits – When to get out

Like with any well planned trading system, the Turtles’ too have money management stops and normal trade exits.

The money management stops are placed at 2N away from the entry price of the last unit entered. The position risk for a 1 unit position is 2N. Since the 2^nd unit pyramid is added when price has moved ½ N in favour, the position risk for a 2 unit position is 3½ N (2N + 1½ N). Similarly, the total position risk for a 3 unit position is 4½ N (2N + 1½ N + 1N). The total risk for a full 4 unit position will then be 5N (2N + 1½ N + 1N + ½ N). Basically the stops for earlier positions are tightened up on pyramiding. Since 1 N represents 1 percent of account equity, therefore the respective risks are 2, 3½ , 4½ and 5 percent.

Now some will have problem with these risk numbers. If you recall in the last year’s July issue of Chartpoint, I wrote that my answer of 5 percent as the risk I would take in a position has caused my chance of a job opportunity with Commodities Corporation. So bear in mind that 5 percent is a very high number. But this is the way the Turtles trade and their high risk appetite may be the reason behind their tremendous record in such short period of time in the 1980s.

Trade exits are 10-days against for System 1 and 20-days against for System 2. This means that for System 1 when price violates the 10-day low, longs are exited, vice versa for shorts. For System 2, use the 20-day against. Therefore in short, System 1 is 20 in, 10 out while System 2 is 55 in, 20 out.

Okay now let’s see what exactly happened in Fig 3 and 4 that resulted in the additional exit and long re-entry. The charts are reproduced in Fig 5.

Fig 5. Tightening of stops when adding units can result in whipsaw.

In the first situation shown on the top chart in Fig 5, the system was run without pyramiding, meaning only 1 unit was entered long on the Friday before 17 Nov. Immediately, the money stop was placed 2N below the entry price. This stop, represented by the red dots, was never hit and was eventually replaced by the 10-day low exit. This 10-day low exit condition was met on 22 Dec and the position exited as shown.

In the second situation shown on the lower chart in Fig 5, the system was run with pyramiding up to 3 units. The first unit was entered as above on Friday 14 Nov. The market then rose in favour of the position and when it hit the ½ N and 1N profits, the 2^nd and 3^rd units respectively were added according to the Turtles’ pyramid rules. The money stop was tightened (raised) so that it is 2N below the entry price of the 3^rd unit. See Fig 5. Unfortunately, the market retraced enough to trigger this 2N stop from the 3^rd unit entry price. The entire position of 3 units was stopped out as a result. The long position was re-entered when price broke out of the 20-day high again in Dec and exited as in the first example on 22 Dec.

This is one situation you have to live with when pyramiding. It doesn’t happen all the time but it does happen. Notice that in the example, the market did not retrace to the original 2N-stop calculated from the 1^st unit entry price.

How Do You Add Units Or New Positions?

While there are rules on maximum position limits for single market (4 units), closely correlated market (6 units), loosely correlated markets (10 units) and total limits (12 + 12 units), what I feel that is not properly explained in the published Turtle rules but which is very important is whether there are rules pertaining to adding units or new positions when trading a portfolio.

Adding units at every ½ N profits is fine when trading only a single instrument or even 2 instruments. Although the rules did stipulate a maximum of 12 units long and 12 units short for a total of 24 units (obviously this has to be a portfolio), this could translate into a total portfolio risk of 30 percent, assuming 3 long positions of 4 units each and 3 short positions of 4 units each. (Earlier, you have seen how a 4-unit position represents 5 percent risk.) In the event that all this positions turned out wrong, the portfolio will be down by 30 percent!

Is this acceptable? What if this is a new portfolio without any profit cushion? I think you have to use your own techniques since this part of the Turtles’ training was not revealed in the published rules.

Indeed A Complete Trading System, And A Very Good One

The Turtle trading system is indeed a very good complete trading system. But if you want to get some testing done with the presently available technical analysis software, you will be disappointed. All available software can’t test trading system against a stable of instrument but only with single instrument. Nevertheless, the logic is very sound, risk is systematically managed, and the result can be proven.

