UrmaBlume

Sorry Frank, My questions regardiing your approach to data collection and managment are about practicality. I and every professional trader I know would find such an approach to be not practical and that to be able to access unlimited data, either real time or historical, for any symbol or instrument at any time to be well worth what we pay. Obviously your approach to data collection and management is adequate for your needs so it is the right one for you. After almost 30 years of professional/management level involvement with the markets, I do, indeed, understand that there are many ways to profit from trading and just didn't understand why anyone would go to the trouble to build such a seemingly inadequate system just to save a few bucks. The answer of course is that it is not inadequate for your needs and thus is perfect for you. I didn't mean to criticize of belittle your approach, I just didn't understand how anyone could go to that effort to get so little just to save a very few bucks. Now I know and wish you the best of luck. cheers

Sorry, not a hater post at all. The db you propose is very limited as to time frames and symbol list. Such a db is only suitable for a very limited trading/research operation. For any "REAL" trading or research venture $1200 per year for unlimited data is very inexpensive and if one's trading or research won't support that, then, indeed, such an ersatz approach would be appropriate. Of note is that commercial data feeds like Trade Station are at the bottom of the line. The big boys use direct, near zero latency feeds that cost over $20,000 per month. No matter what you build you can't get that for free. The only reason they pay 20k per month is because they make money by using it. If free one hour data on 10 symbols fulfills your needs then my all means this is the app for you. I run a small private trading and development operation and could neither trade or develop with the data you describe.

Why? Decades of data in every time frame from 1 minute on up is available for every symbol from several different vendors for very little money. Trade Station at $99 per month, free with just a few trades, makes all of this data available and it can be easily exported from TS into either a csv file or via dll to any database you want. Plus with all the great open source db's available why MS db? For Historical data you can get a free trial for TS and download what ever you want. Is the sole reason for this app to save $99 a month? I don't get it.

The quick answer is no. It depends on the data stream that is the subject of the function. In the OP I mentioned price, net new commercial trade and the balance of trade. I also mentioned MACD, ROC and the weighting of inputs from different time frames. There are many different inputs to these indicators and most of them are not based on price so a quick Jurik is not the answer. Weights, pre-processed inputs, multiple time-frames can't be answered with a speed to a tight Jurik of price only. One point of note from the charts is that there are Jurik averages of price on all the upper graphs and none of them turn before price turns. If you look at the indicators below price on all three charts you will see that oftentimes the indicators do, indeed, turn before price. Plus it's casual Friday and I am a bit loaded so - hasta manana. cheers

Thanks for the very kind words. You will find posts on the TS forums from UrmaBlume1-4 bitching about the granularity of their time stamp. I have been buying tech products from Bill Cruz since long before Trade Station, Omega Research or Super Charts. They will get their time stamp together and it will continue to be the package of choice. In the meantime thank goodness for dll's & the window kernel. cheers

1. Sample size was the most recent 50,000 8k day session bars. 2. Today's charts are posted in 3 different time frames, not as smoth as yesterday - but still plenty of room to make a buck. 3. I didn't cherry pick, I only posted the most recent data as you can see from the time stamps on both the post and the chart, I am PST. cheers PS - these are the charts we use for training - not for trading.

Thank you very much for the kind words. Each of the 24 inputs was either precisely described or strongly hinted in the OP. The idea is that there are many, many ways to read higher time frame bias and bring the power of that bias down to where you execute. My 24 inputs are but some of the infinite number of combinations of inputs, settings, weights and time frames that will produce profits from the basic formulation protocol defined in the OP. It's the best combination treasure hunt and video game around. Enjoy, and thanks again for the kind words.

The idea is to calculated an index of weighted biases from higher time/volume frames, store/map them as global variables and then access them from a lower time/volume frame where structure allows more precise entries and closer stops. A bias can be as simple as a faster moving average being above or below a slower moving average. In the case demonstrated below we take 24 inputs from higher time frames such as Jurik smoothed measure of price, net commercial trade and the balance of trade along with MACD's and rates of change on those same data series and several others. We optimize the settings on each of these indicators and then asign a bias of +1 or -1 to each of the 24 inputs. We then run further optimizations to find the most suitable weight for each of the 24 inputs. The sum of those weights for an 8k chart in the ES is shown below. This is one of the very few places were traditional processing such as MACE and Rate of Change can be of use and where there are many, many combinations of biases and time frames than can produce profitable results in almost any market. This chart shows the first 4 1/2 hours of trading today 7/16/2009.

