Spring 2014 SAMT Journal by Swiss Association of Market Technicians

The swiss

technical A n a ly s i s Journal

Frühling Herbst Primavera Autunno Printemps Automne Autumn Spring 2013 2014

The Swiss Association of Market Technicians GenÈvE • Lugano • ZÜrich

l Zürich

Willkommen

Benvenuto Bienvenue

Genève

Welcome

l Genève

l Lugano

Geneva

From the President’s Desk

Dear SAMT members & industry colleagues, We are very proud that our SAMT Journal has successfully completed its debut year in 2013. A special thanks to our SAMT Journal team; founding editors, Ron William and Mario Valentino Guffanti. With further gratitude to our design and publication specialist, Barbara Gomperts. Collectively they have invested many hours of hard work to ensure the very best content for members and colleagues.

Chapter events

Our growing SAMT Journal readership of over 5,000 from around the world serves as a strong recognition. Your ongoing feedback and contribution is very important for the future our SAMT Journal. Further value can also be found in SAMT’s exclusive technical analysis events. In just the last few months, notable international speakers have included, Ian McAvity of Deliberations and Martin Pring of Pring Turner Capital.

Bruno Estier presenting Martin Pring with SAMT Honorary Member certificate after his 18 March presentation to the Geneva chapter. His slides can found at http:// samtjournal.uberflip.com/i/292269

We look forward to welcoming our special guest Dr. Henry Pruden, during the 10th and 11th of June, who will be sharing his years of insight of the compelling attributes of “The 21st Century Technician”. Lastly, I would like to highlight that SAMT continues to offer educational support for the CFTe, which is the gold standard diploma of technical analysis, recognized around the world. If you are interested in taking your learning to the next level, then we strongly recommend registering for our upcoming CFTe immersion course which is scheduled for 13th-14th of September - see page 29. Complete details and registration link http://samtjournal.uberflip.com/i/305430 Best wishes,

Daniel

Ian McAvity (center) with GSCGI member Cosima Barone and SAMT Geneva head Ron William.

Daniel Stillhart, President of the Swiss Association of Market Technicians (SAMT)

Ian McAvity spoke in Geneva on 3 February at a SAMT/GSCGI collaborative presentation. His slides can be found at

Willkommen Frühling Benvenuta Primavera Bienvenue au Printemps Welcome Spring

http://samtjournal.uberflip. com/i/258886

• Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 •

l Zürich

Willkom m en

Benvenuto Bienvenue

Genève

Welcome

l Genève

l Lugano

Geneva

From the president’s Desk

chapter events

Bruno estier presenting Martin pring with SAMT Honorary Member certificate after his 18 March presentation to the Geneva chapter. His slides can found at http:// samtjournal.uberflip.com/i/292269

Daniel

ian Mcavity (center) with GscGi member cosima Barone and saMt Geneva head ron William.

Daniel Stillhart, President of the Swiss Association of Market Technicians (SAMT)

ian Mcavity spoke in Geneva on 3 February at a saMt/GscGi collaborative presentation. his slides can be found at

Willkommen Frühling Benvenuta primavera Bienvenue au printemps Welcome spring

http://samtjournal.uberflip. com/i/258886

2 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 3

The swiss

Contents

technical

From the President’s desk

Analysis

Daniel Stillhart

Journal

crafted for: portfolio managers technical analysts fundamental analysts risk managers private traders educators

Pearls of Wisdom from a Master Perry Kaufman

An Interview with Hank Purden

Volume Two, Issue 1

Ron William, CMT, MSTA

SPRING 2014

A book review & interview with Charles Kirkpatrick: Mario Valentino Guffanti, CFTe

Journal Committee

Why are Financial Professionals all over the world switching to Market Analyst? The world of finance can be ruthless. To stay ahead, a financial professional needs to have the right strategy, discipline and tools that support and grow with them. At Market Analyst we see the importance of staying true to the techniques of the past, all the while embracing the revelations of the future. Market Analyst blends together cutting edge innovations including 3D charts, RRGTM & Volatility Based Support & Resistance, while also being the premier product for anyone interested in more traditional and esoteric studies.

Julien Camberlin, CFTe, MFTA, CEWA Lev I

Mario V. Guffanti, CFTe + 39 33 691 91 70 mario.guffanti@samt-org.ch Ron William, CMT, MSTA + 41 78 947 53 87 ron.william@samt-org.ch

• Spring 2014 • The Swiss Technical Analysis Journal

mav7.com/samt

Protect against losses by hedging through a simple, trend-following strategy Alberto Vivanti

Design & Production Barbara Gomperts +1 978-745-5944 (USA) bgomperts@gmail.com

The Swiss association of market technicians Geneva Chapter Events

Follow SAMT on

Market Analyst exists to give you the edge

US: +1 800 557 2702 UK: 0800 680 0428 CH: 0800 564 888

See the Whole Market in One Picture in One Graph with Relative Rotation GraphsTM Trevor Neil, MSTA MCSI

The Swiss Association of Market Technicians GenÈvE • Lugano • ZÜrich

www.samt-org.ch

Elliott Wave, Chaos Theory and Fractals

Financial Professionals all around the world who just want one powerful product that “does it all”, are finding that Market Analyst is the solution they were looking for.

No matter who you are and what you do, Market Analyst will give you access to tools and features that will improve your work-flow, and give you a real edge in all that you do. Speak to our trained staff now to discover all that Market Anlayst can do for you. With offices all over the world, there is always someone ready to help.

CFTe Immersion Course

Board of Directors

Journal Submission Guidelines and Advertising Rates

Membership

Education

Partner Societies

Zürich Chapter Events

The Swiss Association of Market Technicians (SAMT) is a not-for-profit organization that does not hold a Swiss Financial Services License. It is the aim of the SAMT to promote the theory and practice of technical analysis, and to assist members in becoming more knowledgeable and competent technical analysts, through meetings and encouraging the interchange of materials, ideas and information. In furthering its aims the SAMT offers general material and information through its publications and other media. The information provided on this Journal has been compiled for your convenience and made available for general personal use only. SAMT makes no warranties implied or expressly, as to the accuracy or completeness of any information contained on the Journal. The SAMT directors, affiliates, officers, employees, agents, contractors, successors and assigns, will not accept any liability for any loss, damage or other injury resulting from its use. SAMT does not accept any liability for any investment decisions made on the basis of this information, nor any errors or omissions on the Journal. This Journal does not constitute financial advice and should not be taken as such. SAMT urges you to obtain professional advice before proceeding with any investment. The material may include views and statements of third parties, which do not necessarily reflect the views of the SAMT. Information on this Journal is maintained by the people and organization to which it relates. The SAMT believes that the material contained on this Journal is based on the information from sources that are considered reliable. Although all care has been taken to ensure the material contained on this Journal is based on sources considered reliable we take no responsibility for the relevance and accuracy of this information. Before relying or acting on the material, users should independently verify its accuracy, currency, completeness and relevance for their purposes.

The Swiss Technical Analysis Journal • Spring 2014 •

The swiss

Contents

technical

From the President’s desk

Analysis

Daniel Stillhart

Journal

crafted for: portfolio managers technical analysts fundamental analysts risk managers private traders educators

Pearls of Wisdom from a Master Perry Kaufman

An Interview with Hank Purden

Volume Two, Issue 1

Ron William, CMT, MSTA

SPRING 2014

A book review & interview with Charles Kirkpatrick: Mario Valentino Guffanti, CFTe

Journal Committee

Julien Camberlin, CFTe, MFTA, CEWA Lev I

Mario V. Guffanti, CFTe + 39 33 691 91 70 mario.guffanti@samt-org.ch Ron William, CMT, MSTA + 41 78 947 53 87 ron.william@samt-org.ch

• Spring 2014 • The Swiss Technical Analysis Journal

mav7.com/samt

Protect against losses by hedging through a simple, trend-following strategy Alberto Vivanti

Design & Production Barbara Gomperts +1 978-745-5944 (USA) bgomperts@gmail.com

The Swiss association of market technicians Geneva Chapter Events

Follow SAMT on

Market Analyst exists to give you the edge

US: +1 800 557 2702 UK: 0800 680 0428 CH: 0800 564 888

See the Whole Market in One Picture in One Graph with Relative Rotation GraphsTM Trevor Neil, MSTA MCSI

The Swiss Association of Market Technicians GenÈvE • Lugano • ZÜrich

www.samt-org.ch

Elliott Wave, Chaos Theory and Fractals

Financial Professionals all around the world who just want one powerful product that “does it all”, are finding that Market Analyst is the solution they were looking for.

CFTe Immersion Course

Board of Directors

Journal Submission Guidelines and Advertising Rates

Membership

Education

Partner Societies

Zürich Chapter Events

The Swiss Technical Analysis Journal • Spring 2014 •

Pearls of Wisdom from a Master Nine precious tips to avoid the most common errors in developing trading strategies

Perry Kaufman A Leading Expert in Algorithmic Trading Programs Having made hundreds, if not thousands of errors developing strategies over the course of 40 years, I feel that I’m qualified to share some of them with you, and suggest some solutions. Let’s look at a few common assumptions: 1. Good test results are correct I am always excited when I see great results from testing a new system. Normally, I expect the worst. And when the results are bad, I look carefully at every trade and every calculation to see if I made any errors because I expected it to work. But I was never that diligent when the results were good. I was fast to say “Great!” I’ve got another strategy. I would start monitoring the daily trading signals (at least I didn’t start trading with real money) and some odd trade would pop up. Good grief! There’s an error! It turns out that it’s just as likely to make an error that produces good results as bad. In the days before development platforms, like TradeStation, you could look at tomorrow’s data and buy or sell today. It’s difficult to make a bad trade that way. We can still assume an execution on today’s close when we should be entering on the next open. For most of us daily traders, it’s difficult to get prices 15 minutes before the close, run the strategy, and execute on the close. The next open is much more realistic. We may also have a bad price in our data that gave us a large profit. It pays to check the trade results to see if there are any outliers, then examine those for errors. We could have typed a minus sign instead of a plus, or entered a “100” instead of a “10.” Those things happen. 2. Old data isn’t valid any more While it’s true that old data is old, and many things have changed, the reason for testing as much data as possible is to put stress on your system. It needs to see as many patterns as possible, in as many combinations as possible. We may think now that we won’t see markets like that again, but we could be wrong. Either way, a system that works on more data is more robust. 3. I can pick the parameters that will work in the future If you can, you’re a better person than me. I haven’t been successful in the past, so I choose an average. I put equal risk on all my trades (for stocks that’s simply dividing a fixed investment by the price), which gives each trade an equal chance of participating in the returns. If I put more money on one trade then it must give higher returns or I’m just adding risk. Also, equal risk is as good as we get to maximizing diversification.

4. I should get the same results trading that I did testing No, you’ll never do as well in real trading as the test results show. That’s because, no matter how much past data you used for testing, future data will have unexpected patterns. Of course, we could get a bull market in stocks, as we’ve had in the U.S. for the past four years. Then everything works. But normally, you will have more losses and lower profits than your tests, so be sure you have enough profits per share to survive reality. 5. Using high costs for commissions and slippage in testing will assure trading success Being conservative about costs is usually good, but using costs that are too high will eliminate some trading systems that can be profitable. It’s always best to have realistic costs. If you’ve traded before, then you might know what they are. My experience is that, with a small amount of practice and using limit orders, you can beat the system over time. So including slippage may be too much of a burden, but accurate commissions are important. 6. We’re not likely to see another 2008 disaster Of course we won’t have another subprime crisis, but we must all know that something else will cause a drop equally as large, hopefully not larger. You can’t eliminate risk. When you cover up one hole, it pops up somewhere else. So be prepared for fast, large drops from time-to-time. If you’re trading a system, be sure it gets out, or goes short, during those crises. 7. Taking profits is good I always take profits with short-term trading but I never take profits with long-term trends. For fast trading we are dealing with price noise. We expect short bursts of price movement, then sharp reversals. When we look at that from a distance, with a macrotrend system, that noise seems small, but for short-term trading we want to capture those bursts of price movement when they are in our direction. We can then wait for a new trade.

But with trend following, if you take profits you might miss the really big profit, the “fat tail.” If that happens your entire performance is hurt. Profit-taking fights with the trend, so if you get out you also need a rule to get back in. That’s more complicated than just holding the original trend position. 8. Stops prevent large losses I have a system where a stop is essential, but generally a stop gets you out at the worst point. I can think of only one case where a stop improved results or even protected me from a large loss. That’s an arbitrage, where I buy an undervalued stock relative to an index, and exit when it goes to normal. I hedge my risk if the broad index turns down. But if I bought an Enron when it dropped against the S&P, and it kept going down while the S&P was trending up, I would be unprotected. So I use a stop of, for example, 15% from entry. Most of the time it’s still a bad exit, but it’s disaster insurance and I need that. For a trend follower, a stop has the same problem as profittaking. If you get out and the trend hasn’t change, you need to get back in. That’s not so easy. For a mean-reverting trader, a stop doesn’t work because you must give the trade room to develop. A mean reversion system should have a high percentage of profitable trades but a small profit per trade. When you use a stop you lower the percentage of profitable trades and the system no longer works. 9. There are fewer opportunities for trading Nonsense! There are as many opportunities now as there ever were. Prices go up, price go down, the government enacts new policies and changes interest rates, the weather causes droughts and then too much rain, some governments collapse and some emerge successfully. They all move prices and it’s all there waiting for you.