The Japanese Yen was one of my anchor trading instruments for many years so naturally I was interested in what type of result the Turtle System 1 would produce. The following are two sets of results – Fig 6 is without pyramiding while Fig 7 is with pyramiding. These are hypothetical runs on historical data for the purpose of system testing and evaluation. These are purely computer runs where no actual trades were done.

The tests was based on spot US Dollar/Japan Yen data and did not take into consideration FX swaps which would need to be done to carry spot FX positions overnight and would have effect on the profit and loss performance.

Both hypothetical accounts started with USD 100,000 converted to Yen on the first bar of data. All figures are in Yen.

I am very impressed.

Fig 6. Turtle System 1 without pyramiding.

Fig 7. Turtle System 1 with pyramiding.

Important Disclaimer:
Currencies, Stocks, Futures and Options trading have large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the currencies, stocks, futures and options markets. Don’t trade with money you can’t afford to lose. This is neither a solicitation nor an offer to buy/sell currencies, stock, futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.

CFTC RULE 4.41
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

‘Way Of The Turtle’ by Curtis Faith – Book Review

From Budi Suryono:

Saya udah baca versi hard copy, buku yang sangat bagus, rasanya bisa menjadi buku wajib buat trend follower, walaupun lebih banyak main di future.
Ada beberapa hal menarik yang bisa saya catat dari buku tersebut:

• Pemilihan market state (karakteristik instrumen) yang paling cocok buat trend follower (untuk memperkecil kemungkinan kekocok)yaitu Trending and quiet, jadi gak semua instrument yng bisa di apply dengan mudah oleh system ini.

• Masalah konsistensi, dimana opportunity harus selalu dicoba walaupun sebelumnya ada series loss, Curtis memberi contoh di Cocoa Trading, dari segi number of trades banyak lossing trade, hanya sedikit yg untung, tapi in total netnya adalah untung.

• Sikap ybs, terhadap uang, ybs tidak terlalu perduli akan uang, buat ybs. harus dihindari nafsu berlebihan untuk making money, sehingga malah stress dan tidak focus pada trading rule, money management & market.

• Bab terakhir, original trading rules, dimana sama sekali relatif sederhana, gak ruwet seperti yang dibayangkan orang (entry/exit hanya 20 days high/low), namun dijalan dengan disiplin dan systematis, hasilnya luar biasa.

salam, happy reading
Budi Suryono

24 Buffet’s Investing Strategies

1. Choose Simplicity over Complexity
When investing, keep it simple. Do what’s easy and obvious.
If you don’t understand a business, don’t buy it.

2. Make Your Own Investment Decisions
Don’t listen to the brokers, the analysts, or the pundits. Figure it out for yourself.
Become a value investor. It’s proven to be a very rewarding technique over the long term.

3. Maintain Proper Temperament
Let other people overreact to the market.
To succeed in the market, you need only ordinary intelligence. But in addition, you need the kind of temperament to help you ride out the storms and stick to your long-term plans. If you can stay cool while those around you are panicking, you can surely prevail.

4. Be Patient
Think 10 years, rather than 10 minutes
Don’t dwell on the price of stocks. Instead, study the underlying business, its earnings capacity and its future.
If the question is, “How long will you wait?” – “If we’re in the right place, we’ll wait indefinitely” says Buffet.

5. Buy Business, Not Stocks
Once you get into the right business, you can let everyone else worry about the stock market.
Business performance is the key to picking stocks. Study the long-term track record of any company that is on
your buy list. Buffet looks for following five main things before investing in a company.
(i) Business he can understand
(ii) Companies with favorable long-term prospects
(iii) Business operated by honest and competent people
(iv) Businesses priced very attractively
(v) Business with free cash flow
Don’t think about “stock in the short term.” Think about “business in the long term”.