Seems like someone always knows the answer before the announcement. We use basic indicators of money flow and balance of trade to see net accumulation or distribution. The chart below shows the action just before an FMOC announcement:

I couln't agree more - with the exception that in spite of the horrendous rake at the tracks, the tremendouns amount of available data and the huge leverage of certain exotic bets might provide some opportunity to some very smart processing. At any rate if the processing is any good it will give one the answer before the firts bet. One of the major problems with both sports and horse betting is the depth of market and in racing in particular which is parimutual betting. Still, it would be fun, especially living here in Las Vegas and the next time a couple of my database & intelligent agent guys get a bit of extra time we will give the horses a shot just for the fun of it.

I am a very long term and very satisfied Trade Station customer and I offer these 2 points of information 1) their commission schedule for equities and 2) some of the awards they receive every year: One commission plan per account. $1 for 100 shares $5 for 500 shares $8 for 1000 shares First 500 shares $.01 per share, $.006 per share thereafter. - Includes all ECN fees - $1 minimum - No charge for unexecuted or cancelled shares Monthly Trades Unlimited Shares 1 - 9 $9.99/trade 10 - 29 $7.99/trade 30 or more $6.99/trade

Blowfish, Without even a hint as to concept or construction and not even a cherry-picked graph and with claims like - "Proprietary and highly accurate and reliable" and "Exclusive New Development in Price Action Technical Analysis" I believe you are right about these DPB's being based on a "Secret Sauce." Further I think that our collective noses are beginning to detect the main ingredient of that sauce. Cheers

We moved up from Sports and Horse betting almost a decade ago. While we were active I believe our handicapping was beyond the state of the art. And while I am not active in this area today I belive our work is still beyond what is available today. If we could ever get some spare resources I would love to have some of our new "wonder kids" with their super tools tackle this once again - especially the exotic bets of the thoroughbred racing circuit here in the US. Below is a partial page from one of those reports. Here is a page that links to a short movie that explains our approach to sports betting and demos one of the reports we were producing some years ago. Trade Point Technologies The link on that page that plays the movie is: Click here to play a short flash movie that explains our report and something about how we process sports data. This data based approach did well with NFL and really good with NBA. The problem with handicapping the NFL is the short season and the small number of games. It has been some years since we produced these reports. We finished the database that holds the data from the comma delimited performance reports for American Thoroughbred Racing but never hooked up the Intelligent Agents to do the handicapping. We became completely absorbed by the markets and haven't touched these systems in years. If we ever get a few extra resources I would love to use some of these newer, smarter and faster tools to process the data. If you have a minute please take a look at the movie of the NBA report and let me know what you think. I believe it to be beyond the state of the art in sports handicapping and know for sure that its performance could be greatly improved with today's tools as compared to almost a decade ago. Also what do you think about the guages as measure of sports performance characteristics?

Thank you for the kind words. Here is a link to a thread I posted on why we feel that market depth, while useful for execution information, is worthless as an indicator/input. http://www.traderslaboratory.com/forums/f34/why-market-depth-useless-indicator-5501.html

BlowFish, The missing component here is time frame. Very short term manipulation of price happens everyday in almost all major markets and a lot of it is done by software. Almost 30 years ago I sat in a trading room were all kinds of ultra short term smaller size actions were taken to facilitate much larger size entries or exits. Today the old "fill-em-up and shut-em-up" or "Sell a few higher to buy a much bigger amount lower" is done by very fast, very sophisticated software that always knows 1) market depth at all levels 2) recent price action 3) the mission - to acquire or distribute x contracts over y price range in z time. Certainly when a huge buyer sells to drive price lower so that he can buy more is price manipulation. It has gone on forever, will always be and today, is best done with software. With the speed of today's markets longer term manipulation requires much greater resources and involves much more risk. Why not just keep the risk down and let your software shave a bit everyday?

RT-Trader, Thank you very much for the kind words. I am gland you find our work to be of interest. I see you are posting from Sydney. What a beautiful, not to mention fun, city. I have been lucky enough to make several trips down under and enjoyed them all. Some years ago one of your major bookies hired me and an associate to build a neural net based system for setting odds in your horse races. While it was a business trip we had a very good time and even managed a trip to Cairns for some diving. I would like to see something of your work - do you post under this name on the Ninja boards? cheers

The link is to a story of Stolen code - http://www.bloomberg.com:80/apps/news?pid=email_en&sid=axYw_ykTBokE According to the story the code: "The proprietary code lets the firm do “sophisticated, high- speed and high-volume trades on various stock and commodities markets,” prosecutors said in court papers. The trades generate “many millions of dollars” each year." A little bit of understanding of how such systems operate is the basis for the "Intensity of Commercial Trade" indicator that we have discussed on this forum. This article accurately describes the trading our indicator was built to spot.