Perry Kaufman began his career as a “rocket scientist,” first working on the Orbiting Astronomical Observatory (OAO-1), the predecessor of the Hubble Observatory, and then on the navigation for Gemini, later used for Apollo missions, and subsequently in military reconnaissance. He then transferred the techniques developed in Aerospace for estimating the path of a missile to his systematic programs for trading in markets. His programs serve institutional clients in the financial, forex, energy, and agricultural markets. Perry Kaufman is the author of “TradingSystems And Methods” (for a complete Review and Interview see our Journal Summer 2013 edition), and “Alpha Trading”. He has been the managing director and general partner of investment funds and the chief architect of their strategies. He is president of KaufmanSignals.com, a website that offers subscriptions to trading strategies and portfolios. He may be contacted via his website, www.KaufmanSignals.com, or by email at Perry@kaufmansignals.com.

• Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 •

Pearls of Wisdom from a Master Nine precious tips to avoid the most common errors in developing trading strategies

• Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 •

An Interview with Hank Purden Ron William, CMT, MSTA

Hank Pruden is a professor in the Ageno School of Business at Golden Gate University in San Francisco, California, where he has been teaching for 37 years. Hank is more than an academic theoretician. He has actively traded his own account for the past 40 years. His personal involvement in the market ensures that what he teaches is practical for the trader, and NOT just abstract academic theory. Hank is the Executive Director of the Institute of Technical Market Analysis (ITMA). At Golden Gate he developed the accredited courses in technical market analysis in 1976. Since then the curriculum has expanded to include advanced topics in technical analysis and trading, in particular the Wyckoff Method. In his courses Hank emphasizes the psychology of trading in conjunction with the use of technical analysis methods. He has published extensively in both areas. Hank has mentored individual and institutional traders in the field of technical analysis for many years. Dr. Pruden is presently on the Board of Directors of the Technical Securities Analysts Association of San Francisco and is past president of that association. Hank was also on the Board of Directors of the Market Technicians Association (MTA). Hank has served as vice chair, Americas IFTA (International Federation of Technical Analysts): IFTA educates and certifies analysts worldwide. For eleven years Hank was the editor of The Market Technicians Association Journal, the premier publication of technical analysts. From 1982 to 1993 he was a member of the Board of Trustees of Golden Gate University.

Ron William, Vice President & Head of the Geneva chapter of SAMT hosted an interview in November 2013 with Dr. Henry Pruden, Professor of Business at the Ageno School of Business, Golden Gate University, San Francisco, CA, USA and Executive Director of the Institute of Technical Market Analysis (ITMA) Ron William: The International Federation of Technical Analysts (IFTA) recognized you as the recipient for their 2013 Lifetime Achievement Award. How did you feel about being nominated for your lifelong outstanding contribution to the development of technical analysis? Please select link to review the IFTA honorary video of Dr. Henry Pruden’s lifetime achievements.

Henry Pruden: Very gratifying to receive the reward in front of my many appreciative colleagues, who attended the IFTA 2013 conference in San Francisco. I’m particularly grateful to Bruce and Ellen Fraser for all of the consideration and care that went into the creation of the video highlighting my preparation for TA and my achievements over the past 35 plus years. That award is also the result of the contributions from so many of my colleagues in the technical market analysis profession from around the globe.

RW: What triggered your learning curve onto the path of Technical Analysis?

HP: The bear market of 1974 drew my attention to the importance of market timing. I was at the University of Texas at Austin at that time. My colleagues in the Department of Finance believed in the fundamentals and individual stock selection and holding for the long term. Their belief in the “economic man” operating in the stock market clashed with my belief and use of the behavioral and psychological consumer decision maker that I used in my teaching and research in marketing. That triggered a search that soon brought me in contact with technical analysis through a broker in Dallas, Texas. I was especially drawn to the visual and analytical aspects of charts. RW: Could you share more detail on your professional experience as a photo interpreter at the US Air Force and how it may have aided the study of your Technical Analysis interests?

HP: Sure, I’ll be glad to. I was officially trained and served as a Photo Interpreter in the US Air Force during the Cold War. Most of my work was classified as “secret” and thus I’ll need to leave out the interesting details. But, in general, I would study

• Spring 2014 • The Swiss Technical Analysis Journal

aerial photographs to gain an understanding of tendencies or trends in aircraft placement and movement. Just as with stock market charts, I would study details on a photo to discern signs of tell-tale activity. Hence, when I was introduced to charts and to technical analysis, I felt immediately home. RW: What key lessons did you learn from the bear market of 1974?

HP: The TSAASF was founded in 1970 by a group of inspired brokers, technical analysts, and money managers who felt they could enhance the quality of their own chart and indicator work through interacting and sharing with like-minded colleagues. From the beginning the TSAASF was dedicated to education. Soon thereafter it became incorporated as a notfor-profit corporation under the laws of the State of California. Happily, their tradition of monthly meetings in San Francisco continues.

HP: The key lesson I learned from my losses caused during the bear market of 1974 was that market timing was essential A curious coincidence: both the MTA and the TSAASF were for long-term wealth building and capital preservation. As a officially founded in 1970, but independently. However, the result, I learned about the Dow Theory. I also started following TSAASF was founded several months before the MTA. Those Trendline charts and studying William L. Jiler’s book, How dates set the stage for an interesting incident when the time Charts Can Help You in the Stock Market (1962). In addition, I came for the founding of the International learned a great deal from the book by Harvey Federation of Technical Analysts. The net Krow, Stock Market Behavior: The Technical “I was officially trained and result was that the USA at the very founding Approach to Understanding Wall Street (New served as a Photo Interpreter of IFTA was the only nation granted the York: Random House, 1969). in the US Air Force during the privilege of having two technical analysis Cold War. ...I would study societies. RW: How did you develop and further your learning of Technical Analysis?

aerial photographs to gain an understanding of tendencies or

A further picturesque story about the growth of TA education during the past four decades is masterfully told by Bruce (and Ellen) Fraser in the video that was presented during October 2013 in San Francisco, CA at the IFTA Conference. That video was part of my IFTA Lifetime Achievement Award and it is available for your viewing.

HP: Like most of the other individual trader/ trends in aircraft placement technicians of that era, I was largely selfand movement. Just as with taught, with the market subjecting me to the stock market charts, I would “school of hard knocks.” No formal courses study details on a photo to of instruction were available. But I did gain discern signs of tell-tale many useful techniques from the market activity.” advisory letters that I followed. Of particular value was The Bank Credit Analyst that had RW: What is your perspective about the Martin Pring as its chief technician. The BCA was also my first idea behind “Fusion Analysis,” in terms of combining the exposure to the Elliott Wave Principle. In addition, I studied best of both worlds, technical and fundamental analysis? Winning Market Systems by Gerald Appel, which later became HP: “fusion 1. an act or instance of fusing or melting; 2. a the basic textbook at Golden Gate University. fused mass; 3. The blending of different things into one; 4. a Big forward strides in my TA learning came about through coalition (Oxford English Dictionary).” my formulating and then teaching a collegiate level course Fusing technical analysis with fundamentals is a mistake. To in technical market analysis. I was trading full time for my paraphrase the salty technician Joseph E. Granville, “You don’t own account in a private office near my home in Marin County want to mix high octane technical analysis with water, which is near San Francisco while teaching part-time at Golden Gate fundamental analysis.” Technical analysis is forward looking. University. That teaching and learning effort was aided and For example, the S&P 500 index is a key component in the abetted by my colleagues in the Technical Securities Analysts “Index of Leading Economic Indicators.” That Index is looking Association of San Francisco. Then, eventually, I took a out six months or more into the future. On the other hand, correspondence course on the Wyckoff Method that was offered fundamental analysis focuses upon company- and industryby the Stock Market Institute. Additionally, I gained exposure specific economic and financial data which are mostly recent to Robert Farrell at Merrill Lynch and ultimately I joined and history. It becomes the news followed by the mass of public. I became involved in the Market Technicians Association of Thus TA and fundamentals are not two elements that should New York. be blended together. TA is forward-looking; TA is discounting tomorrow’s news. RW: The San Francisco Technical Analysts Association of San Francisco (TSAASF) is one of the oldest technical analysis societies in the United States. What was the main purpose for establishing a professional body of Technical Analysis many years ago, during the 1970s? On the East Coast of the United States, where the MTA was incorporated in 1973, several veteran market technicians have talked about the need to create a professional community for the sell-side securities community in Wall Street. What was the story behind establishing the TSAASF?

RW: What is the best way to strike a healthy balance of “Fusion Analysis” between Technical and Fundamental disciplines?

HP: The best way to strike a healthy balance between Technical and Fundamental disciplines is through a two-step filtering. This is already a common practice on Wall Street. First, a list of acceptable industry groups or common stocks, that meet

The Swiss Technical Analysis Journal • Spring 2014 •

An Interview with Hank Purden Ron William, CMT, MSTA

RW: What triggered your learning curve onto the path of Technical Analysis?

• Spring 2014 • The Swiss Technical Analysis Journal

aerial photographs to gain an understanding of tendencies or

RW: What is the best way to strike a healthy balance of “Fusion Analysis” between Technical and Fundamental disciplines?

The Swiss Technical Analysis Journal • Spring 2014 •

certain fundamental criteria or standards, is generated. Then a second step or filter would subject the charts of these same groups and companies to technical analysis. As a result, some stocks would be “technically” good or “okay to buy.” As the Street has wisely said, “There is a good time to buy a mediocre company and a bad time to buy a good company.”

(thus technical analysis) with a respect for the emotional and mental discipline.

Three basic laws, nine tests and four schematics are used by Wyckoff analysts to ascertain the current position and probable future direction of a market. Most basic are the law of supply and demand, the law of effort vs. result, and the law of cause The best from both fundamentals and technicals can be and effect. The first two laws rely upon the bar chart, while obtained by maintaining the integrity of each discipline. That the law of cause and effect is dependent upon the figure chart. can probably be best accomplished by establishing a separate Then there are checklists of nine buying tests and nine selling department devoted to technical market tests, plus a host of basic principles dealing with analysis. “The Wyckoff Method is a support and resistance, trendlines, overbought and oversold conditions, absorption of floating Moreover, a technical analysis astute person on straightforward bar chart supply and an assortment of helpful analogies and figure chart analysis a trading desk can become a portfolio manager’s to help the trader or investor cope with market most valuable ally. Such a partnership would of markets that understand action, money management and mental that the most reliable be another example of the two-step filtering discipline. system at work. pathway to profitable I was attracted to the Wyckoff Method after decision making is through RW: How much value does the Wyckoff a study of the action of the having read Edwin Lefevre’s delightful and methodology provide in the discipline of insightful book, The Reminiscences of a Stock market itself.” technical analysis? How could this benefit Operator. Wyckoff codified the best practices many of our readers, members of Technical of stock operators of the early 20th Century. Analysis societies and colleagues within the financial Most all of those same operators informed Lefevre. industry around the world?

HP: The Wyckoff Method is a straightforward bar chart and figure chart analysis of markets that understand that the most reliable pathway to profitable decision making is through a study of the action of the market itself. The Wyckoff Method is a guide to high-reward/low risk trading opportunities over a cycle of accumulating markup, distribution and markdown. The method emphasizes price and volume behavior and it has stood the test of time. It seeks to interpret from the tape and/ or from charts the intentions of the smart money, who were characterized by Wyckoff as the “Composite Man” or the “Composite Operator.” The Composite Man is on the other side of the trade from the crowd of less informed and less skilled investors. Wyckoff also complements his grasp of the techniques of market behavior

Later, Thom Hartle, the editor of The Technical Analysis of Stocks and Commodities magazine did a masterful job of interviewing me for an article in which he clearly showed the Wyckoff Method. More recently, Stocks and Commodities captured the essence of the Wyckoff Method in another interview article, “Why Pattern Recognition is Important.” RW: What is the key premise of your trading book “The Three Skills of Top Trading”?

HP: The key premise is that to compete successfully in the securities markets, the investor-trader must become a Complete Trader. A Complete Trader learns and practices the three mutually reinforcing elements of behavioral systems building, pattern recognition, and mental/emotional discipline. The Wyckoff Method plays a central role in this scheme. It is

Hank, then IFTA Vice Chair, Americas, in São Paulo in April 2003, with Martin Pring (left) and then SAMT President Bruno Estier. The trio went to São Paulo to vet the Brazil technical analyst society for inclusion into IFTA.

10 • Spring 2014 • The Swiss Technical Analysis Journal

buttressed by concepts and practices that include the modeling of crowd behavior and the accessing by the trader of the appropriate mental state for getting in, staying with, and getting out of a trade. The mastery of all three aspects of the Three Skills of Top Trading makes the Complete Trader. RW: How would you describe the evolution of technical analysis over the last few decades in your career? Has the advancement from paper charts to computers improved the way we analyze the markets?

