W.D. Gann, Technical Analysis, Stock Market Timing, Money Managers, Investing, Business, free news updatewww.robertwcolby.comTechnical Market Indicators W.D. Gann, Technical Analysis, Stock Market Timing, Money Managers, Investing, Business, free news update |
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126 Comparably Measured Technical Market Indicators Ranked by Annual Relative Advantage
The following is an excerpt from my 820-page research book,
Colby, Robert W., The Encyclopedia of Technical Market Indicators, Second Edition, McGraw-Hill Publishing, 2003 (click here for a description).
Maximizing Profits Using "Annual Relative Advantage"
Q: I am interested primarily in aggressive swing trading to maximize profit. I want to pick indicators and trading systems that might best help me make as much money as possible. How can I sort the indicators in your book to help me find the ones best suited to my goals? A: Annual Relative Advantage is the most effective way to quickly rank indicators for those interested in maximizing profit. To understand the meaning of these figures, we need to start with the first column on pages 32-35, "Versus Buy & Hold", which is the net profit performance of the strategy listed compared to the net profit performance of passive Buy & Hold Strategy. In other words, it is "Total net profit" of the indicator listed divided by the "Buy/hold profit", as shown in the Indicator Strategy Example "System Report" table for each indicator. In the second column of the table on pages 32-35, "Annual Relative Advantage" is the number in the first column (labeled "Versus Buy & Hold") divided by the number of years in the test, which is shown in the Indicator Strategy Example "System Report" table. This ratio makes indicators measured over different time intervals more comparable. For example, according to the second column, "Annual Relative Advantage", the top performing indicator strategies were, in rank order, the Exponential Moving Average (5 days) crossover, Weighted Moving Average (6-days)crossover, Percentage Hughes AD Oscillator with 8 Parameters, Advance / Decline Ratio, and Indicator Seasons--Colby’s Optimized Version. In contrast, indicators at the bottom of the table, those preceded by a minus sign, underperformed the Buy & Hold Strategy and, therefore, would not be appropriate indicators for those seeking profit maximization. If you carefully compare the numbers shown in the table on pages 32-35 with the numbers shown in each of the Indicator Strategy Example "System Report" tables for each indicator that looks good to you, then you will gain better insights into where the numbers on pages 32-35 come from. In each Indicator chapter, profit and loss summary statistics are shown in detail. You will find definitions of terms in the legend shown in the "System Report". Note that I consistently started each indicator system test with an amount of $100, and that amount grew according to the Profit and Loss effectiveness of each indicator strategy to the amount shown in the Indicator Strategy Example System Report table "Total net profit" for each indicator. Time periods used to test each indicator are usually daily data from 1900 to 2001, if available, otherwise the maximum data available. Dates and time periods are specified in each indicator's individual Indicator Strategy Example. Use the index in the back of the book to quickly locate the indicator page number by the name of the indicator. In some cases, weekly or monthly data had to be used and, if so, that is disclosed in the Indicator Strategy Example for each indicator. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Comparably Measured Technical Market Indicators Ranked by Annual Relative Advantage ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ 766849.86 … Exponential Moving Average (5 days) 510822.71 … Weighted Moving Average (6-days) 186721.50 … Percentage Hughes AD Oscillator with 8 Parameters 102924.31 … Advance / Decline Ratio 82374.96 … Indicator Seasons, Colby’s – Optimized 67454.12 … Advance-Decline Non-Cumulative (Hughes) 55137.23 … Schultz Advances/Total Issues Traded (A/T) 45084.89 … Advance-Decline Line, A-D Line 36689.09 … Number of Advancing Issues 24350.59 … Volume Acceleration 23220.51 … Dow Theory: using 3-day EMA 20603.74 … Volume * Price Momentum Oscillator (V*PMO) 19989.81 … Lowry's Short-term Buying Power 19916.26 … Lowry's Buying Power Minus Selling Pressure 16379.59 … Number