No vested interest, but don't worry, if James thinks my comments about Trade Sation are spam he will not hesitate to act. He hasn't and you're wrong - again. I believe that TradeStation is the best and if not the best at least among the best packages around. Backtesting is one of the package's strong points. is the topic of this thread and as a long time user - I will indeed continue to make positive comments about the package whenever I think it is appropriate. Seems like your posts to this particular thread have nothing to do with the topic - backtesting software. But more than that you seem to be mad at me, mad at TradeStation or just plain mad. As to what you think is appropriate - please try and measure/imagine the degree to which that opinion will influence my future thoughts and actions. cheers

ZOSO, Don't most of the customers at EVERY Brokerage lose money? Didn't they risk capital building Trade Station and their other ventures? I don't understand your complaint/praise. Is it becasue they build good software, because some of their customers make money, because you can't make money using their software or just because you are feeling negative and not sure what about? The Cruz brothers have built a substantial company with a very competitive platform that I, thousands of other customers, Barron's and "The Technical Analysis of Stocks and Commodities" find to be the best around. So what is it you are mad about?

From what I can see of Investor/RT is that it has long way to go and that I don't see the slightest hint of any feature that hasn't been in Trade Station for years plus I see many features in Trade Station that are not yet available in RT - Genetic Optimization routines and RT auto execution to name a couple - there are more. Maybe in a few years it might catch up to where Trade Station is today but by then Trade Station wont still be where it is today. Certainly, as a very long time user with over 4k indicators, functions, strategies and dll's that we have written for use in and around Easy Language we are very involved with the platform - But not so involved that we would hesitate to migrate if we thought the migration would add any significant value. Just a few months ago we took an in depth look at Ninja and found more problems than solutions for very little added value. The only 2 issues we have with Trade Station are 1) the lack of granularity with their time stamp and 2) infrequent latency in the data. We have found ways around the time stamp issue and the latency issue is so small and so infrequent that it dosn't bother us.

Thanks for the offer. We too are always looking to collaborate with anyone with "disruptive ideas." I have sent you a PM with our reservations and an invitation. One point is that it is "disruptive" trading and market concepts that are of value and not technical skills. Today programming at any level in any language, platform, database or operating system is a world commodity, is very inexpensive and of itself is a given and adds no particular value. This is a major issue with many of the Quant Super Funds - plenty of math and tech skills but no deep understanding of what motivates price and premiums.

A few months ago we talked to the management of both Ninja & Zen Fire about migrating all of our work from Trade Station to Ninja and after expending much time, effort and expense we decided no way for a lot of reasons starting with issues we had with the data and on to the immaturity of Ninja. The only thing we found really attractive about Ninja was the price and we believe that it will take at least several more years before Ninja is ready for prime time users. We have been using products from Bill Cruz and his brother since long before there was a Trade Station and longer than any other Trade Station customer. Of course there are issues with Trade Station and always will be but we still find it the best around and so do others:

Get a free trial of Trade Station and you should be able to download whatever you need. Trade Station is very inexpensive and has been voted best online broker and best online technical analysis etc for several years in a row by both Stocks & Commodities and Barrons.

rasagi, Thank you for the kind words. 1. You are right about the LDB reports. Peter had learned from being in the pits that it was the commercial trader who most often formed the day's extremes. He knew because he know who the guys were and knew that when the put their palms out they had size to sell and palms in - size to buy. The report, reconciled by account holder showed the total volume at each price and the percentage of trade done by commercials at each price. We downloaded the report via phone modem each night from the CBOT. Now using today's technology, the early teachings of Peter and some points I have picked up along the way we use our "Intensity of Commercial Trade" indicator, demonstrated in other threads, so that we can find this intense commercial trade in real time and not after the market has closed. 2. As to VantagePoint and Neural Networks - I don't know anything aobut VangatePoint but we do use neural networks, genetic optimization routines and such automated polynomial generators as MARS (Multivariate Adaptive Regression Splines). While MARS comes from Salford Systems we write our own neural net packages and genetic code from scratch, here in-house. 3. You say my site reminds your of Futures Scalping page - I certainly hope not and would ask you to take a closer look at both. As to dark pool trade - it is of little concern to us. What is of concern to us is the hedging and other activity in various equity derivatives that occurs as a result of dark pool trade. Thanks for the query cheers UrmaBlume

Thank you for the kind words. I haven't read O'Hara but I found Harris to be very pedestrain, usless for the kind of trading we do and that it said very little that is of practical use in over 600 pages. As to Game Theory I would recommend "An Introduction to Game Theory" by Osborne and "Game Theory" by Meyerson. In addition here are a couple of links I found useful: A collection of articles: Combinatorial Game Theory Some course notes: Lectures Enjoy cheers