Higher education for TA has matured into such quality programs as the Graduate Certificate in Technical Market Analysis at Golden Gate University, which is now available online around the globe. Professional certification like the CFTe and MFTA have become necessary tickets for job placement, advancement, and profitable performance. Also remember that “Right Brainers” may rule the future. Hence keep up the nitty gritty practice in the market to get and hold an almost intuitive feel for its actions. RW: On a personal note, tell us a little about a day in the life of Henry Pruden. What are your passions and inspiration in life?

HP: On a personal note, I appreciate the HP: There has occurred a revolution within stimulation and learning that come with “I appreciate the stimulation and for the field of technical analysis. One, thinking, teaching, and travelling. Thinking and learning that come it has gained acceptability amongst many is expressed through postulating ideas about academics, most notably Dr. Andrew Lo at with thinking, teaching, and the Massachusetts Institute of Technology. travelling. Thinking is expressed the market, verifying those ideas through Two, the computer has helped resuscitate through postulating ideas about market action and then writing about my findings in practitioner publications like charting and TA through widespread ease the market, verifying those of usage and availability plus the capacity ideas through market action and the SAMT Journal. Teaching allows me to preach what I practice while at the same to build and test systems. Three, behavioral then writing about my findings time keeping me in contact with the younger finance concepts and procedures have in practitioner publications like generation. Travelling out of town to such helped legitimize TA by providing it with an the SAMT Journal.” places as Paris, Geneva, Milan, London and underlying theoretical rationale. Computers Zürich brings one have made market data easier to obtain into contact with the and easier to analyze, but computers can’t do it all. Human people who are making things happen judgment is still the key component. in the world. On many of those trips and for my writing and teaching, I like RW: What words of advice would you give to the next to include my best friend and my love generation of Technicians and financial professionals? for practically fifty years, my dear HP: My advice to the next generation of Technicians and wife, Sarah Pruden. financial professionals: get educated and get credentialed.

To view the IFTA honorary video of Dr. Henry Pruden’s lifetime achievements, click on screen image at right.

For additional information about Henry (Hank) O. Pruden, Ph.D., go to www.hankpruden.com

To contact the author of this interview: Ron William, CMT, MSTA ronwilliamPR@gmail.com www.ronwilliam.com

The Swiss Technical Analysis Journal • Spring 2014 • 11

(thus technical analysis) with a respect for the emotional and mental discipline.

10 • Spring 2014 • The Swiss Technical Analysis Journal

To view the IFTA honorary video of Dr. Henry Pruden’s lifetime achievements, click on screen image at right.

For additional information about Henry (Hank) O. Pruden, Ph.D., go to www.hankpruden.com

To contact the author of this interview: Ron William, CMT, MSTA ronwilliamPR@gmail.com www.ronwilliam.com

The Swiss Technical Analysis Journal • Spring 2014 • 11

Book Review

Title: Kirkpatrick’s Investment and Trading Strategies Subtitle: Tools and Techniques for Profitable Trend Following Author: Charles D. Kirkpatrick II, CMT Publisher & Date: Pearson Education, Inc. – FT Press – July 2013, 150 pages

A book review & interview with Charles Kirkpatrick: when the classic meets the new Mario Valentino Guffanti, CFTe

The Book Review In our last interview with Dr. Tharp, a psychologist who has studied trader’s behavior for 30 years, we have seen how emotions can adversely influence a trader’s work. Van Tharp affirms that everything revolves around our beliefs, mental states and mental strategies. With that in mind, he claims everything about trading is 100% psychological. To have an edge in investing or trading, we need to raise our self-awareness and eliminate negative emotions like fear, greed or desperation1. I also believe that something that filters and reduces our emotional bias during the decision making process for trading and investing, one possibility that modern times gave to us, is the use of a computer. In 1965 Barron’s wrote that “the age of the computer unmistakably is dawning on Wall Street” and that “the potential rewards of the computer, properly used, promise to be immeasurable”2. One of the first computers on Wall Street devoted to technical analysis was at Walston & Co., led by Anthony Tabell, where in the late 1960s Charles Kirkpatrick began the data accumulation that would be used for technical research later on. In this review & interview we’ll have the possibility to read about the latest work of Charles Kirkpatrick, a pioneer in the use of the computer applied to trading and investing, well known in Technical Analysis field for his books, like Technical Analysis: The Complete Resource for Financial Market Technicians3, written together with J. Dahlquist and used as Chartered Market Technician Level 1 and 2 Exam Reading Assignment, and for his research that lead him to be the only person to win the annual Charles H. Dow Award twice4. The use of the computer in the trading decision process is ruled based approach. It is known as Algorithmic Trading, quite different from Discretionary Trading where all decisions are made by the investor. With discretionary trading success is rare and depends on knowledge, expertise, quick decision making, and the ability to master emotions, biases, and mood5. Kirkpatrick recognizes that human nature is not compatible with trading markets and that algorithmic trading also needs willpower, discipline, and patience not to waver from it. The book demonstrates and explains algorithmic systems for both investment and trading. But there are many original approaches to how the topic is written and explained. First of all, the reason why the book has been written: Kirkpatrick tries to fight against the lack of investment common sense that continuously leads to money loss. He begins with an educational message about the best investment methods he has found over a life time of professional study.

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Secondly, this book is a worthwhile read because of the method that Kirkpatrick uses in his approach. He uses classical technical indicators and studies that were created between the 60s and 70s, such as the Relative Strength studies of Levy, some Welles Wilder’s indicators, and the Cycle studies of Hurst. He reconsiders those indicators and studies, explains why sometimes they are utilized in a wrong manner and suggests new possibilities on how to utilize them. All these tools are then combined in algorithmic trading systems and tested with a relatively new backtesting method called WalkForward Optimization. Finally, the methods are described as well as tested to verify their robustness and thus the probability of good results in the future. An examination of how the book is structured will help us to better understand what I’ve mentioned. The book is composed of 150 pages organized in nine chapters. While the content is written in a simple, straightforward language and without an excessive number of pages, the content is very dense. There are numerous concepts described in each page, requiring a second reading to understand certain key passages. After the introduction chapter, the first part of the book is dedicated to investment strategies, that is long term strategies based on weekly data (chapters 2 to 5), and the second part is dedicated to trading strategies, that is long and short trades based on hourly data (chapters 6 to 9). Every chapter dedicated to investment and trading strategies explains the concept of the study starting with backtesting and methods used. In the introduction, Kirkpatrick explains the basics of Algorithmic Trading, and the three basic elements of any investment method: entry strategy, exit strategy and money management. The last is not treated in the book, but a good bibliography to deepen the topic is included. There is also an interesting section dedicated to some concepts like drawdown, volatility and diversification that clearly explain how these definitions are often used in a misleading way. The introduction lasts with the explanation of the backtesting systems used to check the robustness of the algorithm: the Standard optimization and the Walk-Forward Optimization. Optimization is the process by which an analyst hypothesizes and tests a set of rules for investing or trading in the markets, and the Standard Optimization takes a range of parameters (the actual values of the variables used in the rules) for the variables proposed in the system and tests to see which combination provides the best results and eliminates irrelevant parameters. We need then a method that optimizes the algorithm and avoids the problem of excessive optimization of the trading system on historical data. The risk is that the optimized set of parameters that best fit the trading system in the past may not be able to exploit its predictive potential on the real market data in the future.

To avoid this problem, the author exploits the Walk-Forward Optimization. This backtesting technique uses the same optimizations methods as the standard optimization, but it keeps some of the price data separate (i.e., unknown data called out of sample data), to be used in later testing of the optimization results. The performance of the system can be considered realistic if it has predictive value and performs well on unseen (out of sample) market data, and if the resulting performance in the “unknown data” does not provide robustness, the algorithm is discarded. The chapters about investment strategies explain Kirkpatrick’s systematic approach to trading winning stocks based on the concept of relative strength, mainly following and developing Levy’s studies on that topic. The author ran his system live for more than 23 years and provided a superior performance relative to major indices, such as the S&P500, since its inception in the early 1990s. The new goal achieved and described in detail in the book is to improve the strategy by raising the profit and reducing the drawdown. To get such results, a new market timing system fully described in the book is added to the original model, and testing with the WalkForward Optimization leads to new and interesting results for the reader. During the process Kirkpatrick discovered that favorable results also can be achieved through a raw ratio system, a new technique for individuals to use in selecting stocks for their private portfolios, that can be calculated easier than the ranking system used in the original trading system. In chapter 6, Kirkpatrick introduces trading strategies, starting from the basic modes of stock market behavior and describing the trading methods. Chapter 7 is dedicated to the Welles Wilder Directional Movement Index (DMI) and the ADX. Here we can find a theoretical part accompanied by a very useful practice that comes from the long experience of the author on how to use the ADX, even with new techniques not mentioned by Wilder. In the next chapter we have an introduction to Cycles Theory and how to take advantage of the cyclical nature of the price curves through the construction of an indicator called the Forward Line. The last chapter, chapter 9, contains a trading system based on hourly data, built with the technical methods described in the previous chapters and backtested with the Walk-Forward Optimization. For the reader who is looking for a book on how to invest, I would say that the content of the book is clear and concise, and as Kirkpatrick writes in his conclusion, “can be applied directly without expensive computer programming and with data and chart programs available for free on the web”6 . For the technical reader who wants to deepen his knowledge, the content of the book has characteristics based on classical techniques of high quality and a good reference bibliography. These techniques are combined in robust trading systems

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Book Review

A book review & interview with Charles Kirkpatrick: when the classic meets the new Mario Valentino Guffanti, CFTe

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The Swiss Technical Analysis Journal • Spring 2014 • 13

backtested with the innovative Walk-Forward Optimization and used in a practical way, without much loss of time. But that still leaves open the opportunity for personal development, especially for the techniques described in the second part of the book that deal with trading strategies.

MVG: Your new book is based on the improvement and increased usability of your preferred investment and trading strategies that are a result of several years of research. Did you write the book with the idea that you wouldn’t hold anything back? Is this book somehow a point of arrival in your career as researcher?

The Interview

Charles Kirkpatrick: I have never held anything back, believing that the knowledge I have gained from experience and study is not something unique. The markets are so vast and multilayered that any specific technique can be used by traders and investors without the worry of the markets anticipating their actions or others front-running their trades. While it is true that support and resistance levels, for example, have little value today because insider traders take advantage of the orders built up around them, this sort of behavior is not as common as feared. On the other hand, it means that technical analysis is and will continue to become a little more complicated than the simple interpretations of the past, but the basis of the technical theories, namely that price reflects all knowledge and anticipation, will still hold true. Thus I believe that hiding a particular discovery and successful experiments would benefit no one else. I am a researcher and educator and would feel that I am betraying my subject if I kept information secret.

Mario V. Guffanti (MVG) – Good morning Charlie, it’s a great pleasure having you in an interview about your new book on investment and trading strategies.

Charles Kirkpatrick: Well, thank you, Mario, for your kind invitation. I hope I can satisfactorily answer your questions. MVG: In your book on Technical Analysis, you quoted a study by F. R. Flanegin and D. P. Rudd, of Robert Morris University, produced in 2005. This interesting academic research derived from a survey which involved what investments professors teach and what industry professionals utilize7. The result was that before 2005, investment professors believed that fundamental investment analysis was more important and gave low importance and rarely mentioned in their courses the topic of technical investment analysis. On the other side of the coin, many professionals indicated that they utilized the subjects related to technical investment analysis in most of their work. The conclusion of the paper was that current investments courses are giving students only a partial foundation of investments knowledge on which to build their careers. Even in your new book you quoted that during the time that you worked as an institutional salesman, you met many institutional investment managers who did not trust technical analysis, and this distrust was based on advice they had heard from contemporary managers and courses they had taken at their business schools8. Now you have taught technical analysis at Brandeis University International Business School, and in the last decade many studies about the efficiency of technical analysis have been produced, curiously by scholars who come from the academic world, such as Professor Andrew Lo. What should be still done in 2014 to promote a proper knowledge and a good use of Technical Analysis?

Charles Kirkpatrick Results usually speak for themselves. Excellent results, statistical reasoning and testing, and distribution of these accomplishments should convince students that technical analysis is a worthy study and useful discipline. I found in my classes that the enthusiasm for the course was based on the knowledge that the methods actually make money. Many students mentioned to me that it was the only course in the business school that actually taught how to make money – the primary reason for their attendance at the school. If this can be more widely publicized and taught, the art and science of technical analysis will succeed as an alternative and complementary method of investing and trading.

MVG: In your book you quote that you wrote it to describe and test the concepts you use in your favorite investment and trading strategies. Why are these strategies more favored over others?

Charles Kirkpatrick Because they work. There are undoubtedly many other successful methods, but these work for me, and I haven’t found any that work better. MVG: When in the subtitle I quoted that “classic meets the new”, it was intended that in your new book you show how to combine technical classical indicators and studies that have been created between 60s and 70s (the classics) together with a relative new and innovative method of backtesting that is Walk-Forward Optimization (the new). It’s the first time that I read in one of your books that you use this method. Could you explain in more detail what is the potential that you found in the use of Walk-Forward Optimization and if this use led you to discover new hints in your research?

