RichardTodd

I'm looking forward to hearing your thoughts on the exercise! It's just one of many things I learned from this thread. I don't know if it will help you or not, but a couple times a day I actually reach out with a finger and trace the swings on my monitor. My brain lies to me all day, but my fingers are usually honest.

This is the Gambler's fallacy - Wikipedia, the free encyclopedia. The chance for the other possibilities does not increase in a model built on independent events.

Ah, ok, now this I agree with. You are right, I could not tell what you were getting at by your initial posts. In mathematics, random variables are introduced into a model in order to gloss over things that are either prohibitively expensive to track, or unknowable. The randomness is in the model, not the reality being modeled. So I agree with you 100%. The coin-flip example you used is actually the one used in more than one introductory book on the subject! You could give better than 50/50 odds on a coin flip if you knew the weight distribution of the coin, the air pressure, the position and velocity of the flipper's thumb at all times, etc. But that's hard, so you tend to go with a simpler 50/50 model that does an ok job of looking like a typical distribution over time. If we were traders making directional bets on coin flips, it would be our job to go to the trouble of measuring the air pressure and watching the tension on the thumb, to get a better idea of which way the coin is going to land. The fact that a 50/50 model can make a reasonable picture of actual coin-flip trials doesn't make this any less possible. This is why a random walk picture of stock prices doesn't change the importance I place on chart patterns one bit. (I'm still confused about why you seemed to say otherwise??) I think what confused me (and perhaps others) about your initial posts was when you said things like: ... which to me implied that (1) you did not know that it's a fact that you cannot beat a random walk with any strategy, and (2) you thought a product could be completely random. So, no one should trade a random product, but thankfully those do not exist I was also thrown off here: To say that charts look like models of charts is true enough, but it just sounds funny to me. To my way of thinking, it is like saying Elvis looks like an Elvis impersonator. Price is a fact, and a random-walk model uses a single idea (that prices tend to move in small amounts relative to where they've been) to make a picture that is superficially similar. To the other points in the thread: Can you tell them apart? Yes. There was also university study in the last few years that showed people were able to discern real price charts from randomly-scrambled ones with a little practice. More sophisticated models (for starters, you can vary the volatility) are harder to discern, but the point is that no matter how realistic the picture is, it's just a model, and does not imply that the real deal is in some way "random" or wholly "unpredictable."

No. If someone that looks like Pavarotti can't sing, that doesn't make me wonder if Pavarotti was a fraud. The value of random data is that it looks like real data, NOT that it means anything about real data it happens to resemble. (A funny example of a research paper generator that actually got a fake paper accepted for a conference a few years back: SCIgen - An Automatic CS Paper Generator. We shouldn't suspect that real papers on that same topic are all meaningless, just because a random process can create something similar.)

Anyone who makes money trading takes more than they give, and is a drag on everyone else's profits. There's nothing wrong with that as long as they are playing by the same rules as everyone else. It's just like an athlete complaining if a stronger, faster, more accurate athlete walks on to the field. "now I can't score as many points!" As long as I am not illegally excluded from starting my own HFT business, the playing field is level already. If you have evidence of collusion or whatever, that should definitely be stomped out. But your article makes no such claims. Your article just says there's more activity generating more data. I don't see why anyone should have a problem with that.

That statement really sums up my problem with all the HFT hype. A trader does not get thrown out of the market. No one forces them to place so many losing trades. They failed to adapt and they either lost all their money or closed up shop all by themselves. Presenting losing traders as victims who were "thrown out" is not productive as long as the marketplace is free. That doesn't mean I'm assuming you are a loser, but you are taking the position that a loser takes to feel better about himself. The position that something happened to him, rather than taking responsibility for his own failure to remain competitive. The position that there's "too much" data to deal with, and that cancellations should be taxed to "discipline" the new opponents. The fact is the marketplace is always shifting, and when there are big pockets of failure we come in after the fact as label it a regime change. But that's just a matter of scale. When a little volatility bankrupts a few funds, it's a smaller example of the same failure to adapt, and no one gives the event a fancy label. No pity-party for them! And I expected the same of you, until you took my comment about giving no standard by which we can judge how much data is "too much," and responded in this vacuous way. You have graphs that show there is more data. Then you tell us that the increase is noise and that there is too much data, but you don't support those statements. Here's two more examples I've personally witnessed: The rise of SOES, and decimalization of stock prices. Boo hoo for all those that tried doing the same thing they did yesterday and falling on their face. Let's play some violins for when they kept falling on their face until they had no money left, instead of adapting to the new conditions. But let's not, under any conditions, say that they were thrown out, as if they had no part in their own undoing.

