Forum dedicated to analysis and testing of Jack's PVT System. To avoid all the usual banter associated with JH threads, I've agreed to heavily moderate this thread. Only content related to PVT, testing of PVT or clarification of PVT details are allowed. Let's make this productive. I think it could help all sides evaluate and learn.
Second attempt This is what precipitated the advent of this thread by the moderator of this forum: -------------------------------------------------------------------------------- Quote from vikana: I'm still open to keeping a forum under Strategy Trading exclusively focused to systems, code and technical discussions. I will remove everything unrelated. I recently extended this offer to Jack H. but he declined. I'm open to keeping it general, if there is an interest. -------------------------------------------------------------------------------- The attached was posted in the thread (As stated and cited) you subsequently moved to chit chat. Start with this attachment. The trading rules are in the middle in color. The Universe is posted frequently in the threads previously mentioned to you. Likewise, the Universe selection is coded using several different scripts for several different platforms that are available as alternatives for US and foreign exchanges. Previously, I have suggested in the thread you moved to chit chat that the Sidney exchange be included. The name of the system is PVT. The coding (you among others volunteered to do and post) to do PVT follows from the rules and the monitoring on a 30 minute fractal. Or if one wishes to simulate an employed trader who can only monitor EOD data in the evening after work, use that EOD type back test. This will serve two purposes: 1. To eradicate once and for all the prior posts on backtesting the PVT trading where the backtesting posted in your forum was not backtested by you to confirm its faults. 2. To show a complete backtesting code in whatever code is desired and to show that the code can be corrected to get a quality back test performed. Examples of the results of using this successfully in a forward test are already published, refered to and posted.
The following Q's were also asked in the Feedback thread: [Vikana:]Great news Jack! I've set up the thread as previously committed. http://www.elitetrader.com/vb/showt...324#post1976324 I suggest you copy the content above over (to keep your name associated with it). I have a couple of questions I'd like to understand: 1. could you please define the various terms in the table (column headers). 2. what's the underlying contract or stock you used (good starting point) 3. for me, I would benefit from a clearer description of the rules between the two graphs.
my post to Q1 was just destroyed on the way to the thread. I think I am having difficulty posting for some reason. bear with me if it takes a while to get the posts up.
Q1 second attempt. the column headings are as follows: EST Eastern standard time Tuc Tucson time during what the rest of the country alls daylight savings time. AZ does not change times since we just ranch all year and do citrus all year and mine all year in tunnels and pits. 30 minute These are volume bar values for the 30 minute period in the row. they are %'s of total day's volume so they add up to 100% for a day. Cummulative. This is the sum of the rows of 30 minute volume up to and including the row. It is the % of the total volume of the day that has occured to this point in the day.
more question 1 on columns. The remaining columns are a look up table for making money during the day. DU means Dry Up volume FRV means First Rising Volume Peaking Volume means the highest volume at the end of a trade. All trading learning takes place elsewhere. Presently, learners go to the journal nemas Iterative refinement which is heavily monitored just as this one will be. In the beginning of that Journal you are directed to many other resources. Here in this thread we are just carrying out some overdo housekeeping. In the cells of these three columns you see decimal precentages. THe DU percentages show how a Dry Up day unfolds. DU is the immediate precursor of taking a trade. You use DU days to WAIT. The last value at the end of the DU column is very important as we will see.
a trade is taken to trade long or short by using the First Rising Volume to take a trade. Here you see, according to the rules, the color of the decimal percentage changes. There wee many years ago many debates on "Tomorrow's Newspaper Today. This FRV reaching the last value of the DU in the early AM is the source of the debate. It has been continually difficult for some types of thinkers to understand that if a DU EOD velue is seen in the early AM, that the day will not be a DU day. They argue that you have to wait and see. Some people do and PVT traders do not. At the time the EOD DU is reached in the FRV column, it marks a moment in time when, within an hour to hour and one half PRICE WILLBE LIFTING OFF TO BEGIN THE LONG (GREEN) TRADE OR TO BEGIN THE SHORT (RED) TRADE. Here green and red stand for bar colors of a display where the volume is being monitored. green is long or increasing and red is short or decreasing. The FRV occurs on the first day of a PVT trade for those who monitoron 30 minute fractals during the day. for those who work and use EOD data they enter on the next day and begin their hold. Peaking volume. this volume comes after FRV and marks the END of a trade when it is not being fulfilled as noted as a decimal percentage. ALL OF THE DECIMAL PERCENTAGES ARE CALCULATED AS DECIMAL PERCENTAGES OF A 65 DAY AVERAGE. the reson for this is that you take what you can get from platform indicators. Unusual volume is a name given by an administrator or programmer. I have asked a heck of a lot of administrators and programmers over the years to add useful stuff to platforms. It is very difficult to get anything done. Unusual volume is just one of those happenings that has a strange name from my point of view. I use it here on a chart that is used to make money for PVT traders. This ends the column header discussion. On to question 2.