6. Look for a Company that is a Franchise
Some businesses are “franchises”. Franchise generates free cash flows.

7. Buy Low-Tech, Not High-Tech
Successful investing is rarely a gee-whiz activity. It’s less often about rockets and lasers and more often about bricks, carpets, paint, shaving blades and insulation.
Do not be tempted by get-rich-quick deals involving relatively complex companies (e.g., high-tech companies).
They are the most unpredictable in the long run. Look for the absence of change. Look for the business whose only change in the future will be doing more business, e.g Gillette Blades.

8. Concentrate Your Stock Investments
A the “Noah’s Ark” style of investing – that is, a little of this, a little of that. Better to have a smaller number of investments with more of your money in each.
Portfolio concentration – the opposite of diversification – also has the power to focus the mind.
If you’re putting your eggs in only a few baskets, you’re far less likely to make investments on impulse or emotion.

9. Practice Inactivity, Not Hyperactivity
There are times when doing nothing is a sign of investing brilliance.
Be a decade’s trader, not a day trader.

10. Don’t Look at the Ticker
Tickers are all about prices. Investing is about a lot more than prices. It is about value. It is about wealth.
Abstain from looking at share prices every day. Study the playing field and not the scoreboard. Know the value of something rather than the price of everything.

11. View Market Downturns as Buying Opportunities
Market downturns aren’t body blows; they are buying opportunities.
Change your investing mind-set. Reprogram your thinking. Learn to like a sinking market because it presents
great buying opportunity. Pounce when the three variables come together. When a strong business with an
enduring competitive advantage, strong management, and a low stock price come onto your investment screen.

12. Don’t Swing at Every Pitch
What if you had to predict how every stock in the Standard & Poor’s (S&P) 500 would do over the next few years?
In this scenario you have very poor chance of being correct. But if your job was to find only one stock among those 500 that would do well?
In this revised scenario you have a good chance. A few good investments are all that is needed.

13. Ignore the Macro; Focus on the Micro
The big things – the large trends that are external to the business – don’t matter.
It’s the little things, the things that are business-specific, that count.
It’s possible to imagine a cataclysm so terrible that the markets would collapse and not bounce back.
Externalities don’t matter – and you can’t predict them, anyway. And what can you do about them?
Focus on what you can know: the workings of a good business.

14. Take a Close Look at Management
The analysis begins – and sometimes ends – with one key question: Who’s in charge here?
Assess the management team before you invest. A investing in any company that has a record of financial or accounting shenanigans, (creative accounting, accounting jugglery). Weak accounting usually means weak business performance.
Strong companies do not have to resort to tricks.

15. Remember, The Emperor Wears No Clothes on Wall Street
Wall Street is the only place where people go to in Rolls Royce to get advice from people who take the subway.
Ignore the charts.
A value investor is not concerned with charts. Invest like Benjamin Graham.
Graham told investors to “search for discrepancies between the value of a business and the price of small pieces of that business in the market.”
This is the key to value investing, and it’s far more productive than getting dizzy studying hundreds of stock charts.
Offer documents of most mutual funds say – in small print – that past performance is no guarantee of future success.
Buffet says the same thing about the market: If history revealed the path to riches, librarians would be rich.

16. Practice Independent Thinking
When investing, you need to think independently.
Make independent thinking one of your portfolio’s greatest assets. Being smart isn’t good enough, says Buffet.
Lots of high-IQ people fall victim to the herd mentality. Independent thinking is one of Buffet’s greatest strengths.
Make it one of your own.

17. Stay within Your Circle of Competence
Develop a zone of expertise, operative within that zone.
Write down the industries and businesses with which you feel most comfortable.
Confine your investments to them.

18. Ignore Stock Market Forecasts
Short-term forecasts of stock or bond prices are useless.
They tell you more about the forecaster than they tell you about the future.
Take the time you would spend listening to forecasts and instead use it to analyze a business’s track record.
Develop an investing strategy that does not depend on the overall movement of the market.