Charles Kirkpatrick To test the effectiveness of an algorithmic system, just as in the scientific method, you must first make a set of rules and parameters, and then test this hypothesis in the future to see if it works. The traditional method was to create a model and let it run for a few years to see if it worked. I’m getting old now and don’t have the future time left to test many theories I have about strategy and tactics in the markets. Thus I have always been looking for a method that would “create the future” right now such that I could test these theories realistically. Walk-Forward analysis has been

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around for a number of years, and others have used it for stock market studies, so I certainly wasn’t inventing a new analysis method. I just came across it in some of the literature and decided that it was worth a try. It certainly has its faults, and no model of markets will ever predict the future, but at least it is a method that given a chance can show results in many different market situations over time and thus give a realistic possible outcome in the future. As such, of course, it doesn’t replace stops to prevent loss in case it doesn’t work in the future. As a pragmatist, I don’t believe that any method of analysis is 100% accurate, and this feeling is borne out by the known fact that most investment systems fail at some time or another. Nevertheless, to me it is a useful method of investigating some of the “truths” of the market and is invaluable in eliminating methods that have no chance of success. MVG: Many concepts and methods mentioned in your book are known by the technical reader. But I think that a person who is not familiar with technical analysis has some difficulty reading a book so full of content: can you give advice to first time readers?

Charles Kirkpatrick I write these books for people who understand the basics of technical analysis and have the capability of honestly thinking about markets. Even the text book that Julie and I wrote is not an easy read for someone unfamiliar with markets. In that context, to simplify the content would do three things that are harmful to the reader. The first is that it would make it seem that technical analysis is easy. This is, of course, not true. Second, it would give the impression that using technical analysis is an easy method of profiting in the markets. Again, this is not true. And finally, it would avoid the implication that the book was the only answer to investing and trading. I want to encourage more study in other books and sources of information. Readers should be inspired to continue their own research, and because most are lazy and want a quick, get-rich solution without work, I want to discourage them initially if they don’t have the intrinsic desire to learn more. I also dislike flowery language and repetitiveness when the subject can be covered with few words and many statistics. My publishers kept saying I should write more because there weren’t enough pages and that readers tend to believe that more pages means more information. I had to disagree only because I hate wasting my own time while reading lengthy discussions that avoid the subject of interest. They finally, but reluctantly, agreed to the brevity of my writing. MVG: I read in a book written by Professor A. Lo, that one of the first rigorous studies of patterns was initiated by you, who convinced your then employer, Arthur D. Little Corporation, to hire Robert Levy to conduct the study9. You knew Levy and also other researchers who have developed their ideas without the use of the current powerful computers. We can therefore say that you have lived in two different worlds. What are the advantages that you feel to have inherited from this past experience in the first part of your working life?

Charles Kirkpatrick I first learned technical analysis, pointand-figure to be specific, from my father who had me update his charts when I was around 14 years old. He ran mutual funds for Fidelity and others during his career and was always a technician as well as a talented investor. From there I went to the NY Public Library and read Jiler, Elliott, Whelan, Dines, Dow, Helby, and many others, including, of course, Edwards and Magee. I plotted my own charts for many years and still believe that by doing so, one can learn more about the price action of a security than through any other method. Today I encourage most students to keep a set of charts and to be religious about plotting them. I also encourage them to read all the old masters. The concept of technical analysis hasn’t changed much, and many of those old ideas are still valid today. Only the mechanics have improved. But I also had taken one of the first computer programming courses at Harvard as an undergraduate and could easily see how eventually the computer would replace charts. I learned FORTRAN then and still use it today. I also learned how a computer program is strictly logical, unlike the markets, and that very specific instructions must be given. There’s no BS with a computer10. At Tabell’s office at Walston, we had a man named Lester Sugarman who spent every evening on an oldstyle, hand-crank adding machine calculating moving averages while looking for the secret to the markets. I knew that the computer would eventually release Lester from his machine because it was logical and quick, but it would take a while before it would be available for personal use. Levy used a Control Data 6600, one of the fasted mainframe computers at the time (1970s), and even he had trouble getting time on the computer. In those days you used a deck of computer cards and ran the program overnight. If one comma was out of place, the entire program blew up that night, and you had to correct the card the next day and then submit the program again the following night. It was a laborious and time-consuming process. Finally, with the advent of the PC, I and many others were freed to not only do the work in our own domain but also to live where we liked to live. The advanced personal computers have certainly helped, especially in performing the massive optimization calculations necessary to test new theories (and some old ones, too), but I must say I did enjoy the old days of plotting by hand. MVG: I like your preface to the book, where you compare the market and the ocean as individual forces that have strength beyond our mortal powers, and they are not personal like us11. They are both such a challenge to outwit, but we tend to make many mistakes by being emotional in an unsympathetic world. I’m in agreement to remove the negative emotions that can influence our trading skills, but in your words I read also emotion, or better passion for the work you are doing. How you motivate your new students to the technical analysis approach?

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The Interview

Mario V. Guffanti (MVG) – Good morning Charlie, it’s a great pleasure having you in an interview about your new book on investment and trading strategies.

MVG: In your book you quote that you wrote it to describe and test the concepts you use in your favorite investment and trading strategies. Why are these strategies more favored over others?

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The Swiss Technical Analysis Journal • Spring 2014 • 15

Charles Kirkpatrick The passion is for the subject not its use. But again, results speak for themselves. Most investment courses the students are required to take emphasize financial theory including such things as the CAPM and MPT, Sharpe ratios, diversification, and risk as defined by volatility. They never teach the students how the markets work or how to make money. The courses seem to imply that you can’t make money in the markets. Even the courses in securities analysis are biased. The analysis is focused on buying a security. There is no realistic discussion of risk measurement or money management. Because the EMH is so prevalent in academic thinking, the concept of a price trend is dismissed as impossible. But students generally see through this. They know people make money in the markets, and they want to know how. That’s why they are so excited about studying technical analysis. Their enthusiasm comes naturally. MVG: And nothing is so contagious as enthusiasm12, especially among the young students attending your courses that will broaden the group of those who use technical analysis in their investment decisions.

Endnotes

2. A. Lo and J. Hasanhodzic – The Evolution of Technical Analysis – Bloomberg Press – 2012 – Chapter 6 – The use of computers; 3. C. Kirkpatrick & J. R. Dahlquist – Technical Analysis – 2 ed. - Pearson Education – 2011; 4. 1994 - Charles Dow Looks at the Long Wave, 2001 - Stock Selection: A Test of Relative Stock Values Reported over 17 ½ Years; 5. C. Kirkpatrick – Kirkpatrick Investment and Trading Strategies – Pearson Education – 2013 - pag. 1; 6. C. Kirkpatrick – Kirkpatrick Investment… - pag. 143; 7. Frank R. Flanegin, Denis P. Rudd - Should investments professors join the “crowd” - Managerial Finance, Vol. 31 Iss: 5 – 2005 pp. 28 – 37; 8. C. Kirkpatrick – Kirkpatrick Investment… - pag. 5;

Thank you Charlie.

9. A.Lo and J Hasanhodzic – The Evolution of Technical Analysis – Bloomberg Press – 2012 – Chapter 8 – Empirical Evaluation; 10. BS is the common American acronym for “bull shit”;

For additional information about Charles Kirkpatrick and the other books he has written, visit www.charleskirkpatrick.com

Elliott Wave, Chaos Theory and Fractals

1. M.V. Guffanti – A book review & interview: the unconventional Van Tharp thinking – SAMT Journal – Winter 2013 – pp. 9 -12;

11. C. Kirkpatrick – Kirkpatrick Investment… - Preface; 12. Quote from the poet Samuel Taylor Coleridge.

The Technical Analyst was proud to present its 2014 awards to celebrate the best in technical analysis and trading software. Winners and runners-up were announced at the awards ceremony at the Le Meridien Piccadilly Hotel in London on 24 April 2014. Book of the Year Finalists: Shaun Downey – “Trading Time: Mapping Your Voyage of Discovery”; Stephen Eckett – “The UK Stock Market Almanac 2014”; Charles Kirkpatrick – “Investment and Trading Strategies”; Tony Plummer – “The Law of Vibration: The Revelation of Wiliam D. Gann” and Eoin Treacy – “Crowd Money”

Julien Camberlin, CFTe, MFTA, CEWA Lev I Introduction People have always been fascinated by financial markets and the possibility to predict future movements. the first scientific studies are from the beginning of the 20th century. In 1900, Louis Bachelier, defended his thesis “Theory of Speculation”, stipulating that markets are random. At the same time, Charles Dow develops his now called “Dow Theory”. One of the most important points of his theory is that financial markets are made of tendencies and evolve in successive waves. n

If we follow the ideas of Louis Bachelier, markets are random and cannot be forecast. n If we follow the ideas of Charles Dow, markets follow trends (meaning they are not random) and it is possible to forecast future movements by looking at past movements. In 1934, Ralph Nelson Elliott discovered that financial markets organize in waves respecting certain rules and guidelines. These waves are self-similar patterns (Figure 1) and it was the first idea of fractals in the financial markets. He called this principle Elliott waves and in 19381 his first book is published to present this theory. In 1946, he published a second book2, where, for the first time, he discussed Fibonacci relations in financial markets. Elliott noted that the Fibonacci ratios appear quite often in the relation between waves of the same degree. Though, he never settled upon clear rules to use the Fibonacci relations.

systems do not behave as expected: they follow a special order that seems unpredictable. They are neither deterministic nor random. He called them chaotic. n The second is fractals invented by Benoit Mandelbrot. Mandelbrot gave the name of fractal to the mathematical sets that have self-similar patterns. Mandelbrot explains how financial markets organize in fractals. Though he didn’t use the system of waves developed by Elliott nor he even quote Elliott’s work, Mandelbrot developed a fractal model that approaches the behavior of financial markets. In 1978, Frost & Prechter published Elliott Wave Principle. Today this book is still the reference for Elliott wave study. They presented a very smart system of multiple wave confirmations called multiple wave relationships3. This system proposes that as all levels of waves are developing at the same time, end of waves of different levels could then be forecast with concentrations of Fibonacci ratios. Multiple wave relationships are a very interesting tool, but they recognize that “If a complete method of ratio analysis could be successfully resolved into basic tenets, forecasting with the Elliott wave principle would become more scientific”4. In the ’80s and ’90s, Edgard E. Peters published different books on chaos theory in financial markets, confirming that markets are chaotic systems.

In the 60s, two new concepts were developed, that will help our understanding of financial markets: n

The first is chaos theory. Edward Lorenz was working on climate forecasts. He discovered that certain complex

Runner-up: “Investment and Trading Strategies”, Charles Kirkpatrick Winner: “Trading Time: Mapping Your Voyage of Discovery”, Shaun Downey

Mario Valentino Guffanti, CFTe is a Financial Advisor, Certified Financial Technician and Researcher. He is a Vice President of the Swiss Italian Chapter of the Swiss Association of Market Technicians (SAMT) and also a Lecturer in Technical Analysis at the Centro di Studi Bancari in Vezia (CH). Figure 1: Elliott wave: self-similarity of a fractal

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Figure 2: Random System

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Endnotes

Thank you Charlie.

9. A.Lo and J Hasanhodzic – The Evolution of Technical Analysis – Bloomberg Press – 2012 – Chapter 8 – Empirical Evaluation; 10. BS is the common American acronym for “bull shit”;

For additional information about Charles Kirkpatrick and the other books he has written, visit www.charleskirkpatrick.com

Elliott Wave, Chaos Theory and Fractals

1. M.V. Guffanti – A book review & interview: the unconventional Van Tharp thinking – SAMT Journal – Winter 2013 – pp. 9 -12;

11. C. Kirkpatrick – Kirkpatrick Investment… - Preface; 12. Quote from the poet Samuel Taylor Coleridge.

In the 60s, two new concepts were developed, that will help our understanding of financial markets: n

The first is chaos theory. Edward Lorenz was working on climate forecasts. He discovered that certain complex

Runner-up: “Investment and Trading Strategies”, Charles Kirkpatrick Winner: “Trading Time: Mapping Your Voyage of Discovery”, Shaun Downey

16 • Spring 2014 • The Swiss Technical Analysis Journal

Figure 2: Random System

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Figure 4: Construction of a fractal Figure 3: example of deterministic system: sinusoidal

Random System VS Deterministic System A random system is a mathematic model composed of a succession of random walks. This means that future events only depend on the present event by his position. There is no memory effect and no forecast can be done. An example is a Brownian movement, which is the movement of pollen on the surface of water, produced by the shocks of the molecule of water (Figure 2). Another example is the toss of a coin; you cannot forecast the next toss from the past toss. A deterministic system is a system that always gives the same result from an input. The memory effect is 100%. An example is a sinusoidal (Figure 3).