2. what's the underlying contract or stock you used (good starting point) In 1957, I began to read the last page (both sides) of the WSJ from Z to A. There I found stocks to plot by pencil on a chart I inked and made brownlines of. Over 25 years, I came to see the natural cycle of stocks using EOD data. The PC came into being and chalk boards declined in use during RTH. The table you are looking at is a byproduct of working to understand making money... it underlying has gotten the attention of the SEC many many times. As the SEC learned to do what they do, they did not originally have the skill to differentiate between what this chart shows (the volume leading the price) so they felt that I was just doing insider trading in several large accounts. SEC computers which monitor accounts at brokers or through brokers are not very sophisticated. So to use the chart a universe with specific characteristics is deployed. "they all look alike to me" is the theme for Universe members. You go to the journals to get the specific characteristics or you get the universes that are supplied by the journals or you get the universe from a platform capable of giving you the universe. There are many manually oriented archives, blog sites and reference documents that give the characterisitcs, show examples of using the characterisitics and show how forward usage of the unverses so chosen have successful results. As you look at displays of 30 minute charts of Universe lists, you can see day after day the catenary displayed at various relative levels of the 65 day average. The Universe uses FA information as part of its specification. there is no index that has components that meet this specification. This is not clear to some people. In this thread and in the testing that will be done, the selected Universe is going to be clear as a monitoring and moderating responsibility.
question 3. 3. for me, I would benefit from a clearer description of the rules between the two graphs. there are three rules: Black, Green and Blue Black means wait. It may be seen that the DU column is showing decimal percentages in black. the Rule is to Wait while a stock is in DU. by monitoring the daily volume as the day unfolds, it is possible to compare it continually with the 65 day daily average volume and get a decimal fraction. On lists being displayed this is done by people as the column following the salient price information columns. Even more spectacular the lists are ordinarily sorted by the "unusual volume" column. In dairyman's language this alows the creme to rise to the top before price begins to move. I posted help to many others here to illustrate this happening after preparation ws done the day before the lists wee used. this is a dream come true for those who wish to avail themselves to the opportunity. Here we are going through what everything means on a sheet of paper first. We are checking out thoroughly that black decimal percentages mean WAIT in PVT trading. An employed person just beginning gets an additional benefit: he enters late and leaves late. I regard this as a risk minimizing strategy.
the Green rule. Buy at these levels on FRV. This is the "long trade rule". Some people also use it to trade short. For short trades the price bar is RED on this increasing FRV volume. Usually, a person monitoring will be able to see the progression of volume continuing to lead price through the FRV day. "Price will lift off within one hour of BUY." This phrase is written in as well to assure to the PVT trader that there is still a window for easing in and that price will be following the lead of volume. As a person trades PVT, he has more money to deploy. He also trades the Universe stocks over and over as long as they keep their place in the Universe. A typical share growth series is 300 to 400 to 700. As has been pointed out, in 2006 NTRI could have been traded four times with hold of three days each. the net per cycle was 30% each cycle. This is a compounded gain of 289% for trading 12 days out of 250 days in a year. Getting the Universe is one step. Getting a hot list to trade is not on the sheet. Go to the Journal titled Iterative Refinement to watch people make lists and trade those lists. The sheet is a strategy with three rules. the strategy is used on a specified Universe. Within the universe are stocks whose time to trade comes periodically by volume leading price. this is not a belief system. It is simply a pragmatic way to position trade and its name is PVT standing for Position Vector Trading.