19. Understand “Mr. Market” and the “Margin of Safety”
What makes for a good investor?
A good investor is one who combines good business judgment
with an ability to ignore the wild swings of the marketplace.

When the emotions start to swirl, remember Ben Graham’s “Mr.Market” concept, and look for a “margin of safety”.
Make sure that you also understand Buffet’s concepts of Mr. Market and the margin of safety.

Like the Lord, the market helps those who help themselves. But, unlike God, the market doesn’t forgive those who “know not what they do”.

Bide your time, and wait for Mr. Market to get depressed and lower stock prices enough to provide a margin-ofsafety buying opportunity.

20. Be Fearful when Others Are Greedy and Greedy When Others Are Fearful
You can safely predict that people will be greedy, fearful, or foolish.
Trouble is you just can’t predict when or in what order.
Buy when people are selling and sell when people are buying.

21. Read, Read Some More, and Then Think
Mr. Warren Buffet spends something like six hours a day reading and an hour or two on the phone. The rest of the time, he thinks.
He therefore advises to get in the habit of reading. The best thing to start is to read Buffett’s annual reports and letters.
Finally, restrict your time only to things worth reading.

22. Use All Your Horsepower
How big is your engine, and how efficiently do you put it to work?
Warren Buffett suggests that lots of people have “400 – horsepower engines” but only 100 horsepower of output.
Smart people, in other words, often allow themselves to get distracted from the task at hand and act in irrational ways.
The person who gets full output from a 200-horse-power engine, says Buffett, is a lot better off.
Make sure that you have the right role models. Strive for rational behaviour, good habits, and proper temperament.
Write down the habits, practices and philosophies that you want to make your own.
Then be sure to keep track of them and eventually own them.
Financial success is a “matter of having the right habits”.

23. Learn from the Costly Mistakes of Others
This is self explanatory and need no comments!

24. Become a Sound Investor
Buffet says that Ben Graham was about “sound investing”. He wasn’t about brilliant investing or fads and fashions, and the good thing about sound investing is that it can make you wealthy if you are in not too much of a hurry, and it never makes you poor.
To become a sound investor, you need to develop sound investing habits.
Always fight the noise to get the real story.
Always practice continuous improvement.
It’s about finding and stepping over “one-foot hurdles” rather than developing the extraordinary skills needed to clear sevenfoot hurdles.

Parabolic SAR Tutorial

The Parabolic SAR (Stop And Reverse) was developed by J. Welles Wilder Jr. and is described in his book New Concepts in Technical Trading Systems.

This is a time/price indicator, first introduced by Wilder and the term ‘parabolic’ comes from the shape of the curve (resembling a parabola) created on the chart.

Sometimes called a reversal system, the Parabolic SAR allows the trader to follow the dots (stop and reverse level) in an upward or downward trend until a SAR point is reached and the trend reverses.

It is primarily used in trending markets and is based on always having a position in the market. This is where the term ‘SAR’ comes from – stop and reverse.

The indicator may also be used to determine stop points and to estimate when to reverse a position and take a trade in the opposite direction.

Parabolic SAR is more popular for setting stops than for establishing direction or trend. Wilder recommended establishing the trend first and then trading with Parabolic SAR in the direction of the trend.

The interpretations in brief are –

• If the trend is up, buy when the SAR moves below the price. This will be the stop level below the current price, which will move up every day (if trading daily bars) until activated (when price falls to the stop level).
• If the trend is down, sell when the SAR moves above the price. This will be the stop level above the current price, which will move down every day until activated (when price rises to the stop level).

Example of what SAR looks like.

How it works

The first entry point on the buy side is considered when the most recent high price has been broken and it is then that the SAR will switch to under the most recent low price.

As the price rises the dots will rise as well, first slowly and then picking up speed and accelerating with the trend. This is the acceleration factor. The SAR level starts to move a little faster as the trend develops and the dots soon catch up to the price action.