of Declining Issues 16051.94 … Volume: On-Balance Volume (OBV) 7096.20 … Volume: Williams' Variable Accumulation Distribution 6307.55 … Volume Accumulation Oscillator 5961.04 … Accumulation Swing Index (ASI) 4554.84 … Accumulation / Distribution ( AD ) 1789.85 … Volume : Cumulative Volume Index 1223.99 … Sign of the Bear 374.60 … Commodity Channel Index Crossing Zero: Zero CCI 368.28 … TICK (Crossing 11-day EMA) 282.40 … Aaa long-term corporate bond yield versus EMA 249.76 … Breadth A/D Indicator: Breadth Thrust 176.82 … Indicator Seasons, Colby’s Variation 141.18 … Multiple Time Frame Analysis (10, 50, 200) 133.22 … Pivot Point Reverse Trading System 103.99 … McClellan Summation Index Direction, Long and Short 103.39 … McClellan Oscillator Crossing Zero, Long and Short 83.14 … Haurlan Index 79.13 … US Treasury Bond Futures, Combined Strategy 68.69 … Arms' Ease of Movement Value (EMV) 67.09 … US Treasury Bond Futures versus 16-day EMA 55.71 … Dow Theory: 8 Different Price Channels 38.75 … Dow Theory 32.97 … New Lows / Total Issues Traded <> 3.53% 29.85 … Days of the Month and the Months of the Year 26.46 … STIX: The Polymetric Short-term Indicator 24.01 … Demand Index (DI) 23.98 … Exponential Moving Average (120 days) 19.96 … Simple Moving Average (126-days) 15.82 … New Highs - New Lows 13.36 … Percentage 30-week Simple Moving Averages 7.01 … Percentage 10-week Simple Moving Averages 6.73 … Put/Call Premium Ratio 6.45 … Days of the Month 6.39 … Months of the Year (a seasonal strategy) 6.29 … (New Highs - New Lows) / Total Issues Traded 6.14 … Put/Call Volume Ratio Jump Strategy 5.95 … Call-Put Dollar Value Ratio 5.72 … Volatility & Price Channel 5.66 … Odd Lot Short Ratio 4.94 … Arms' Short-Term Trading Index (TRIN, MKDS) 4.93 … Days of the Week 4.79 … Call-Put Volume Ratio 3.28 … Price Oscillators: Moving Average Oscillators 3.20 … Margin Debt Overbought/Oversold Bracket Rule 3.02 … Rate of Change, 18 weeks 2.60 … Smoothed Momentum Slope Indicator 2.55 … Stochastics (7 days, 3 SMA, B 30, S 70) 2.47 … Price Channel Trading Range Breakout Rule 2.47 … Volume 2.24 … Public Short Ratio 2.10 … Call-Put Premium Ratio 1.90 … Commodity Channel Index (CCI) 1.85 … Advisory Sentiment Index 1.67 … Ultimate Oscillator 1.65 … Upside/Downside Ratio 1.64 … Directional Movement Index 1.29 … New Highs / Total Issues Traded >< 1.55% 1.24 … Volume Reversal 1.15 … Total Issues Traded (270-day EMA) 1.13 … Dow Theory: 90-Day Price Channels 1.12 … Public / Specialist Short Ratio 1.08 … Open Interest Trend-following Strategy 1.06 … Parabolic Time/Price System (Contrary) 0.98 … Insiders' Sell/Buy Ratio 0.90 … Open Interest 0.89 … Projection Oscillator 0.80 … Odd Lot Sales / Purchases 0.78 … Aroon, Aroon Oscillator 0.67 … 25-Day Plurality with Bollinger Bands (324, 2sd) 0.63 … KST with 33% faster parameters 0.61 … Positive Volume Index VS 1-year EMA 0.23 … Qstick 9, Counter-trend 0.18 … Envelopes, Moving Average Envelopes 0.16 … Stochastics with EMA Filter 0.07 … Aroon 270 0.07 … Relative Volatility Index (RVI) 0.01 … Moving Average Convergence-Divergence (MACD) 0.00 … Absolute Breadth Index 0.00 … Buy-and-Hold Strategy: the Passive Strategy 0.00 … Member Short Ratio (Envelope, 25 EMA & 10%) -0.12 … Coppock Curve (Coppock Guide) -0.14 … Specialist Short Ratio -0.36 … Unchanged Issues Index -0.40 … McClellan Summation Crossing Zero, Long Only -0.45 … Negative Volume Index (NVI) -0.53 … Call-Put Dollar Value Flow Line (CPFL) -0.57 … KST (Know Sure Thing) -0.84 … Short Interest Ratio -0.98 … Keltner Channel with EMA filter -1.07 … Presidential Election Cycle -1.13 … Triple EMA (TEMA), 6-days -1.18 … Projection Bands -1.24 … Margin Debt crosses trailing 13-month EMA -1.36 … 25-Day Plurality Index -1.39 … Linear Regression Line, 5-days -1.43 … Chande Momentum Oscillator (CMO) -1.43 … Ninety Percent Days, Nine to One Days -1.68 … Relative Strength Index (RSI) -1.73 … Key Reversal Day -1.76 … TRIX (triple exponential smoothing) -1.88 … Bollinger Bands -2.52 … R-squared -2.53 … Double Exponential Moving Averages (DEMA) -2.63 … Linear Regression Slope, 244 days -2.66 … General Motors as a Market Bellwether Stock -2.67 … The Range Indicator (TRI) -3.05 … Herrick Payoff Index -3.17 … Volatility, CBOE Volatility Index (VIX) -3.48 … Random Walk Index (RWI) -3.99 … Volume: Klinger Oscillator (KO) -4.19 … Qstick 1, Trend-following Copyright © 2000-2012 by www.robertwcolby.com. 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