Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.
dangermouseb
-
Content Count
39 -
Joined
-
Last visited
Everything posted by dangermouseb
-
I guess I see the idea of fractals like the idea of any stats - a high level summary. The auction process I see as a detail. The fact the auction process can account for trends would explain a fractal timeseries with trends. The auction process (although concretely in the moment by moment order book) happens at different timescales etc and a larger order at a different timescale my not manifest quickly or continuously in the order book. E.g. large orders get worked over hours, days and weeks not just at the smallest level and a volume by price summary is fractal itself depending on the period viewed. I'm still at the beginning of fractals - I don't expect to use them as a trading strategy other than maybe getting good at Hurst Exponent estimation. The higher the exponent the more trending and I understand different stocks exhibit different exponents (and probably at different times - heresy!!!) so I can use that as a sonar to find fish as it were. Other than that fractals at least explain that there should be money on the table until all the price series have a Hurst of 0.5 or Brownian noise - in which case it'll be time to find another livelihood. --DM
-
hmmm... a topic from a while back... I've been developing my exit thoughts about trading strategies and use this to frame: A) I have some analysis that indicates that price is about to do XYZ on a probabilistic basic, B ) I also have a strategy to take the maximum edge from that probability distribution. This is trade management and includes position size, entry (including scaling in), and exit (including scaling out). Montecarlo simulations show that for a given analysis, the amount of edge taken from the market by trade management can vary by up to 2 or 3 times the best to the worst. In market conditions where a random entry system works (i.e. with good trends going on) then the exit part of the trade management is the most important. In market conditions where a random entry system produces noise the analysis part of the becomes more important. -- DM
-
I've seen that come up in a few places. Velez have that opinion. I'm in the process of developing a framework to explain it - I know from my own day trading it is easy to do emotionally driven stupid things, that shoot myself in the foot. Using an asymmetric bracket order (say 2:1) at least keeps me from tending towards a non-profitable 1:1. -- DM
-
Ok here's a thought experiment... would Larry Conners (I pick that because I'm having a discussion about him with a friend) systems work on 5 minute charts? My hunch is that although we might see trends (drifts) at different timescales they will have differing personalities and although there are strategies that might be reasonable across drift personalities there could well be some drifts that are best traded in a particular style. Just a thought. -- DM
-
As a newcomer to this forum forgive my late reply. I’ve also studied Brownian motion – as a quant at a bank – and I share your questions. First let’s not forget that Brownian motion (pure noise I think) is fractal but with no drift. My assumption is that the challenge of modelling timeseries was to build in the correlation to the past – which is hard to do with Brownian processes, especially in a self similar way – take an OU process for example, there is only one mean to revert to and the process is not fractal. How important is 100% self similarities. For me the idea that there can be drifts at all timescales is important. I can catch a trend at the 1000 tick level, I can catch a trend at the monthly level and everywhere inbetween. A fractal approach is the only way I currently know that such a drift function can be constructed. Fractal to me doesn’t mean you use exactly the same setups etc (i.e. similar parameters) it just means that we can see the tendency at any level for trends, or counter trends (can’t even get my head around that one) and nothing is smooth. I the markets were noise it would be impossible to find an edge. So many people here know they have an edge and so I believe there is drift in the noise. Fractals allow me to believe that there is still drift and that I can make my livelihood in the future because of that. Fractals don’t tell me why the trends are still there or how they can be traded (other than with an asymmetric bracket order with random entry). The various forums here are focussed on finding reasons and ways to trade the persistent drift. How important to you is it to recognise when drift changes? A bracket order or a SAR will produce an edge in the presence of drift. How much effort is expended on the decision that drift has changed on a trade by trade basis? Could that effort be better spent elsewhere? And having said all this – I’m not making my livelihood yet ;o) -- DM
-
Thx... my hunch is twofold 1)that if a timeseries is fractal with hurst exponent > 0.5 then a random entry system should work, 2) that a market where a random entry system works (i.e. has trends) then the hurst exponent >0.5. I want to prove that to myself using some montecarlo generated price series. Basically I wanted to proved to myself that a fractal market isn't necessarily random. Also I want a hurst exponent estimator so I can see if there are trends in a set of data and see how effective that is at identifying good places to trade. I've done some googling already but you know what a chase down rabbit holes that can be. Has anyone done any analysis on random entry systems? -- DM
-
Hi Not sure which forum to post this. Can anyone resource me regarding, fractal and fractional brownian motion. I want to understand the components in estimating the hurst exponent, what long term memory means intuitively, how to generate series of fractal and fractional brownian random numbers to use in monte carlo simulations. Web links, books, authors, papers, insights, etc all welcome... Many thx -- DM
-
Introduce Yourself Here - Don't Be Shy!!
