UrmaBlume

I just bought 2 JMAs for a couple of my clients and it was $205 for each license. Unless you are a losing trader or trade so small so as to not even really be in the market, it is the effectiveness of the tool and not its cost that is important. While the JMA only cost $205 I would gladly pay 2k if that is what it cost. For me, the search is for the best tools and their price is not an issue. And for a tool that smooths time series data, I can find no better than the JMA, or even one that comes close. BTW - we coded the HMA for Trade Station and found it to be way less efficient in our optimizations than JMA. A JMA MACD function comes with the package and with a little tinkering/optimization of both speed and phase in both of the MACD JMAs the results can be shocking and offer one of the few places where a multi-layered smoothing of price can actually lead price.

Of all of these different AMAs I find the JMA from Jurik Research to be the most useful and his MACD blows the others away. It is sold as an add on to Trade Station and other packages, has inputs for both speed and phase and is very widely used by professionals around the world. I have been using it for years to smooth inputs to neural networks. It comes as a set of user functions and indicators so you can use the user functions with any time series input and creat your own custom indicators and MACDs.

This is easily done using the Easy Language Collections library. Simply use a date/time key and store what ever value you want from the source chart and get them from any other chart. We do this all the time to store indications from different volume charts, here are some of the EL Collections functions we use: MapNN.Share - symbol and key MapNN.Clear() MapNN.Put the correct usage of these functions will allow you to store your values and then all you have to do is write the gets MapNN.Share TimetoMinutes for the key MapNN.Exists MapNN.get With the very useful EL Collections Library you can store any value from any chart and fetch it for use in strategies or indicators from any other chart.

MC if all you got from the above post is "one liners and bait" I suggest you re-read to see if you can find the discussion of Information = Equity, Volume imbalance, applicability of block trades and block trade imbalance to determine support and resistance, linear and non-linear processing, price/time/volume continuum, not to mention two descriptions of the process of time-series analysis and more. And that was just to get the conversation going. Oh yes, and a look at an application that less than 10 people in the world have seen. If we ever did decide to bring anything to the market we would certainly stop posting about it. We have no such plans. You said "one liners and bait" and if that's all you got, I can certainly understand that too. Like I said - No wonder that the technical discussion heretofore has been so bleak - could it be the seemingly high nit ratio?

No problem MC if you don't consider the technical discussion on this forum bleak then that speaks to your experience and understanding. Obviously a discussion of the tools and techniques I use is not welcome by management so -- cheers

Atto, We primarily trade the equity futures and find betweent 30-45 round trips in the emini S&P per 405 minute day session. Browns, Thanks for the welcome. With all of the intelligent processing tools availabe today I find it astounding that traders still look and bars, candles and profiles. My OP defines the tools we use and my only purpose here was to try and elevate a really dull, not state of the art technical level above VSA analysis. MC & Stanlyd, When I say company I really mean an association of tech and market freaks. Our income comes from our own trading and we don't offer any product or service to anybody. Stanlyd, You are completely correct in that better, smarter and more intense processing is the future of all technical trading. All market technical data starts with the tick and the trader who has the benefit of the best and smartest processing of these and related ticks wins. Much of the public thinks that averages, relative strengths, stochastics, profiles, candles, VSA and spread analysis is the state of the art and it isn't even close. I am not selling anything here and am just trying to demonstrate what the vast majority of those who read this forum would never see otherwise. I resent the spam accusations.

I offer no product or service to anybody and neither does Trade Point Technologies. It is not a company, we are a small private association of of tech and market afficianados. We advertise nothing and offer nothing to anybody but an elevation of the otherwise bleak technical discussion on this forum.

Most Data Vendors designate trade on the ask as UpVolume and trade on the bid as DnVolume. We have found flaws in that approach and use something close but, still different. We calculate buy and sell imbalances over several volume/time frames and then further pre-process this data into inputs to both linear and non-linear analysis.

We calculate cumulative imbalance over volume frames not time frames and we use an algorithm similar to but not the same as that used by most data venders to differentiate up volume from down volume. Tracking price via time series (SSA) analysis is very much like tracking a smart missile that can change course in multi-dimensions except that it is easier becasue price only moves in one dimension - up and down. This time series analysis is much like signal or wave analysis in that a center/least squares fit line is drawn and the amplitude and frequency of the departures from the line are digitized and then a very small sample is projected from a very large sample of sequential inputs. Pretty standard signal, time series and wave analysis.