Chaotic System There is no unanimous definition for chaos systems, but among the different points defining it, there are: n

Sensibility to initial conditions: This is the butterfly effect, meaning that a small change in initial conditions can completely change the results after some time. The model will progressively deviate. n Memory effect: Random systems have 0% on memory effect, while deterministic systems have 100%. Chaotic systems have a memory effect, but less than 100%, this means that there is a part of unpredictability. n Strange attractors: To give a concrete example of an attractor, let’s imagine a pendulum circling around its point of stability (the center of the ‘circle’). This point is the attractor. If there is external element, like a cat kicking the pendulum, it disturbs the model, but once the kicking stops, the system again starts to be attracted by the attractor. In most of chaotic systems, more complex attractors called strange attractors are found. Strange attractors are attractors with more complicated structures. They are not single points, but organized most of the time in fractal sets, that’s why they are sometimes called fractal attractors. “The solution set of a dynamical system is generally called an attractor, and the attractor of a chaotic system is specifically called a strange attractor. Strange Attractors have a fractal

structure.5” Strange attractors are considered as the limit point of the system. n Fractals: As explained earlier, Benoit Mandelbrot gave the name of fractal to the mathematical sets that have selfsimilar patterns: they look the same from near as from far (Figure 1).

Construction of fractal To draw a fractal (for example a financial chart as Mandelbrot explains it6), a starting point and an end point are needed (Figure 4). In fact, if end point (A’,t’) is not known, it is not possible to draw the fractal. This means that in financial markets, the end point must also exist. This point is the strange attractor. This is true for the general vector in green on the figure, but also for the smaller ones in other colors.

Where is the strange attractor? In a chaotic system, the strange attractor is the set where the system is in equilibrium. A financial market is in equilibrium when buyers and sellers are in equilibrium. This is at the end of a wave (top or bottom), when price changes direction, this is where we can find the strange attractor. Each wave at every degree has its own strange attractor. The strange attractor is active even if the price is slightly disturbed. If it is highly disturbed, the price will change its strange attractor and will be attracted by another one. Price formation is a compromise between determinism and randomness (memory effect is between 0% and 100%). Every degree of an Elliott wave developing at same time (Minuette, Minute, Minor…), waves develop moving to their final strange attractor. When attractor is hit, the wave is completely developed, the equilibrium between buyers and sellers is done and the price can change direction. This means that the price is not stopped by Fibonacci ratios, but rather vibrates in the direction of it. We could compare price formation to lightning: when lightning starts from a cloud, it is attracted to the earth. Then, the lightning approaches and is attracted to a certain village or forest, then to a group of houses or trees, then to a specific house or tree. The more the

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Figure 5: Cumulative curve of ratios between waves following Elliott wave guidelines

lightning approaches its final destination, the more precisely we can forecast the target. It is the same with waves: the more waves are developing, the more we can fine-tune the target.

Fibonacci Strange Attractor Model As seen before, fractals are self-similar patterns. These patterns can have different forms. Elliott waves are the patterns in force in financial markets. Impulse waves (waves developing in the direction of the main trend) are always subdivided in 5 waves: 3 impulse waves developing also in direction of the main trend and 2 corrective waves, developing against the main trend (Figure 1). In Elliott Wave Principle, Prechter and Frost give different guidelines to validate Elliott wave counts. A part of these guidelines are dedicated to ratio analysis between waves. To clearly understand the organization of the ratios, a brand new idea will be proposed here: the construction of the Fibonacci Strange Attractor Model. This model will be compared to the statistics of ratios between Elliott waves following Elliott wave guidelines proposed by Frost and Prechter.

Data Six markets have been chosen: two currencies, two indices, and two commodities. Only liquid markets have been used. Elliott wave counts have been done on daily and weekly charts, following Elliott wave rules and guidelines described in Elliott Wave Principle (channeling, alternation …). From these counts, all the ratios that appear between the waves described in the ratio analysis section are taken and added on a cumulative chart (Figure 5).

Fibonacci We can see on figure 5 that we have spikes at certain levels. As we can see, these spikes are, for most of them, situated at Fibonacci ratios: 38.2%, 50%, 61.8% … Before looking at the construction of the model, it is important to review exactly what a Fibonacci ratio is: A Fibonacci ratio is also called the golden section or divine

Figure 6: Fibonacci ratio – Golden section

proportion. The golden section is when C is to A what A is to B (Figure 6) and the ratio is 61.8% or its inverse 161.8%. A lot of information about Fibonacci and the golden section can be found, but what is the most important here is that the golden section is the ratio that is at the cross-roads between addition and multiplication because 1 + PHI =1/ PHI. This is the growth ratio. The model will be constructed from the Fibonacci ratios suite that is … .382, .618, 1.00, 1.618, 2.618 …

Construction of the model The following arithmetic operations from the Fibonacci ratios suite are calculated: addition, subtraction, division, multiplication, exponent, square root, inverse and opposite. This calculation has not been done to infinity to be represented on a chart, but maximum three combinations of them have been set. It is worth noting on Figure 7 that instead of a random repartition appears a fractal repartition of the ratios. One could say here that the process of construction of the model is too vague, but as stated before, the golden section is the ratio which is the link between addition and multiplication, and in the long run, the results of the calculations will always end up with the same repartition, whatever Fibonacci ratios are taken or the type of calculation that will be done. This is the magic of Fibonacci! Figure 8 is the combination of the Fibonacci Strange Attractor Model and the cumulative curve of ratios between waves following Elliott wave guidelines. We clearly see the similarity of the statistics and the model. The model has two kinds of ratios: ratios that are the Fibonacci suite in blue (…, .382, 0.618, 1, 1.618, 2.618,…), that we call Fibonacci ratios, and clusters of ratios in red that are between the Fibonacci suite, that are formed by echoes of the Fibonacci ratio (.447, .472, .486, .5, .514, .528, .553, .724, .764, .786 …) and that will be called derived Fibonacci ratios. The Fibonacci ratios have much importance than the derived Fibonacci ratios. Ratio .50 is not a precise Fibonacci ratio, but

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Figure 4: Construction of a fractal Figure 3: example of deterministic system: sinusoidal

Chaotic System There is no unanimous definition for chaos systems, but among the different points defining it, there are: n

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Figure 5: Cumulative curve of ratios between waves following Elliott wave guidelines

lightning approaches its final destination, the more precisely we can forecast the target. It is the same with waves: the more waves are developing, the more we can fine-tune the target.

Figure 6: Fibonacci ratio – Golden section

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See the Whole Market in One Picture in One Graph with Relative Rotation Graphs TM

Trevor Neil, MSTA MCSI

Figure 7: Fibonacci Strange Attractor Model

a cluster from .447 to .553. The inverse of 2.00 being .50, it is also a cluster around 2.00 and not a precise Fibonacci ratio. Concerning ratio of .764, it is also a cluster of different ratios between .724 and .809 and the inverse is between 1.236 and 1.382. This means for practical use that we will allow more uncertainty for 50% or 76.4% retracement than for 61.8% or 38.2% retracement. This model is the representation of the strange attractor that is in force in financial markets. It can be used to improve guidelines for validation of Elliott waves.

Conclusion Financial markets are chaotic systems that organize in fractal sets. Markets do not evolve randomly, but are attracted by strange attractors that are in force on different wave degrees (time scales). With the new concept of a Fibonacci Strange Attractor Model, it has been possible to show how Fibonacci ratios organize in a fractal way, that are the spectrum of the strange attractors in force in financial markets, confirming two kinds of ratios: precise ratios (Fibonacci suite) and clusters of derived Fibonacci ratios (echoes). This model gave an explanation for .500, 2.000, .724, .764 and .786 ratios.

Figure 8: combination of the Fibonacci Strange Attractor Model and the cumulative curve of ratios between waves following Elliott wave guidelines

This work has covered relations in price between Elliott waves. It could be very useful to study the ratios between Elliott waves in time, since price and time in markets are related.

Endnotes 1. Elliott, R.N., The Wave Principle, 1938 2. Elliott R.N., Nature’s Law - The Secret of the Universe, 1946 3. Prechter, R., Frost, A.J., Elliott Wave Principle, Tenth Edition, New Classics Library, 2005, p. 145 4. Prechter, R., Frost, A.J., Elliott Wave Principle, Tenth Edition, New Classics Library, 2005, p. 146 5. Brown, C.T., Liebovitch, L.S., Fractal Analysis (Quantitative Applications in the Social Sciences), SAGE Publications, First edition (April 14, 2010), p. 63 6. Mandelbrot B., Hudson R.L., The (Mis)behaviour of Markets: A Fractal View of Risk, Ruin and Reward, Profile Books, 2010, p 210-211

As an Elliott Wave specialist, Julien Camberlin has developed new ideas about how markets behave according to Elliott Waves, Chaos Theory and Fractals. His studies explain that prices are not stopped by Fibonacci ratios but are rather attracted by them and vibrate in their direction, according to fractal models. This allows a better understanding of Elliott Wave formations, to enhance its use for better performance. Julien Camberlin is now looking for new professional challenges. He can be reached at julien.camberlin@ gmail.com

20 • Spring 2014 • The Swiss Technical Analysis Journal

Relative Rotation GraphsTM (RRG) …. a visualization tool to display the relative position of securities in a universe, against a benchmark and against each other. The primary goal of RRGs is to help its users, portfolio managers, traders, sales-people, investment advisers etc. get an overview of the relative movements on financial markets. This can be equity sectors against a broader benchmark, asset classes, commodities, currencies really any instrument that one would like to see the relative interaction on. On the back of that, as RRGs give a great overview, they can very well be used to generate “tradeideas”. Relative Strength Analysis Technical analysts have a many tools (indicators) in their toolbox, but only one of these tools helps you to put things into perspective for (comparative) relative strength analysis. The RRG technique analyses and clearly visualizes the relationship between price series, for example a sector-index and a broader market index. The “raw” relative strength line is simply the price of the sector-index divided by the price of the broader market index. “raw” relative strength =

price of sector index price of market index

(You can apply this also to individual equities against sector indices or regional (equity) indices against a world index etc. You can also use RRG to look for outperformance and underperformance in other asset classes such as Foreign Exchange.) The result of this equation is a line that moves up and down over time and actually looks and behaves itself as a price series. Graph 1 shows the weekly price chart of the STOXX Utilities sector in the upper pane and the raw relative strength line against the STOXX 600 index in the lower pane. As you can see the RS line pretty much moves like a normal price-line. If we would not tell you that it is a relative line you would not be able to tell it apart from a normal price graph.

This makes the RS line perfectly suitable for applying any regular technical analysis technique or tool like trend lines but also indicators like the RSI, MACD etc. can all be applied to a Relative Strength line. The interpretation of the RS-line is fairly straightforward. If the line goes up the sector is outperforming the broader market index (benchmark). If the line goes down the sector is underperforming the broader market. Analyzing trends in relative strength lines therefore enables us to make calls like: “This sector is expected to outperform the benchmark index in coming weeks”. What Are Your Best Five Sectors / Stocks? This is probably the most asked question by portfolio managers. Portfolio Managers are always very busy and they want the analysts on the sell-side to be short and to the point. So instead of talking through a whole universe of sectors the quickest way to pick someone’s brain is to ask this question and see if one or more of the names that come out match with their own ideas to see if there is ground for a further discussion. So, what we need it a way to “rank” a universe and answer that question. However, working with relative strength analysis and the values of RS-lines creates a problem in that respect as the numerical values of a raw RS line cannot be compared to the numerical value of another RS-line in the same universe. Looking at the STOXX sector universe for example, the RS value of the Automobile sector cannot be compared to the RS value of the Insurance sector. In other words, the universe cannot be “ranked” by this RS value. JdK RS-Ratio / RS-Momentum The basic approach for analyzing these RS lines is a trend-following approach to gauge whether the relative strength of a sector is moving up or down to make a call for overweight or underweight positions. However, without any modification the problem of “not comparable figures” remains. The solution to this problem was found in the “JdK RS-Ratio”, this is a proprietary indicator that uses a normalization algorithm which takes into account not only the comparison against the benchmark but also the comparison to all other elements in the universe. The result is a line that oscillates around the 100-level, where

The Swiss Technical Analysis Journal • Spring 2014 • 21

See the Whole Market in One Picture in One Graph with Relative Rotation Graphs TM

Trevor Neil, MSTA MCSI

Figure 7: Fibonacci Strange Attractor Model

Figure 8: combination of the Fibonacci Strange Attractor Model and the cumulative curve of ratios between waves following Elliott wave guidelines

This work has covered relations in price between Elliott waves. It could be very useful to study the ratios between Elliott waves in time, since price and time in markets are related.

