Ranger

Hi UB It’s always an honor to have you comment on my post. After reading your posts, it’s clear that our modeling techniques are different than yours, respectfully note: We do pay particular attention to our input selection; perhaps different from your technique, our preprocessing consists of selecting representative data for our model(s). We do filter data, hence our use of the Haar Wavelet but we consistently strive for selecting a balanced diet for our children. We think it’s unnecessary to compare the model outputs to any form of linear regression using our modeling techniques. We understand your technical basis but because our strategy formation and are optimization techniques are different, we see this as unnecessary. In connection with optimization and strategy development, note: Sometimes, we build a model using several or many inputs. We then re-run this model with varying initialization values because we want to generalize it, then we: a) form a model committee; each committee member has the right to vote on Entry/Exit - Consensus polling or; b) we average the optimized output values and then optimize for Entry/Exit and; c) Sometimes, we make model contests – i.e. if longs are even with shorts we remain flat, go consensus voting; d) We also create ideal input groups based on factors consistent with their strengths, then form model committees; contests. We agree that the task of modeling can be complex but the task of understand strength and weakness is equally challenging and it’s well within the technical grasps of our forum members. Thank for contributing to this posting UB. RANGER

Hi UB Thanks for sharing the Haar ELD, that was nice of you and thanks for your valuable insight. We locked our Haar file to constrain our strategy. In our posting, it's clear that we want other contibutors to join our team with the objective of producing good trading strategies because without a good trading strategy, traders are doomed to failure. We have shared a couple strategies that can be easily modified; optimized and further used in conjunction with the trader's other methods or for educational purposes. The code is open source and simple. That's our contribution - strategies. Can you help the forum by sharing a strategy that you developed? Regards, RANGER

Hi Forum Members MC has been unable to resolve the issue with our last strategy. They worked on my computer for a couple of hours ... reported that they understood the issue but as of yesterday, they said they had nothing new to report. All posted strategies work in TS 8. We pulled together this simple strategy for use in TS and MC. We also included txt files with code for functions etc, so those of you that may want to recode the strategy in another platform can do it. We give credit to those who provided functions; indicators and other code fragments which helped us complete this strategy. Note: a) Employ on 5Min ES Chart. b) 5 yr back testing doesn't look particularly hot but short term duration optimization makes this little strategy hot. Give it shot, don't be afraid to backtest and optimize and improve. The TRIX values have been optimize these past two weeks on Fast13/Slow21 and you can see the performance. It's hit rate is awesome and it makes money and allot of trades. Exciting to watch. This strategy is free to forum members; we are not advertising or marketing or selling anything. Use at your own discretion. RANGER NN_TRIX.zip

We pulled together this simple multi-model neural strategy so we could further demonstrate our work. Unlike our previous posting, it's all open source and we verified functionality in MC and TS; there are two separate files. Please note the initialization instructions in the notes section of the strategy. The ChaosVars on 9/26/10 @ 1805. From within MC you can set the start date 9/26/10 and from within TS 9/27/10. Over the long haul this strategy looks ugly but you'll notice that it also has good periods. So, how can we turn an ugly strategy into a working strategy? Here's a few ideas if anyone is interested: a) Because the strategy consists of 2 models, it has 4 x 2 threshold conditions. We could optimize for the best entry/exit combination by toggling the inputs between 0 and 1. For example, model 1 may give the best LE whereas model 2 may only harm the strategy - you get the idea. If you find a good combination, make sure you edit the Entry/Exit flag conditions. You can probably just set them to <=1 before you start; remember there are (4) and after optimization if you find two model conditions work best, you change Entry or Exit flag to take that into account = 2. b) We could optimize for a stop/profit target in connection with (a) or after we identify the Entry/Exit combinations. Maybe the model will eliminate this requirement. So, if you have a spare I7 sitting around and some free time, perhaps you can give it a try. If we botched anything let us know and we'll do our best to correct it. RANGER 08OCT10_RUN4_5.ELD 08Oct10_Run4_5.pla

We never made a live system trade using our own money but today, we elected to go live with an Entry. Within seconds the strategy jumped short at 1158.25. Having never used strategy generated orders, I wanted to understand the functionality. So, I disabled the strategy after it entered and verified that TS accepted our working stop. After confirmation, I cancelled the stop and placed a bracket order so I could watch the strategy. I bailed at 1155/3.25 and the strategy bailed at 1153/5.25pts. Some limited testing but it was fun to watch a computer make a trade. RANGER