Our approach is based on 2 very simple principles: 1. Processing raw data into Information = Equity All technical information about the condition of the market starts with the tick and those who best process those ticks will have the edge. The better the information that is the basis for the transaction, the more likely it is that the equity of the position will increase. 2. An imbalance in actual buying and selling volumes will precede most price moves. If we can determine and normalize the exact buy/sell pressure/imbalance then we should be able to predict the extent of the move. We also feel that in most cases basic trade decision support technologies haven't changed all that much in the last decade or two, while the technologies and techniques that are available to process this data have made tremendous advances. We feel that this opportunity is further enhanced by a gap in communication between those who understand the market domain at a very high level and those who understand these technologies at a very high level. Our multi-faceted approach includes, among other points, consideration of: Block Trades - In most markets the bulk of the volume is done by locals or other scalpers who close their position before the session's end. While the longer term, more committed market participant is a much smaller percentage of the day's trade, this is the trade that determines the extremes and drives price. We have built software that picks out these blocks (in the S&P less that 1% of trade is for 150 contracts or more) and shows us number of blocks, total block trade and block trade imbalance at every price during the trading day in real-time. We feel there is no better determinant of support and resistance during the session than those areas that show size trade by committed traders and size imbalance by those same traders. Money Flow - Using some of these algorithms and other work, we feel that we have developed formulae that accurately indicate very short term money flow in and out of the targeted market. Time/Price/Volume Continuum - We feel that time is much too important a component of the time/price/volume continuum to be treated as a constant so we use no time based charts. All of our charts are based on actual volume traded which helps us to better calculate and locate imbalances. It is constantly amazing to me how much more clear a properly adjusted volume chart is when compared to a time chart covering the same time period as the volume chart. While we are finding that the information described above is adequate decision support for profitable intra-session trading, we also use pre-processed and normalized data from these methods as inputs to: 1. Our own Time Series Analysis tools - Time Series Analysis is a branch of math sometimes referred to as spectrum analysis. Algorithms from this area of study are much used in missile and anti-missile tracking and interception. While missiles can move in more than one dimension, it is fortunate, for us, that price only moves in one dimension (up or down) and may be one of the most trackable/predictable of the components of the time/price/volume continuum. Speaking technically, what the software we have under development does is "transforms the one-dimensional time series to the trajectory matrix by means of a delay procedure, performs Singular Value Decomposition of the trajectory matrix so that it can reconstruct the original time series." Translated - we input a sequence of volume and price based inputs that make a "signal" that "looks" like price, our software breaks this signal down into several digital components, reproduces the signal without the delay and then, specifically, in our case, produces its best calculation of the mid point of the range for the next six bars. While most all of the mathematical components of such an approach are in the public domain, our approach, including input pre-processing, number of selected eigenvectors and target formulation are not. 2. Neural Networks - we use our own genetic routines to optimize the parameters and architecture of these networks, often use cascades of these networks and have the expertise with this technology to avoid overfitting. 3. Models developed in MARS (Multivariate Adaptive Regression Splines) from Salford Systems and other regression analysis tools are very easy for us to deploy as we have built tools to transform the finished functions into Trade Station's easy language so that a finished model is up and running online as quick as we can cut and paste. We determine whether to use linear (regression) or non-linear (neural networks) in any given situation by analyzing the results of runs made on test data that was not used in the model's development. We feel that it is a poor state of affairs that traders today still use charts that depict bars, candles and profiles when there is technology that can do a much better job of consolidating the information described above into a more precise trade decision support screen. We export tick data from Trade Station to a PostgreSQL db that drives the screen that is attached. This screen presents constantly upgraded: Projections of session High, Low & Close Total Volume, Block volume and Block and total volume imbalance at every price Percentage of normal volume for several time frames normalized as to time of day Volume Velocity in a gauge that shows precise contracts/share per minute Volume imbalance in at least 4 time frame via dynamic color pie charts Projections of the mid point of the range for the next six bars. We are a private company and offer no product or service to anybody, just trying to get this discussion off the ground.

I have full access to Trade Station

In TradeStation it is called an Activity Bar and there are many different time frames and structures available and it comes with the platform