20 • Spring 2014 • The Swiss Technical Analysis Journal

price of sector index price of market index

The Swiss Technical Analysis Journal • Spring 2014 • 21

values above 100 indicate a positive trend in the RS-line and vice versa. This indicator enables “ranking” of a universe and basically answers the question: “What are your best five stocks/sectors/….etc.” Graph 2 shows the chart of the STOXX Oil & Gas sector with the JdK RS-Ratio line as the solid red line in the middle pane. The raw RS-line is in the lower pane. One can easily see the trend-following nature of the JdK RSRatio line in relation with the RS-line in the lower pane. Monitoring the red JdK RS-Ratio line also reveals a new “problem”. Although the numerical values are now comparable throughout the universe and “high values are god and low values are bad” not all “high” values or “low” values are the same. In the graph above 104 is considered a “high” value and 96 is a “low” value (theses values are arbitrary and the levels change depending on th universe). When the JdK RS-Ratio line is at 104 the first time (green arrow) the line is still moving up indicating a relative uptrend that is still getting stronger. However a few weeks

later, the JdK RS-Ratio line is at the same 104 level but now the line is moving down. This indicates that the sector is still in an up-trend but the trend is getting weaker. A similar thing happens on the downside where the JdK RS-Ratio line pushes below the 96 level (at red arrow) indicating a declining relative strength that is still getting weaker. A few weeks later the line is again at the same 96 level but now the line is moving upward, indicating a still weak relative strength but losing (downside) power. So what we also want to know is the direction and the pace of the JdK RS-Ratio line, again in a (numerical) format that can be compared across the universe. This is done by the (proprietary) “JdK RS-Momentum” indicator which is a normalized momentum or rate of change indicator which measures the direction and the speed of the JdK RS-Ratio line. Putting It All Together The good thing is that we now have two measures of relative strength and relative momentum that can

Graph 1

be compared across a universe on a numerical basis. However it still means that we have to “flip” through the charts of all elements in the universe to get the picture. If we stick to the 19 STOXX sectors for this example it does not only mean looking at 19 charts, one for each sector against the benchmark index, but also at all possible combinations of sectors against each other. In a 19 sector universe this means analyzing (19 * 19 = 361 – 19 = 342 / 2) = 171 charts. And this in only a 19 sector universe! Imagine what happens when you track the Euro STOXX 50 index or even the S&P 500 … The number of possible combinations balloons exponentially. How could I put all this information in front of portfolio managers in ONE single graph? That became a Relative Rotation GraphTM. A “styled” plot is shown on Graph 3. What you see is a diagram with the JdK RS-Ratio line on the horizontal axis and the JdK RS-Momentum line on the vertical axis. This means that in the top-right, LEADING, quadrant you will see the sectors which are in a relative up-trend which is still being pushed higher by positive momentum (104 the first time in graph 2). When relative momentum starts to weaken and eventually drops below the 100-level, the sector moves into the lower righthand, WEAKENING, quadrant (104 the second time in graph 2). When the weakening of the relative momentum continues the sector will eventually cross into the lower left-hand, LAGGING, quadrant (96 the first time in graph 2). Finally relative momentum will start to pick up and push the sector into the top left-hand, IMPROVING, quadrant indicating that the sector is still in a relative down-trend (RS-Ratio < 100) but the JdK RS-Ratio line is already moving upward (96 the second time in graph 2). Eventually, when this improvement continues, the

sector will rotate back into the top right-hand quadrant completing a full rotation. When we apply that to the universe that holds the 19 STOXX sectors we get the RRG that is plotted below. The “trails” that are visible on each sector are the historical positions of that sector in this example on a weekly basis and indicate where the sector is coming from and show the path of the rotation. Although the charts and the RRG in this article are based on weekly data everything can be done on any time-frame even intra-day This RRG gives insight into the relative positions and movements of the 19 STOXX sectors against the STOXX 600 benchmark but also against each other. It provides the BIG picture in ONE picture. This chart replaces 171 individual relative strength charts and can serve as a perfect starting point for any analyst, portfolio manager, strategist etc. to focus their attention on the sectors that really do matter and deserve further analysis. Or it can serve as a trade idea generator for sales-traders, hedgefund managers or individual traders looking for longshort trade ideas. Relative Rotation Graphstm should be treated like any other chart-form and therefore there are no fixed “tradingrules” it all depends on the aggressiveness or conservatism of the user. Picking up a sector that moves from the LAGGING quadrant into the IMPROVING quadrant is considered pretty aggressive while waiting until the sector moves from IMPROVING into LEADING is considered to be conservative. Like with any other chart format, the truth is probably somewhere in the middle. Obviously the same goes in reverse for the bottom part of the plot.

Graph 3

Graph 2

22 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 23

Graph 1

Graph 3

Graph 2

22 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 23

Graph 4

Protect against losses by hedging through a simple, trend-following strategy Alberto Vivanti

Relative Rotation Graphstm are definitely NOT a trading system per se but much more a visualization tool to get a better insight in what is happening in the markets that you are tracking. Having said that the two indicators that make up the RRG plot can very well be used in trading systems as a filter for example to make sure that the system only takes long trades when the stock or the sector is outperforming its benchmark. RRG charts were “born” around 2004 and Julius DeKempenaer is their ‘mother’. It wasn’t until 2011, when they became first widely available appearing on the Bloomberg professional terminal. Since 2013 Market Analyst software has made RRGs available on their platform through a RRG-toolbox (www.mav7.com/rrg).

Last year RRG charts became available to Thomson Reuters customers too. Versions of RRG are being released for the Foreign Exchange markets. RRG Ltd., the company that holds the intellectual property and the TradeMark for Relative Rotation GraphsTM, provides weekly updates of RRGs on a number of set universes on its website (www.relativerotationgraphs.com). Register now for free samples and access to further research. Clients use RRG Pro to help them manage their portfolios and RRG Ltd provide tailored research for fund managers and traders designed to optimize their portfolios. Please ask for details at trevor@relativerotationgraphs. com

We all know well how uncomfortable a buy & hold position in the stock market can be, and we had some evidence through the last decade, one of the most troubled in the history of the equity markets. We also know, as technicians, the priceless value of a sound trend following technique: even a simple strategy could avoid most of the sharp drawdowns that affected the indices in 2002 and 2008. Of course, such bear markets do not occur often, two of them in just one decade would be enough for a long while, but further sharp moves on the downside could always be around the corner. In 2010 and 2011, for example, the S&P 500 experienced two corrections between 17 and 20%.

By assuming that we have employed 100% of our position in an ETF on the Eurostoxx50, 100 euros invested in 1993 (the euro started in 1999 but older data are simulated by Stoxx), had turned into 313 by March 2014. It corresponds to a yearly compounded return of just 5.6%, but through dramatic vicissitudes: 2001 (-20%), 2002 (-38%), 2008 (-46%), 2011 (-17%), with a maximum price drawdown (from highest to lowest weekly close) of 67%.

In portfolio management, it is the strategic rather than the tactical decision that makes the difference in results and when we have to face adverse trends, then the most effective tool we can rely upon is a trend following strategy. It is understood that you cannot get out of a trend at the best point, and then often you lose a portion of the last gains, but, overall, the quality of returns will improve dramatically in the long run.

But what happened if we just had followed the simple trend following method described above? Much less volatility and lower drawdowns of course (-22% instead of 67), and a better return (a yearly 8.6% rather than 5.6%). We all know the benefits of a long term trend following technique, and we also know that such strategies usually underperform in bull markets. Instead, what I want to show are the ways we can weather the storms. The simplest, of course, is to buy and sell according to the signals. But we can also stay constantly invested and protected, when necessary, through the purchase of an inverse ETF.

I do not want to compare the effectiveness of the different trend following techniques, but just examine different tactics that we can implement by adopting one of them as a protection. So I took a simple case as example, assuming that we are long in the European market by indexing the Eurostoxx50. Then, we have chosen a simple 20-week rate of change of the weekly closes for getting in and out of the market.

In this case we need to calculate the additional amount needed for the protection. In fact, an inverse ETF corresponds to a long position into something that increases in value when the benchmark decreases. If we want, for example, to neutralize a 100% long position on the Eurostoxx50 through a short ETF, then we should double the amount invested (100% on the long ETF plus 100% on the short one, in order to neutralize the

Figure 1

Trevor Neil, MSTA, MCSI has been a trader and technical analyst for 40 years. He is a professional portfolio manager as well as a director for Relative Rotation Graphs Limited. See www.Relativerotationgraphs.com or trevor@relativerotationgraphs.com Trevor is also the head trainer at BETA Group which offers institutional financial training including technical analysis. He is also a director and trainer for BETA Educators Limited which run popular e-Learning courses to prepare candidates for the IFTA CFTe exam. He can be reached at trevor.neil@betagroup.co.uk.

24 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 25

Graph 4

Protect against losses by hedging through a simple, trend-following strategy Alberto Vivanti

Figure 1

24 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 25

investment). But we can also employ a leveraged product: Consider a leveraged inverse ETF that has two times (2x) exposure to the underlying. If the index goes up by 1% in one day, then the ETF moves down by 2%. But if the index goes down 1% then the ETF value increases 2%. In this case the full hedge will be obtained by a 100% in the long ETF and 50% on the 2x short one.

Figure 1 shows the yearly returns of a trend following system applied to a short ETF, leverage 2, on the Eurostoxx50, compared with the effective returns of the long benchmark. The size of the investment in the short product is 50%. The rule: buy the inverse ETF when the 20-week rate of change is below zero; sell it when it turns positive. We suppose a constant rebalance.

Figure 3

Table 1

By applying a trend following strategy to a short ETF, we are exposed to wrong signals in bull years. But in such cases, the negative returns are largely offset by the good ones of the benchmark. On the other side, the same strategy produces positive returns in the bad years, that generally counterbalance the loss in the long side. Figure 1: the blue histograms are the yearly returns of a buy & hold strategy on the Eurostoxx50. The red histograms are the yearly returns of a trend following strategy applied to an inverse ETF on the same index, leverage 2x, invested at 50% on the negative signals of the strategy. The sharply negative returns of 2001, 2002, 2008, 2011, are fully counterbalanced by gains in the trend-following strategy applied to the short ETF. I have simulated two distinct tactics: 1. Strategy 1: a 100% buy & hold investment in the Eurostoxx50 in which we suppose to buy an additional 50% of the employed capital in a double leveraged short ETF on the same index, when we get a bearish signal from the trend following technique. 2. Strategy 2: a 50% constant investment in the Eurostoxx50 (buy & hold). The remaining 50% to be employed as follows: - 25% on a leveraged long ETF (2x) only invested when the trend following indicator is positive - 25% on a leveraged short ETF (2x) only invested when the trend following indicator is negative

Figure 2

The simulated results of both strategies, that consider a constant rebalance, are those indicated in Table 1 and Figure 2. Table 1: simulated yearly returns of two trend-following strategies in Eurostoxx50 since 1993: 1. 100% Buy & Hold, +50% in a 2x short ETF, only during bearish signals by a trend following indicator. 2. 50% Buy & Hold, +25% in a 2x long ETF, only during bullish signals by a trend following indicator, +25% in a 2x short ETF, only during bearish signals by a trend following indicator. Figure 2: 100 euros invested in 1993. Constant rebalance. The strategies are those of Table 1.

Conclusion This simple method reveals the typical weakness of a trend following strategy: slow indicators lag the market and provide late signals. In sideways trends, the results are often frustrating. Here is why, in this case, positive years like 2006, 2007 and 2012 were unprofitable for our method. On the other side we could avoid the sharp declines of 2001, 2002, 2008 and 2011. Overall, the global final results are far better than the passive investment for both return and risk. Figure 3: entry (blue arrows) and exit (red arrows) signals of a 20-week rate of change indicator on the Eurostoxx50.

Alberto Vivanti, Independent analyst, founder of Vivanti Analysis in 2003. Alberto is a technical and quantitative analyst since the early 1980’s, with a sound experience as an asset manager with Swiss Institutions. Author of a technical newsletter, lecturer for institutions and instructor in Technical Analysis courses in Switzerland for the IFTA Certification, author of articles and books, has been co-author of a book with Perry Kaufman. Alberto chaired the IFTA conference held in Lugano in 2006. He has been official speaker at the IFTA Conferences 1998 in Rome and 2006 in Lugano. Alberto is Vice President of the Swiss Association of Market Technicians, representing the Swiss Italian Chapter.

26 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 27

Figure 3

Table 1

Figure 2

26 • Spring 2014 • The Swiss Technical Analysis Journal

The Swiss Technical Analysis Journal • Spring 2014 • 27

SAMT Members on

Taking Technical Analysis to a Higher Level ... introducing an immersion course in preparation for the IFTA Certified Financial Technicians (CFTe) Level II examination

Every other Tuesday, Bruno is interviewed for his technical perspective. Tuesday, 15 April 2014 http://www.dukascopy.com/tv/en/Market_ Talk/#125245 His archived interviews can be found at http://bruno.estier.net/tv.php

Each Monday, Jean-Francois is interviewed for his market perspective. Monday, 14 April 2014 http://www.dukascopy.com/tv/en/#125141

Tuesday, 18 March 2014 http://www.dukascopy.com/tv/en/#123426 His archived interviews can be found at http://ronwilliam.com/

Preparation Course for the October CFTe Exam When:

On Saturday and Sunday, 13-14 September 2014, the Geneva chapter of the Swiss Association of Market Technicians (SAMT) will present a two-day immersion course on advanced technical analysis and preparation for IFTA Certified Financial Technicians (CFTe) Level II examination. This course is designed for professionals with market experience who are familiar with the essentials of technical analysis and also for those who would like to use more advanced technical analysis on a regular basis. n

This immersion course is also designed to prepare candidates for the upcoming CFTe Levels I and II exams which culminate in the award of an international professional qualification in technical analysis. The exam tests technical skills knowledge and understanding of ethics and the markets.