This is really not a very useful article. Losing traders need a scapegoat, and today's scapegoat of choice is HFT. There was a time when retail traders had to phone in orders, while pit traders could trade many times faster with better information. Guess who the scapegoat was back then? The article talks of "significant changes" as if they are a novelty. There are significant changes in progress all the time. Financial markets are the most exciting and lucrative competition on the planet, so don't expect that to ever stop. Strong competitors are invigorated by strong competition. Weak competitors write articles about how scary it is. The article says there is "way too much" data now, but doesn't give the standard by which that conclusion was reached. Don't decide for your readers how much data is "too much" for them. The article says that HFT reduces sub-minute orders and price patterns to noise, but this cannot logically be true as long as there is more than one HFT competitor. Think about it: if two competitors have made noise for each other, then neither could make money in the aftermath. Since the claim here is that HFT "bleeds" the markets, then there is a signal in that noise somewhere, and there is no sense in complaining that it's hard to find. Who ever expected trading to get easier over time just isn't thinking straight. The state of the art progresses, and competition gets harder. It's true in all endeavors, be it sports, business, art, or trading. Laughably, the article pronounces: I got news for you... this was always the case. My competition isn't going to just show me their hand? What a shock! At this point it sounds like the author hasn't even played a hand of poker, much less traded a stock. I'm sure that's not true, though, so I'm a little dumbfounded. Does anyone seriously imagine that there was a time when everyone was telling the truth about their intentions in the market, and no one was exploiting technological advantages over their competition? There are stories of rice traders centuries ago forming rooftop networks of flag-wavers to exchange market data faster, for crying out loud. No doubt someone back then wrote an article about how you couldn't discern trading signals against such high speed activity. They were wrong then, and this article is wrong now. All any rational trader wants is free competition. I want to be free to cancel my orders as often as I want, so I don't have a grudge against others canceling orders at high rates. I want to be free to mislead and misdirect if I want, so I don't have a grudge against others doing so. The only kinds of speed restrictions that are sensible are ones that protect the integrity of the market's IT infrastructure.

The very bottom candle on that run down was the 13:08 candle in eastern time. My charts are in central time and it's 12:08 there. So, the chart you posted appears to be in Pacific time. (if you want something that trades a bit more actively off-hours, maybe try the euro or the fdax. Both trade well in the middle of the night in the USA)

You know, deep retracements are devilishly tricky... they fool everyone into thinking a downtrend has started. So what happens is, people get all bearish about the future right before 5 more waves up. You can get through this. Drawdowns are normal and healthy, and part of being a pro is not letting them mess with your head. Did you think your account would never take a hit? This had to happen at some point. Watch price until you get your confidence back, and then come back strong! After all, you wouldn't be in a position to have a major drawdown if you weren't also responsible for a prolonged profitable run.

This is a very frustrating thread to read. You supposedly have access to professionals who let you watch them trade with just a DOM. Additionally, people here have told you that they also trade with just the DOM. So why are you still asking if it is possible on post #35 of this thread? What else could anyone say to convince you? You can see by the replies that people are trying to figure out what you are trying to accomplish here, to no avail. Especially if you are going to brush off people like BrunoHammerstorm who were reaching out to help you, then it seems like you are wasting everyone's time.

I don't know why there's suddenly a glut of posts in the past tense. Did I miss the post where the race ended? That would be a shame. Secondly, from the inaugural post: Can we not respect this request? I would not expect the results of a competition like this to reflect anyone's normal trading, so all of this talk in recent posts about "ugly truths" is really out of place. You don't turn $3k into $1003k by being conservative. You don't do it in the same way you turn $20k into $25k to grind out a living. Obviously not! So why is it even worth discussing? One could argue that if you don't blow up at least once you are doing it wrong :haha: People that enter the race without understanding that will get a lesson more valuable than the $3k they put at risk, so there's really no way to lose, except by being a naysaying bystander.

It told me: "Be sure to drink your Ovaltine." Kind of a let-down. Maybe my chart colors aren't the profitable ones, or something.

Yeah... sorry TS users. I wrote it for 'time_s' on MC because cunparis was using it on fast charts and monitoring 30-seconds or less intervals. If you want to use it on a long-enough basis that you want to see the pace of the last few minutes, then you can re-write it for plain 'time' and adjust the 240000 constant and all should be well.