Hi Shrike Sorry!!! The strategy was built in TS. When we put it into MC and compiled the strategy, it checked. We just learned yesterday that it was erroring on a function "sqrt". We need to sort this with MC on Monday. Also, mengelbrecht mentioned a failure on a function likely related to JtHMA that TS didn't include in the export ELD and we failed to verify. Anyway, sorry for the problems. We'll sort the issue with MC; recompile the entire package and repost. Happy to see your interest. RANGER

Can you tell me which Platform you're using. The strategy runs fine in TS, but while attempting to load the strategy in MC we got a "sqrt" function error. We checked the related functions and they appear correct. We need to sort this issue with MC tomorrow. Pertaining to your error it's likely related to the JtHMA. Can you kindly check to see if you have this function and advise. For whatever reason, it did not export from TS, and TS doesn't permit users to see exported functions like MC. Ooops. Anyway, we'll sort both of these issues shortly and repost. Thanks for your posting!!!!! RANGER

No mate ... it was written in EL for Tradestation and MC. Sorry about that .... RANGER

I guess that I don't understand the question. The code posted by me does not contain the same formula. The constants are different than the ones posted by you. The two charts that you show are also different, the bottom one being smoothed - compare the redline to the slow line in the chart above. Can you post the formula for both subcharts, and the input settings?

We neglected to put full credits in our code for the contributions of unknown authors for their code snippets; indicators and functions. The new revision attached here contains those credits. We also removed the daily/profit and loss because it's unnecessary for testing purposes. We will add that functionality after the risk management question is better addressed. Fairly good past 2 weeks sim trading 1 x ES; today was an impossible day or so it seemed but we still finished up. Any questions or comments are appreciated. RANGER NWA_ES_R3a.zip

This piece of code came without any credits. You can see the constant values are different. You may want to investigate the calculation method for each. [LegacyColorValue = TRUE]; Inputs: Price (( H + L )/2), Len (10); 　 Vars: MaxH(0), MinL(0), Fish(0); 　 MaxH = Highest (Price, Len); MinL = Lowest (Price, Len); 　 Value1 = .33*2*((Price - MinL)/(MaxH - MinL) - 0.5) + 0.67*Value1[1]; If value1 > .99 then value1 = .999; If value1 < - .99 then value1 = -.999; Fish = .5*Log((1+Value1)/(1-Value1)) + .5*Fish[1]; 　 Plot1(Fish, "Fisher"); Plot2(Fish[1], "Trigger");

Seems like OEC doesn't like "insideask". Perhaps check with them.

The purpose of this posting is as follows: a) demonstrate our use of Chaos Hunter as we apply it to an intra-day scalping strategy for the ES; b) generate interest and possibly gain support from other forum members; c) collaboration with the objective of designing a better predictive algorithms; better money management & risk rules. Notes: d) BEFORE YOU LOAD THE ELD files, please view the screen shots for the ELD Files. If you have Functions with the same names, importing the file may lead to over-writing. e) Before you try to demo the strategy, please open the Strategy txt file and read our notes. f) We encourage forum members to trade this strategy only in simulation mode. Loading instructions: g) Import functions. The Locked function is the Haar Wavelet and it will expire on 12/25/10 rendering itself and the strategy unusable. {If we collaborate, we're happy to extend this time frame or we may elect to give you the indicator.} h) Cut and Paste the strategy into a new strategy. Please use NWA_ES_R3.(Thanks) i) From the screen shots, please follow the setup with particular attention to the DATE RANGE for the data set. The date range is important because variables are initialized in the strategy by a start bar. First bar = 09/26/2010 18:05 EST. We hope you enjoy the strategy; we'll endeavor to post more in the future. We would appreciate your comments and questions. RANGER & ZACHARYDW00 NWA_ES_R3.zip

Hi Urma Perhaps my questions was unclear. Do you smooth your price and volume data prior to regression modeling? I compared JMA a version of Hull and found them comparable. My partner and I compared JMA; Hull and Haar Wavelet MAs and found Wavelet more responsive. The Wavelet MA seems to make the curves with little under/overshoot. Thanks RANGER