The course will be limited to 5-10 candidates so that each person will receive the same individual level of information and instruction.

The CFTe Level II exam incorporates a number of questions requiring essay-based analysis and answers. The candidate will demonstrate a depth of knowledge and experience in applying various methods of technical analysis.

The exam also contains a number of different charts covering one specific market (often an equity) to be analysed, as though for a fund manager or trader.

Saturday, 13 September & Sunday, 14 September 2014 Where: Geneva Hours:

SAMT Guests on

9:00 until 18:00 each day 16 hours of Immersion Training Class Size:

Who Will Teach the Course?

5 minimum; 10 maximum Wednesday, 4 December 2014

Wednesday, 19 March 2014

http://www.dukascopy.com/tv/en/view/115588#10

https://www.youtube.com/watch?v=JgyCGg5CagU

Cost: SAMT Members - CHF 1250

The course will be taught by Bruno Estier, CFTe, MFTA; and Ron William, CMT, MSTA who are members of the Geneva chapter of SAMT.

Collectively, the instructors have 48 years of experience, have technical analysis professional designations, and use technical analysis in their daily work.

Non Members - CHF 1450 Early Bird Cost:

How Will it Work?

SAMT Members - CHF 1150 Non Members - CHF 1350

The two-day course will begin promptly at 09:00 on Saturday, 13 September. The instructors will begin with an overview of basic technical analysis per the CFTe Level I exam.

A sample of a CFTe Level II exam will be introduced to familiarize each candidate with each of the three sections and how best to answer the questions in the three hours allotted for the exam.

Lunch will be served (12:00-13:30).

The afternoon will focus on all aspects of technical analysis – with particular attention to subjects which will be needed to complete and hopefully pass the CFTe Level II exam.

At the end of the day – about 18:00 – an overnight assignment will be given – similar to the chart analysis section of the CFTe Level II exam. The class will end at 18:00.

On Sunday morning, the class will review the overnight assignment before continuing with the materials needed to familiarize the participants with the information needed for the CFTe Level II exam.

Lunch will be served (12:00-13:30).

The afternoon will focus on sample CFTe Level II exam questions and sample charts which will be analysed.

There will be a review of all subjects in the late afternoon before the course ends at 18:00.

In preparation for the exam, candidates should review the IFTA Syllabus and Study Guide (CFTe Level II). Click on link to download.

Registration Deadline:

London, 9-11 October 2014

Friday, 5 September 2014 Early Bird Deadline: Friday, 29 August 2014

IFTA Exam: Wednesday, 8 August 2014 Exam Registration Deadline: Friday, 22 August 2014 Complete information: http://samtjournal.uberflip.com/ i/305430 Contact: ronwilliamPR@gmail.com

Society of Technical Analysts (STA) is delighted to be hosting the 2014 conference.ifta.org/2014/The International Federation of Technical Analysts’ Conference in London. The conference will take place on 9-11th October at the Waldorf Hilton Hotel in

28 • Springcentral 2014 London. • The Swiss Technical Journal The theme of theAnalysis conference “Unravelling the DNA of the

market” will allow us to explore some of the underlying causes of market behaviour.

The course will be presented in English.

The Swiss Technical Analysis Journal • Spring 2014 • 29

SAMT Members on

Taking Technical Analysis to a Higher Level ... introducing an immersion course in preparation for the IFTA Certified Financial Technicians (CFTe) Level II examination

Each Monday, Jean-Francois is interviewed for his market perspective. Monday, 14 April 2014 http://www.dukascopy.com/tv/en/#125141

Tuesday, 18 March 2014 http://www.dukascopy.com/tv/en/#123426 His archived interviews can be found at http://ronwilliam.com/

Preparation Course for the October CFTe Exam When:

The course will be limited to 5-10 candidates so that each person will receive the same individual level of information and instruction.

The exam also contains a number of different charts covering one specific market (often an equity) to be analysed, as though for a fund manager or trader.

Saturday, 13 September & Sunday, 14 September 2014 Where: Geneva Hours:

SAMT Guests on

9:00 until 18:00 each day 16 hours of Immersion Training Class Size:

Who Will Teach the Course?

5 minimum; 10 maximum Wednesday, 4 December 2014

Wednesday, 19 March 2014

http://www.dukascopy.com/tv/en/view/115588#10

https://www.youtube.com/watch?v=JgyCGg5CagU

Cost: SAMT Members - CHF 1250

The course will be taught by Bruno Estier, CFTe, MFTA; and Ron William, CMT, MSTA who are members of the Geneva chapter of SAMT.

Collectively, the instructors have 48 years of experience, have technical analysis professional designations, and use technical analysis in their daily work.

Non Members - CHF 1450 Early Bird Cost:

How Will it Work?

SAMT Members - CHF 1150 Non Members - CHF 1350

The two-day course will begin promptly at 09:00 on Saturday, 13 September. The instructors will begin with an overview of basic technical analysis per the CFTe Level I exam.

A sample of a CFTe Level II exam will be introduced to familiarize each candidate with each of the three sections and how best to answer the questions in the three hours allotted for the exam.

Lunch will be served (12:00-13:30).

The afternoon will focus on all aspects of technical analysis – with particular attention to subjects which will be needed to complete and hopefully pass the CFTe Level II exam.

At the end of the day – about 18:00 – an overnight assignment will be given – similar to the chart analysis section of the CFTe Level II exam. The class will end at 18:00.

On Sunday morning, the class will review the overnight assignment before continuing with the materials needed to familiarize the participants with the information needed for the CFTe Level II exam.

Lunch will be served (12:00-13:30).

The afternoon will focus on sample CFTe Level II exam questions and sample charts which will be analysed.

There will be a review of all subjects in the late afternoon before the course ends at 18:00.

In preparation for the exam, candidates should review the IFTA Syllabus and Study Guide (CFTe Level II). Click on link to download.

Registration Deadline:

London, 9-11 October 2014

Friday, 5 September 2014 Early Bird Deadline: Friday, 29 August 2014

IFTA Exam: Wednesday, 8 August 2014 Exam Registration Deadline: Friday, 22 August 2014 Complete information: http://samtjournal.uberflip.com/ i/305430 Contact: ronwilliamPR@gmail.com

28 • Springcentral 2014 London. • The Swiss Technical Journal The theme of theAnalysis conference “Unravelling the DNA of the

market” will allow us to explore some of the underlying causes of market behaviour.

The course will be presented in English.

The Swiss Technical Analysis Journal • Spring 2014 • 29

SAMT Board

THE Swiss

technical

Directors

The Swiss Association of Market Technicians (SAMT) is a nonFounded 1987 profit organisation (Civil Code Art 60ff) of market analysis professionals in Switzerland, founded in 1987. SAMT is a member of the International Federation of Technical Analysts (IFTA). The Swiss Association of Market Technicians

Technical analysis is the study of prices and markets. It examines price behavior on an emprirical and statistical basis. It extends to the study of all published information on price trends, volatility, momentum, cycles and the interrelationship of prices, volume, breadth, sentiment and liquidity. A comprehensive understanding of technical analysis requires a knowledge of statistics and pattern recognition, a familiarity with financial history and cycles. SAMT encourages the development of technical analysis and the education of the financial community in the uses and applications of technical research and its value in the formulation of investment and trading decisions. SAMT has a wide range of activities including: Organising meetings on a broad range of technical subjects encouraging the exchange of information and knowledge of technical analysis for the purpose of adding to the knowledge of its members. n Preparing its members to sit for the Certified Financial Technician (CFTe) exams and the Masters level degree Master of Financial Technical Analysis (MFTA) in Switzerland. These exams are controlled by IFTA. n Developing CFTe preparatory courses. n

Patrick Pfister, CFTe Vice President and Head of Zürich Chapter patrick.pfister@samt-org.ch

Ron William, CMT, MSTA Vice President and Head of Geneva Chapter ron.william@samt-org.ch

The list is just a guide and should in no way be considered restrictive. We wish to make the Journal open to new and innovative ideas from all areas of technical analysis and those that connect with it.

analysis

Daniel Stillhart President daniel.stillhart@samt-org.ch

& Officers

We would especially like to see contributions that draw from areas not previously examined, and/or topics tangential to technical analysis.

journal The Swiss Technical Analysis Journal is a quarterly publication established by The Swiss Association of Market Technicians (SAMT). It is compiled by a committee of SAMT colleagues. The Swiss Technical Analysis Journal is essential reading for academics, students and practition ical analysis in all arenas. It is an excellent reference source for anyone interested in technical analysis, containing a wealth of resource material.

Credibility And Recognition

Alberto Vivanti Vice President and Head of Lugano Chapter alberto.vivanti@samt-org.ch

Mario Valentino Guffanti, CFTe Vice President of Lugano Chapter mario.guffanti@samt-org.ch

The Swiss Technical Analysis Journal has original contributions from its members covering developments in technical analysis in global markets. The Journal’s aim is to reach leading practitioners and students of technical analysis throughout the world. The Swiss Technical Analysis Journal is a professional resource. Its online publication on the SAMT website will make its work available as a future resource to the community of technical analysts.

Topics Louis Grosjean Head of Treasury louis@grosjean.ch

Tim Straiton, FGA Head of Website Development info@stoploss.ch

Marco Zahner Auditor ma_zahner@bluewin.ch

30 • Spring 2014 • The Swiss Technical Analysis Journal

SAMT is seeking papers that cover developments impacting, either directly or indirectly, on the field of technical analysis; they may be drawn from such areas as: • Basic market analysis techniques • Indicators—sentiment, volume analysis, momentum, etc. • Global and intra-global technical analysis • Styles of technical analysis • Data • The changing role of technical analysis in the investment community.

Submitting Contributions Submission of contributions to ronwilliamPR@gmail.com

Material deadline for the Summer 2014 issue

Language Contributions must be submitted in English with British grammar required.

30 June 2014

Writing Style

Advertising

Papers should be written in a thesis style.

The Swiss Technical Analysis Journal is published three times a year and is published in A4 size, in pdf format only. SAMT will accept advertisements in this publication if the advertising does not interfere with its objectives.

References All texts referred to in the paper must be appropriately referenced with a bibliography and endnotes (footnotes will not be accepted.) Responsibility for the accuracy of references and quotations is the author’s. We expect the authors to check thoroughly before submission. All references are to be included as endnotes. No separate list of references or bibliography should be provided.

Figures, Charts and Tables Illustrations and charts must be referred to by Figure Number and source (when applicable). Tables must be referred to by Table Number and source.

Length of Contribution Papers should be approximately 1,200 to 3,000 words, with supporting graphs and charts.

Format We ask for submission in MS Word or other text format. PDF format will not be accepted. Charts and graphs may be in gif or jpeg, but we ask that authors also keep a tif format in case it is required.

The appearance of advertising in SAMT publications is neither a guarantee nor an endorsement by SAMT.

Advertising Policy Advertising is subject to approval by SAMT. All advertisements must be non-discriminatory and comply with all applicable laws and regulations. SAMT reserves the right to decline, withdraw and/or copy edit at their discretion. Every care is taken to avoid mistakes, but responsibility cannot be accepted for clerical error.

Advertising Rates

Rate

Size

Inside covers 750 CHF

21.0 x 29.7 cm

Full page

500 CHF

19.3 x 26.9 cm

1/2 page

350 CHF

19.3 x 13.4 cm

Payment Pre-payment by wire transfer is required for all ads. Bank details will be provided upon request.

The Swiss Technical Analysis Journal • Spring 2014 • 31

SAMT Board

THE Swiss

technical

Directors

Patrick Pfister, CFTe Vice President and Head of Zürich Chapter patrick.pfister@samt-org.ch

Ron William, CMT, MSTA Vice President and Head of Geneva Chapter ron.william@samt-org.ch

analysis

Daniel Stillhart President daniel.stillhart@samt-org.ch

& Officers

We would especially like to see contributions that draw from areas not previously examined, and/or topics tangential to technical analysis.

Credibility And Recognition

Alberto Vivanti Vice President and Head of Lugano Chapter alberto.vivanti@samt-org.ch

Mario Valentino Guffanti, CFTe Vice President of Lugano Chapter mario.guffanti@samt-org.ch

Topics Louis Grosjean Head of Treasury louis@grosjean.ch

Tim Straiton, FGA Head of Website Development info@stoploss.ch

Marco Zahner Auditor ma_zahner@bluewin.ch

30 • Spring 2014 • The Swiss Technical Analysis Journal

Submitting Contributions Submission of contributions to ronwilliamPR@gmail.com

Material deadline for the Summer 2014 issue

Language Contributions must be submitted in English with British grammar required.

30 June 2014

Writing Style

Advertising

Papers should be written in a thesis style.

Figures, Charts and Tables Illustrations and charts must be referred to by Figure Number and source (when applicable). Tables must be referred to by Table Number and source.

Length of Contribution Papers should be approximately 1,200 to 3,000 words, with supporting graphs and charts.