Delta's only there to show you one thing, and if that's not the thing you are wanting to see, don't blame delta. That's like complaining that a hammer can't turn bread into toast. And if you are trying to pull data out of a delta indicator that it's not designed to show you, then I would argue that you actually don't know how to interpret it. Sorry... As I'm sure you know, the whole point of most indicators is to leave out some data in order to highlight other features. Very few are isomorphic to the data they start with. I could go around complaining that my low-pass filters leave out a lot of high-frequency data, I guess. But would I be making some kind of "point"?

I have wondered myself it were possible for an exchange like Globex to match 2 market orders inside the spread. I would imagine that it's processed sequentially like you say, but I don't know. On the other hand I have seen trades matched inside the spread countless times on the NYSE, and I think it's fairly common knowledge that the specialist has a certain amount of time to hold orders for matching (which effectively makes all batched orders "simultaneous"). Or at least they used to.. it's been a while and maybe the hybrid system changed that up.

Contracts bought and sold are always equal amounts, obviously, so... all you are really saying here is that you don't know how to interpret a delta indicator. In general, price moving down while delta runs up indicates not much size on the bid. And lo and behold, your example has the smaller trader on the bid. See?

FWIW people in business do "vanity searches", and also their clients tell them when they are mentioned on sites. So, in my case, someone emailed me to say "check out this link" and I saw tens of pages of people investigating one of the indicators I used to sell. Their posts linked to my sites. Their posts used my screenshots. It was exciting. The last thing on my mind was investigating the board attitude toward advertising, when from my perspective I was looking at a thread full of positive advertising already. It's an easy mistake to make when part of your job is to market yourself. But, even though it's an easy mistake, it's still a mistake, and the internet isn't known for politeness. So, when you get slapped down for being a sleazy marketer, you can either adapt or go home crying. One would think that if he had something of substance to say, his ego could take the hit.... (at least he didn't come back as Ackerfan9391 posting "interesting" charts and claiming to love the service in every post :rofl:)

The keyword to search for in the literature is "non-uniform sampling," and most algorithms I'm aware of interpolate to find uniform samples and then do typical DSP (choose your favorite low-pass filter) on the uniform samples. How accurate you need the results to be will dictate how complex the interpolation process is. Of course for some purposes you could apply a (possibly non-linear) least-squares fitted model, or a spline etc. to the data, and call the resulting model the "smoothed" data with no further filtering.

I wonder if that's not overstating things, in light of (to name just a few examples) pairs traders, or traders who bet on time decay, or cross-market arbitrageurs.

If you really want to know, why not ask some of them?

I just made additions to my indicators to heuristically re-bundle the trades that were unbundled. It's not perfect but it seems to be good enough. And, with the new reporting, you do sometimes get more info than you got before (such as you know for sure when a large order is matched to a large resting order), so there can even be some advantages.

Sorry, I was just trying to make light of the situation. As I've posted before, I feel that pervasive "anti-indicator" posts on forums turn a bare chart into an even more sinister holy-grail (one that your peers applaud you for chasing). Whether you watch plain T&S, or you watch five spinning 3-D graphs while sitting in a chair that vibrates at block trades, you are dead in the water until you acquire trading skills. That's where the focus belongs--not on surface details. The reason I love this thread so much is that I know Thales gets this. The course of learning he outlined, and the weekend reading stuff, all revolve around taking time to understand the character of the markets and your own psychology. If only all threads kept their aim so true.

It's hard but definitely worth your while. You've posted some difficult days looking for advice, and didn't assign blame for your trouble anywhere, and didn't make knee-jerk alterations to your approach. For that, you have my respect (whatever that's worth :o) and in my view that puts you well or your way to success, even if it seems far away.

I have never understood why so many people at TL care so much about how I represent my data. Maybe you should also be picking out what clothes I wear, too! :haha: Anyone with significant mathematical experience knows that equivalent representations aren't all computationally equal for a given purpose. Discounting the possibility that human brains have magical powers, I see no reason why this would apply less to human cognition than it does to turing machines. It's easier for me to read clear text than distorted text, for example, even if the pictures are equivalent via an isomorphism. Some representations are just... better for me than others. Happy holidays.

On time bars, I've always found it easiest (though not the most memory-efficient method) to make an array sized 2400 and fill it/look it up based on time[0]. So basically the code has a structure like this: arrays: double volarray[2400](0); // look up yesterdays... // remember easylanguage arrays are 1-based indexes // so to be correct you'd add 1 value1 = volarray[time+1]; // do something with it plot1(volume - value1,"voldiff"); // store today's... volarray[time+1] = volume;