Presuming there is an uptrend, the dots (SAR Level) will be below price. As time goes on the distance between the price and the SAR level will decrease, until eventually the market will pullback and touch the SAR level. When this happens the SAR Level (dots) will move to above the price.

The main drawback to this indicator is that although it works extremely well in markets with a dominant trend, it fails miserably in horizontal or choppy markets.

Another downside is that when price does not develop consistent trends, it creates a jerky SAR which makes it difficult to enter and exit.

The following example illustrates the above characteristics –

It is beyond this lesson to give the exact calculation of the acceleration factor and it is not really necessary to know the formula as most charting services now incorporate the system in their indicator range.

My Use Of SAR

So far so good. The indicator is simple to trade and is very visual so it’s easy to know when you should be short or long. If the SAR points (dots) are above the market you should be short and if they are below the market you should be long.

Here’s the problem as I mentioned before, as a stand alone method it does not perform well.

Now you may be asking, if there is so much whipsaw and the method isn’t reliable, why mention the indicator at all? Good question and here are two reasons I still like to look at the indicator.

The indicator can be very effective if a filter of some sort is used. In the example below of the eur/jpy, I have used a MACD as a filter. If we were long the market, then only long signals would be taken and the short signals ignored as long as the filter (MACD in this case) has given a buy signal and remains in buy.

If a short signal is triggered but the filter (MACD) remains in buy, you could close the position and wait for the next long signal. The reverse is true for short positions.

You could use any oscillator you feel comfortable with or even trend lines.

Another very good use of SAR indicator is for placing your stop loss. Sometimes it can be very difficult to find a good place to put your stop.

With the SAR indicator you will always know exactly where to place a stop and because it accelerates every day it helps you lock in profits.

It also gives the move enough room for market corrections without taking you out of the position.

I like this particular method if I have a long-term position, which I only want to check once a day. I can quickly check how the position is performing and then move my stop accordingly.

I am sure you can find many other uses for the SAR indicator and its well worth playing around with the parameters to see if it can be added to your trading arsenal.

Good Trading

Mark McRae

Source: traderssecretcode.com

MA Golden Cross Scanner/Explorer using Amibroker

Anda ingin explore/scan saham2 apa saja yang golden cross (MA5 dengan 20 / MA20 dengan MA60) atau scan/explore saham2 yang death cross dengan cepat dan mudah?

Silakan gunakan amibroker anda, dan install add-on formula scanner sbb:

http://rapidshare.com/files/108978681/Scanner.EXE

Petunjuk cara pakai:

http://rapidshare.com/files/108978845/Scanner_How_To.pdf

Source: http://vierjamal.blogspot.com

Trading System – Vierjamal 4P+2P+4S

Kali ini saya menampilkan Trading System yang dinamakan dengan “vierjamal simple trading concept” dari Pak Vier.

Sistemnya cukup sederhana dengan memanfaatkan indikator-indikator teknikal sederhana namun powerful, juga memanfaatkan chart pattern incl. candlestick. Selain itu juga sistem identifikasi trend dengan stage analysis.

Berikut sistemnya:

• 4P: artinya 4 parameter terdiri dari MA, Bollinger Band, Parabolic SAR, Volume dan MACD.
• 2P: Chart Pattern dan Candlestick Pattern.
• 4S: Empat siklus yg terdapat dalam pergerakan saham.

Silakan pelajari di blog: http://vierjamal.blogspot.com

Regards.

Budi Wiyono

budiw.co.cc

Kiat Mudah Portofolio 70:30

Selamat pagi semuanya,

Kemaren hari yang cukup menggemparkan, saya sendiri tidak melihat market tapi saya mengetahui hal ini dari banyaknya e-mail yang masuk (ada 30 an) yang menanyakan tentang tindakan selanjutnya …. Apakah BELI ? Apakah JUAL ? bahkan ada yang nawarin saya untuk beli sahamnya semua ??? Beberapa rekan saya, terutama Ibu-ibu, ada yang cerita kalo dalam bulan ini akan ada pembayaran uang sekolah dsb yang masih nyangkut di saham.

