FEB 1997 STOCKS & COMMODITIES Magazine

Article Archive For FEB1997

Genetic Algorithms and Rule-Based Systems by J.O. Katz

ARTICLE SYNOPSIS ...Genetic Algorithms and Rule-Based Systems by J.O. Katz This trader and consultant uses a genetic algorithm to discover the best rules and parameters for a trading system. Previously, I demonstrated that simple two-rule systems could be profitable. I used a genetic algorithm (GA) to discover the best parameters for the rules. Each rule had three parameters: two lookback periods and a threshold value. Other than the parameters, the rules remained constant. The GA was used only to determine optimal values for the lookbacks and the thresholds. What would happen if I allowed a GA to search, not...

AUTHOR: J.O. KatzDATE: FEB1997SUBJECT: Trading Techniques

Ralph Acampora of Prudential Securities by Thom Hartle

ARTICLE SYNOPSIS ...Interview: Ralph Acampora of Prudential Securities by Thom Hartle In the decades that technical analysis has been rising in prominence, few have been as outspoken as Ralph J. Acampora, CMT, first vice president with Prudential Securities. Acampora has his roots firmly in the discipline. He's been a technician for three decades, he's a regular panelist and technician on the popular television show Wall $treet Week with Louis Rukeyser and not only that, he's a cofounder of the Market Technicians Association. In 1996, he won a place on the second team in the Institutional Investor All-America Re...

AUTHOR: Thom HartleDATE: FEB1997SUBJECT: Interview

AUTHOR: Technical Analysis, Inc.DATE: FEB1997

The 10% Swing Filter by Mark Vakkur, M.D.

ARTICLE SYNOPSIS ...The 10% Swing Filter by Mark Vakkur, M.D. Price filters identify trends while eliminating noise below a certain percentage change. Here's a trading method using a 10% price filter for the S&P 500 stock index. Although trend-following systems work well during established trends, they can produce disastrous results at market turning points. For example, momentum investors obeying the dictum "Buy high and sell higher" could get crushed if they were fully leveraged at a major market top. Further, oscillators should theoretically help signal a change in trend, but often do so prematurely. A stoc...

AUTHOR: Mark Vakkur, M.D.DATE: FEB1997SUBJECT: Trading Techniques

The Fundamentals of Sector Rotation by Paul and Carole Huebott

ARTICLE SYNOPSIS ...The Fundamentals of Sector Rotation by Paul and Carole Huebott Maintaining an optimized portfolio of strong blue-chip stocks is one way to invest. Here are the basics of how stock groups move through a typical business cycle. Our new Dow strategy, described in the August 1996 STOCKS & COMMODITIES, is a formula system operating on the sector rotation principle. But sector rotation can also be practiced on fundamentals. Here's how. Each issue of Barron's provides market performance data on 96 industries in nine industrial groups. These groups are sometimes called sectors, and we use the two ...

AUTHOR: Paul and Carole HuebotterDATE: FEB1997SUBJECT: Novice Traders' Notebook

The Stock Market and Seasonality by Bob Kargenian, C.M.T.

ARTICLE SYNOPSIS ...The Stock Market and Seasonality by Bob Kargenian, C.M.T. Is there a message that can be gleaned from the performance of the stock market during the 1996 election year? There may be. In 1990, this writer discussed the seasonal movement of the stock market. Here, he updates that work with further research, looking at market activity during the election year. Is there a message that can be conveyed from the stock market's performance during the 1996 election year? There may be -- if you believe in the seasonal and cyclical nature of the market. While not implying that past performance indicate...

AUTHOR: Bob Kargenian, C.M.T.DATE: FEB1997SUBJECT: Real World

Traders' Tips

ARTICLE SYNOPSIS ...Traders' Tips Here is this month's selection of Traders' Tips, contributed by various developers of technical analysis software to help readers more easily implement some of the strategies presented. In the August 1996 STOCKS & COMMODITIES, an article by Thom Hartle titled "The market facilitation index" showed how to color chart bars to identify chart patterns based on changes in the market facilitation index and volume. In this month's Tips, code is given demonstrating how to do this using MetaStock 6.0's new Expert Advisor. Code is also provided for Adam White's article ""The derivative...

AUTHOR: Technical Analysis, Inc.DATE: FEB1997

Trading Soybean Spreads by Scott W. Barrie

ARTICLE SYNOPSIS ...Trading Soybean Spreads by Scott W. Barrie Here are the basics of trading a soybean commodity spread using a seasonal strategy. The price relationship between two or more given commodity contracts is known as a spread. Spread trading is the purchase of one commodity contract and the simultaneous sale of another, related, futures contract. The price difference can change, and if it trends in the correct direction, the change in the relationship of the prices will be profitable. There are two basic types of spreads: intercommodity and intracommodity spreads. An intercommodity spread is the p...

AUTHOR: Scott W. BarrieDATE: FEB1997SUBJECT: Derivatives