dangermouseb replied to trading4life's topic in Beginners Forum
Hi all, David Mark here aka DangerMouse. I'm an ex-UBS quantitative trader striking out on my own. I like to combine the experience of real traders with the analytical approach of quants. I'm open to any form of TA as long as I can test it statistically. I've been doing Van Tharp's supertrader course but I'm on sabbatical at the moment. I'm married with three children (2 boys and one 7month girl). I typically write a lot of code myself being largely disappointed with the quality of charting packages and the like. Currently doing research for my own trading strategy and getting into timeseries analysis. Also working on my business plan and trading philosophy. So that's me. I'm open to technically oriented conversation surrounding all areas. -- DM -
indeed... though the challenge of order book games is writing the software a) to reconstruct the whole order book, b) having it close enough to the exchange so that the information can be processed in a timely manner (typically measured in mS)... non-professional data feeds aren't fast enough to see the information before someone else (an IB or hedgefund etc) has acted on it... -- DM
-
Pls dp let me know the name of that add-in when you remember. Thx. --DM
-
I suspect DOM games are the domain of ultrahigh frequency traders nowadays (with co-located computers etc) and there is no edge available to the smaller player. -- DM
-
"you can use EasyLanguage (PRINT) to export/extract anything/anytime to a csv file." - useful to know. I was analysising someone else's trade results and they said they couldn't get out the initial stop or the ATR - so I was restricted in the analysis. the newer Excel does not have the limit - there's still the 2GB limit that 32-bit windows enforces (unless you play with the registry). My intraday database is much bigger than 2GB so having the memory management done for me by the DLL makes it much easier to use... Is there any generic ways to read CSVs - other than the cumbersome import dialog - for let's say I have 100 results and want to summarise them in XL? Cheers -- DM
-
Hey... When you say we - you work for a fund? "problem...45 minutes" - I do most of my spreadsheet work in VBA or if that's not fast enough VB6 (compiled VBA) or if that's not fast enough C++, for that very reason. Interesting about MultiCharts getting better at Excel linkage. Can it output trades and stops, indicator values at setup time etc for trade system analysis later on? Also can MultiCharts backtest a scanning trading strategy? E.g. trade the best performer from a basket? I'm curious about how people link to Excel. I can use YLoader (yloader.com) to download EOD quotes onto disk, as CSV. I have a COM DLL to load timeseries from disk into arrays in VBA (and into Excel if needed), which if there was demand I'm pondering making a version available as freeware - it does all the memory management so a large timeseries database on disk can be accessed easily without blowing up Excel's 1GB limit. Do you (or does anyone) use intraday bars in Excel? I'm thinking of Sierra charts (due to market profile functionality) - any comments anyone? -- DM
-
I've looked at most packages over the last few years - did an in depth review 2 1/2 years ago for my employer at the time. NeoTicker (the one I got into most) turned out to be a total dog - slow and cumbersome. AB keeps crashing one me randomly. Most software can't backtest scans which given that my first trading system was a scanning system I've pretty much given up on other peoples stuff and I'm writing my own stuff in Excel, VBA, VB6, C++ and possibly Smalltalk MT, and no doubt if I get statisically technical I'll use R and MatLab. (I'd probably use Ninja or OpenQuant as Bots if need be). I also use QCollector to download data almost-realtime. At least writing the stuff myself I'm not constrained to other peoples ideas, and it does force me to understand my trading systems. Anyone else using Excel as their main system? If so does any one have a great way of pulling in history into Excel / code? --DM
-
One more category... has quit their job to learn to trade (because they weren't allowed to trade [safely] whilst working) ;o)