Cuma sedikit sharing aja, sebenernya kan apa yang terjadi hari ini merupakan hasil akumulasi dari tindakan kita tiga bulan atau bahkan satu tahun di belakang ??? Dan itu sudah pasti hampir tidak bisa kita ubah. Sekarang yang jadi concern adalah BAGAIMANA KE DEPAN ? Tulisan ini setidaknya sebagai hasil sharing saya dari membaca buku dan telah menerapkannya dalam portofolio saya.

Untuk menjamin keberhasilan dalam dunia investasi hal yang penting adalah PERENCANAAN. Bagi seorang trader maka tentu ada trading plan, sementara untuk berinvestasi maka kita perlu membagi portofolio yang terdiri dari Saham, obligasi dan money market (deposito, atau setara cash lainnya). Untuk kebanyakan dari kita katakanlah komposisinya sebesar 70:30 atau tergantung dengan preferensi resiko. Untuk yang masih muda tentu kita bisa mengambil resiko lebih tinggi, sementara untuk yang lebih tua sebaiknya mengurangi resikonya.

Bagaimana KIAT 70:30 ini ? Kita ambil contoh misalnya kita memiliki uang sebesar 100 juta. Maka portofolio awal (kapanpun masuknya) setidaknya sebagai berikut :

KONDISI PORTOFOLIO AWAL

Komposisi ini harus dipertahankan dalam kondisi pasar bagaimanapun dengan masa pengecekan rutin sekitar 6 bulan sekali. Jika misalnya saat pengecekan rutin pasar menjadi Bearish (HANCUR) dan pasar saham turun hingga 25% maka portofolio yang kita miliki akan menjadi sebagai berikut :

KONDISI PORTOFOLIO SAAT BEARISH

Dari portofolio tersebut kita perlu melakukan REBALANCING agar kebijakan 70:30 tetap ada. Hasil rebalancing menjadi sebagai berikut :

PENERAPAN 70:30 RULE

Ya, rebalancing dilakukan dengan mengurangi porsi cash menjadi saham atau dengan kata lain adalah melakukan pembelian saham. Ok, sekarang bagaimana bila kondisi pasar BULLISH saat pengecekan, kita katakan kenaikan mencapai 25%. Kondisi portofolio yang kita miliki akan menjadi :

PORTOFOLIO SAAT BULLISH

REBALANCING KEMBALI DILAKUKAN, maka akan menjadi :

PENERAPAN 70:30 RULE

REBALANCING dilakukan dengan melakukan penjualan saham dan memindahkan sebagian dananya ke dalam pasar obligasi dan pasar uang. Istilahnya menyelamatkan profit dengan tetap menghindari diri dari INFLASI.

Cara dan komposisi portofolio seperti ini dapat membantu kita untuk tidak kaget atau ikut terbawa emosi menghadapi fluktuasi market, apalagi seperti saat ini. Langkah ini juga membantu kita untuk menerapkan strategi BELI di SAAT MURAH dan JUAL di SAAT MAHAL yang diajarkan BUFFET. Tidak ada satu orangpun di dunia yang bisa menebak ke mana arah pasar, apakah naik atau TURUN. Tapi yang pasti keputusan hari ini tentu mempengaruhi NILAI INVESTASI KITA di masa depan.

Saya pribadi saat ini ada yang nyangkut di saham, akan tetapi total kerugian saya terhadap TOTAL portofolio masih di bawah 3%. Market belum menentu, saat ini harga obligasi juga menurun dengan yield yang meningkat. Di sisi lain itu berarti yield saya di pasar obligasi meningkat dan tentu saja di pasar uang juga meningkat. Cuma saya juga sedikit terselamatkan karena istri yang agak konvensional sehingga saat ini hampir 40% investasi ada di obligasi, money market, dan tanah serta rumah ….. Padahal waktu dulu 100% SAHAM (Kan belum kawin). Sesudah kawin, tentu profil resiko harus dikurangi. Kira-kira begitulah ….