The appearance of advertising in SAMT publications is neither a guarantee nor an endorsement by SAMT.

Advertising Rates

Rate

Size

Inside covers 750 CHF

21.0 x 29.7 cm

Full page

500 CHF

19.3 x 26.9 cm

1/2 page

350 CHF

19.3 x 13.4 cm

Payment Pre-payment by wire transfer is required for all ads. Bank details will be provided upon request.

The Swiss Technical Analysis Journal • Spring 2014 • 31

SAMT Membership

Samt encourages the development of technical analysis and the education of the financial community in the uses and applications of the technical research and its value in the formulation of investment and trading decisions. SAMT offers the following benefits: n The organisation of meetings on a broad range of technical subjects encouraging the exchange of information and knowledge of technical analysis for the purpose of adding to the knowledge of the members. n The organisation of presentations from guest speakers from around the world. n The possibility to sit for the Certified Financial Technician(CFTe) exams at a discounted rate. These exams are controlled by IFTA. n The “IFTA Update” - a quarterly newsletter from the International Federation of Technical Analysts. n Access to the SAMT database covering trading strategies, chart pattern recognition, technical indicators and a glossary of terms. n A generous discount on the annual IFTA Conference admission fee.

The Cost of Membership Initial one time registration fee of CHF 50. n Annual membership fee of CHF 150. (The total cost for the first year is CHF 200.) n Only fully paid-up members have access to the member area. n The subscription cost for each subsequent year is CHF 150. n Subscription expiry results in blocked access to the member area. A standing annual payment order is therefore recommended. n

Education

Payments are made to: Swiss Association of Market Technicians S.A.M.T.

SAMT Disclaimer The Swiss Association of Market Technicians (SAMT) is a not-for-profit organization that does not hold a Swiss Financial Services License. It is the aim of the SAMT to promote the theory and practice of technical analysis, and to assist members in becoming more knowledgeable and competent technical analysts, through meetings and encouraging the interchange of materials, ideas and information. In furthering its aims the SAMT offers general material and information through its website and publications therein. The information provided on the SAMT website has been compiled for your convenience and made available for general personal use only. SAMT makes no warranties implied or expressly, as to the accuracy or completeness of any information contained on the SAMT web site. The SAMT directors, affiliates, officers, employees, agents, contractors, successors and assigns, will not accept any liability for any loss, damage or other injury resulting from its use. SAMT does not accept any liability for any investment decisions made on the basis of this information, nor any errors or omissions on the SAMT website. This web site does not constitute financial advice and should not be taken as such. SAMT urges you to obtain professional advice before proceeding with any investment. The material may include views and statements of third parties, which do not necessarily reflect the views of the SAMT. Information on this website is maintained by the people and organization to which it relates. The SAMT believes that the material contained on this website is based on the information from sources that are considered reliable. Although all care has been taken to ensure the material contained on this website is based on sources considered reliable we take no responsibility for the relevance and accuracy of this information. Before relying or acting on the material, users should independently verify its accuracy, currency, completeness and relevance for their purposes. Before making any financial decision it is recommended that you seek appropriate professional advice. The SAMT website may contain links to other websites, these are inserted merely as a convenience and the presence of these links does not constitute an endorsement of the material at those sites, or any associated organizations, products or services.

eNewsletter: http://www.technicalanalyst.co.uk/eNewsletter/index.htm Awards: http://www.technicalanalyst.co.uk/conferences/Awards13.htm Training: http://www.technicalanalyst.co.uk/training/index.htm Books: http://www.technicalanalyst.co.uk/books/index.htm

32 • Spring 2014 • The Swiss Technical Analysis Journal

IFTA Certified Financial Technician (CFTe) Program The IFTA Certificate (Certified Financial Technician) consists of CFTe I and CFTe II, which together constitute a complete professional program. The two examinations culminate in the award of this internationally recognised professional qualifi cation in Technical Analysis.

Examinations The exams test not only technical skills, but also international market knowledge.

CFTe I This multiple-choice exam covers a wide range of technical knowledge and understanding of the principals of Technical Analysis, usually not involving actual experience. The CFTe I exam is offered in English, French, Italian, German, Spanish, and Arabic, and is available, year-round, at testing centers throughout the world, from IFTA’s computerbased testing provider, Pearson VUE.

CFTe II This exam incorporates a number of questions requiring an essay based analysis and answers. For this, the candidate should demonstrate a depth of knowledge and experience in applying various methods of technical analysis. The exam provides a number of current charts covering one specific market (often an equity), to be analysed, as though for a Fund Manager. The CFTe is offered in English, French, Italian, German, Spanish and Arabic biannually, typically in April and October.

Also please note that by registering as a member of SAMT you declare that you have read, fully understand and agree to the content of the SAMTDisclaimer statement which appears below.

Sponsor

SAMT

Please use the Register Here link below for executing your payment and don’t forget to make sure your name is mentioned in the payment (especially for members whose subscription is paid by/through their employers).

IBAN: CH77 0900 0000 8005 2569 5

Media

Each month the TSAA-SF presents webinars that are often free or require a prepayment of a small fee. The webinars are offered as various times during the day - some early in the morning (Pacific Time), some at noon or in the evening. Because of the time difference between San Francisco and Switzerland (9 hours), SAMT members could view some of the webinars during CEST evening hours. The next webinar is on Saturday, 13 April on Integrating Signals from the Credit Market into Equity Trading Strategies by Dave Klein, partner and co-founder of Capital Context LLC. This webinar will be from 10:00-11:30 AM PDT (19:00-20:30 CEST). The fee for this webinar is $US 10 (the member fee). Click to see the schedule of webinars available. TSAA-SF is the oldest society in the U.S. devoted to the study and development of technical analysis of stocks and commodities. TSAA-SF is an IFTA Member Society.

Subscription Payments

Swiss Postal account Nr. 80-52569-5

Journal

Technical Securities Analysts Association - San Francisco (TSAASF) Webinars

Important Changes to the CFTe Program

Curriculum The program is designed for self-study. Local societies may offer preparatory courses to assist potential candidates. Syllabus and Study Guides are available on the IFTA website.

Syllabus and Study Guides

To Register

CFTe Level I (offered all year long) and CFTe Level II (offered biannually in April and October) candidates should study the current Syllabus and Study Guide for CFTe Level I and CFTe Level II for any exam taken through 30 September 2014, and the new Syllabus and Study Guide for any exam taken on or after 1 October 2014.

Cost IFTA Member Colleagues

Please visit the website for registration details. http://www.ifta.org/certifications/financial/

CFTe I $500 US CFTe II $800* US

Languages Effective on 1 October 2014, the CFTe I will only be available in English, German and Arabic. The CFTe II will be offered in English, German, Arabic, Italian, French, and Spanish through 8 October 2014. After this date, the exam will only be available in English, German, and Arabic.

Why Certify? Obtaining the CFTe or MFTA designation(s) demonstrates that you have achieved the highest level of expertise in the field of technical analysis. Join an elite group who have already recognized the importance of these certification(s) in elevating their professional standing by becoming certified by the International Federation of Technical Analysts.

Non-Members CFTe I $700 US CFTe II $1,000* US *Additional Fees (CFTe II only): $250 US translation fee applies to nonEnglish exams $100 US applies for non-IFTA proctored exam locations

The Swiss Technical Analysis Journal • Spring 2014 • 33

SAMT Membership

Education

Payments are made to: Swiss Association of Market Technicians S.A.M.T.

32 • Spring 2014 • The Swiss Technical Analysis Journal

Examinations The exams test not only technical skills, but also international market knowledge.

Also please note that by registering as a member of SAMT you declare that you have read, fully understand and agree to the content of the SAMTDisclaimer statement which appears below.

Sponsor

SAMT

IBAN: CH77 0900 0000 8005 2569 5

Media

Subscription Payments

Swiss Postal account Nr. 80-52569-5

Journal

Technical Securities Analysts Association - San Francisco (TSAASF) Webinars

Important Changes to the CFTe Program

Curriculum The program is designed for self-study. Local societies may offer preparatory courses to assist potential candidates. Syllabus and Study Guides are available on the IFTA website.

Syllabus and Study Guides

To Register

Cost IFTA Member Colleagues

Please visit the website for registration details. http://www.ifta.org/certifications/financial/

CFTe I $500 US CFTe II $800* US

Non-Members CFTe I $700 US CFTe II $1,000* US *Additional Fees (CFTe II only): $250 US translation fee applies to nonEnglish exams $100 US applies for non-IFTA proctored exam locations

The Swiss Technical Analysis Journal • Spring 2014 • 33

l Zürich

SAMT

Centro di Studi Bancari

Partner Societies

International Federation of Technical Analysts (IFTA) IFTA is a non-profit federation of 26 individual country societies who individually and jointly dedicate themselves to n Research, education, camaraderie and dissemination of technical analysis of world markets. The IFTA societies support sharing technical analytical methodology that at its highest level is a valid, and often-indispensable element in the formulation of a reasonable basis for investment decisions. n Promotion of the highest standards of professional conduct, international cooperation and scholarship between all its Member and Developing Societies within all arenas of technical analysis. n Providing centralized international exchange for information and data of various financial centers while respecting individual country and Society business practices, legal structures and customs. n Encouraging the standardization of education and testing of its constituent members in technical analysis, making sure that each individual country’s security analyst licensing, legal and language /communication priorities continue to be individually accepted. n Fostering the establishment of individual societies of technical analysts without bias in regard to race, creed or religion. It supports the need for maintaining a free and open worldwide markets under normal, and in particular crisis periods. As a growing bridge of communication worldwide, IFTA remains open to methods of technical analysis, while encouraging the consideration and support of membership for both developing and established societies.

www.ifta.org

Founded by the Ticino’s Banking Association in 1990, Centro di Studi Bancari (CSB) is an institution that promotes and provides education, training and continuous update for banking, fiduciary, insurance and legalfinancial professionals in the financial markets. CSB provides courses, training courses for various certifications and hosts conferences. The training programs are recognized at local, national and international levels, as well as by many private associations, such as SwissBanking. CSB can also organise tailor-made training, leveraging on its inter-disciplinary competences in the field of banking, finance, compliance, management and taxation. www.csbancari.ch

Swiss CFA Society The Swiss CFA Society boasts over 2,400 members in Switzerland, against barely 100 in 1996 at inception. It is the largest CFA Institute society in continental Europe. With more than 2,000 candidates taking the rigorous Chartered Financial Analyst® (CFA®) exam in Switzerland each year, the society’s impact on the Swiss investment community is self-evident. It was the first society of CFA charterholders in the EMEA region to be directly affiliated with the prestigious CFA Institute, which includes more than 110,000 members in 139 countries. The vision of the Swiss CFA Society is to be a leader in fostering the highest level of knowledge, professionalism, and integrity in the investment business. www.cfasociety.org/switzerland

Swiss Futures and Options Association The Swiss Futures and Options Association (SFOA), previously the Swiss Commodities, Futures and Options Association, was founded in 1979 as a non-profit professional association for the purpose of promoting derivative financial instruments, particularly standard futures and options contracts on financial instruments and commodities, to the widest possible audience, and to serve the interests of its members. SFOA serves users of commodity and financial derivatives, as well as professionals, their institutions and the exchanges. www.sfoa.org

ZÜrich Chapter events

Ian McAvity spoke in to the Zürich Chapter on 4 February.

Groupement Suisse des Conseils en Gestion Indepenats (GSCI) CSCGI is a group of economic interests formed by specialized independent financial intermediaries who are confirmed professionals in the financial services industry. The group is open to contacts with any person interested in the business of wealth management seeking to promote dialogue with the banking partners and authorities at all levels. Their goals are to: • Promote contacts between professionals motivated by the same desire for independence, wishing to maintain and develop relationships with counterparts. • Find common ground for exchanging experiences and ideas, a field where diversity and novelty are prevailing. • The enrichment of the links that can be forged on a friendly and professional level within a well defined and recognized framework to favour professional consultation and close dialogues. www.gscgi.ch

34 • Spring 2014 • The Swiss Technical Analysis Journal

His slides can be found at http://samtjournal.uberflip. com/i/258886

Apres the presentation Martin Pring gave to the SAMT Zürich Chapter on 19 March. Martin is at center left. His slides can found at http://samtjournal.uberflip. com/i/292269

The Swiss Technical Analysis Journal • Spring 2014 • 35

l Zürich

SAMT

Centro di Studi Bancari

Partner Societies

www.ifta.org

ZÜrich Chapter events

Ian McAvity spoke in to the Zürich Chapter on 4 February.

34 • Spring 2014 • The Swiss Technical Analysis Journal

His slides can be found at http://samtjournal.uberflip. com/i/258886

Apres the presentation Martin Pring gave to the SAMT Zürich Chapter on 19 March. Martin is at center left. His slides can found at http://samtjournal.uberflip. com/i/292269

The Swiss Technical Analysis Journal • Spring 2014 • 35

The Swiss Association of Market Technicians GenÈvE • Lugano • ZÜrich 36 • Spring 2014 • The Swiss Technical Analysis Journal