Kiat memilih obligasi dan money market nanti saya coba bahas dalam tulisan lainnya.

Semoga membantu.

JV

Source: Jhon Veter

Trading with the Guppy Multiple Moving Average

By Daryl Guppy 2003© Director http://www.guppytraders.com

Author Market

Trading Tactics, Better Stock Trading

This Guppy Multiple Moving Average (GMMA) indicator tool is based on the relationships between groups of moving averages. Each group of averages in the GMMA provides insight into the behavior of the two dominant groups in the market – traders and investors. The indicator itself does not initiate an entry or an exit. It allows the trader to understand the market relationships shown in the chart and so select the most appropriate trading methodology and the best tools. The GMMA is designed to understand the nature of trend activity. If there is no trend, then the tool cannot be usefully applied. Traders should not attempt to make it work in conditions to which it is unsuited. The indicator was first discussed in Market Trading Tactics and in more detail in Trend Trading (April 04 release), by Daryl Guppy. It is also demonstrated in case study examples in the weekly Tutorials in Applied Technical Analysis newsletter. We track the trader’s inferred activity by using a group of short term moving averages. The traders always lead the change in trend. Their buying pushes up prices in anticipation of a trend change. The trend survives only if other buyers also come into the market. Strong trends are supported by long term investors. The investor takes more time to recognize the change in a trend but he always follows the lead set by traders. We track the investors’ inferred activity by using a group of long term moving averages.

The GMMA is used in six trading situations · Classic trend breaks · Join the trend · Using price weakness · Rally and trend break · Better exits · Bubble trading A brief example of each is included in these notes.

CLASSIC TREND BREAKS

download this file guppy_movingaverage.pdf

GUPPY MULTIPLE MOVING AVERAGE ™

This indicator was developed by Daryl Guppy. It is fully explained in TREND TRADING. Captures the inferred behaviour of traders and investors by using two groups of averages. Uses fractal repetition to identify points of agreement and disagreement which precede significant trend changes.

APPLICATION

Applied to understand the nature and character of the trend. Used to assess the degree and extent of trading activity. Excessive trading activity can destabilise strong trends. Trend analysis enables more effective selection of appropriate trading strategies such as breakout, trend continuation etc. Can be applied to long side and short side trading. Can be applied to intraday trading. Also used for longer term investment style analysis.

TACTICS

• Join established trends at points of price weakness

• Join established trends breaking to new highs

• Trade breakouts using rally dips and rebounds

• Trade downtrend rallies as rallies rather than trend breaks

• Recognise trend breaks as they develop

RULES

• Degree and nature of separation in the long term group define trend strength and weakness

• Degree and nature of separation in the short term group define the nature of trading activity.

• Degree and nature of separation between the two groups of moving averages define the character of the trend.

• Compression shows agreement on price and value.

• Compression of both groups at the same time indicate major re-evaluation of stock and potential for a trend change

• Trade in the direction of the long term group of averages

• The relationships between the groups provide the necessary information about the nature and character of the trend.

• Do not use as a moving average crossover tool

ADVANTAGES

• Enables effective analysis of the trend environment

• Improves selection of the appropriate trading tactics

• Better understanding of trend strength

• Effective evaluation of unusual price movements, such as dips and spikes

• Effective understanding of trading activity and behaviour

DISADVANTAGES

• Not effectively applied to trend less stocks

• Cannot be applied to all trending stocks

• Do not use as a moving average crossover signal

See how some FX traders are using the GMMA

• http://www.forexfactory.com/showthread.php?t=5933

• http://www.forexfactory.com/showthread.php?t=8742

• http://www.forexfactory.com/showthread.php?t=27574

• http://www.forexfactory.com/showthread.php?t=10877

• http://www.forexfactory.com/showthread.php?t=10448

Source: http://www.guppytraders.com