razzbarry

I have an account at interactive brokers and they provide a free live feed down to the tick on up to 100 symbols. They have access to forex and futures. Beats $120 for esignal but I know esignal has better data. How much difference that makes in trading I can't say.

I feel you need software that will place indicators, support/resistance and trend lines on the chart so you can see where the important VSA conditions exist. There is too much going on on a chart to be able to decide what condition exists. Drawing the support/resistance and trend lines would be hard to do. And the conditions that span a number of bars would be hard to see with the eye. Besides there are too many conditions to keep in mind as you trade, especially if you trade with intra day time frames. There is a program being developed on Volume Spread Analysis and Trading Systems that provides a free charting program for AmiBroker. It is a work in progress. I am one of the programmers. To get the program you must register. The program is VPA.afl in the download section. Any suggestions or design help would be appreciated. Barry

First off you can't do this exactly as defined. The market is not open on the third of March every year so you have to get a little more sophisticated than this. I tested with Microsoft and found there were only 4 years that had data for Mar 3 so I changed the program to trade the first Tuesday of the month. The AmiBroker code to trade on the first Tuesday of the month is: Buy = Month() == 3 AND Day() < 8 AND DayOfWeek() == 2; // first Tuesday of month Sell = Buy; // sell the same day Filter = Buy OR Sell; You have to set Ami to go long only and buy the open and sell the close. No biggie. Back test says you gain 0.29% / year, not the best system in the world. Programming is very expensive. I suggest you learn how and there are many advantages to doing so. I use AmiBroker and I recommend it. I started with MetaStock but did not like it, others do, so it is up to you. AmiBroker has 1000s of code examples on their website and the owner is very active on their forum which is very helpful to newbies. Ami has a program for EOD data that comes with the purchase. There are also plug-ins for intra day data. Security Index, stock, ETF, etc.), bond and Forex data from Yahoo is free. For the data they have access to see, How to get quotes from various markets See AmiBroker's site for prices for the EOD and intra day versions. The price is very low but don't let that fool you, the program is very comprehensive even allowing live auto trading with intra day data feeds. But you have to learn to use their programming language to define your trading systems. That is a hurdle many stumble over and quit using it. But their code examples will help a lot if you try to learn programming. I auto trade using Interactive Brokers. IB provides free intra day data for all the above security types, and you can get data for up to 100 securities per account. You said you wanted to test this on commodities. Try Brite Futures for commodities data. This is a free source. Maybe someone on this forum could point to other data sources. If you find a source in .csv format Ami allows easy import of such data. Barry

Broken record is good and I appreciate what you are saying. I have been looking at this from a specific viewpoint for so long it is healthy to have someone to challenge what I am doing. I will take some time and try to look at it differently. Actually I had already started doing that. Thanks, Barry

Thanks for the suggestion. I have Bandy's book and have read it a number of times. The problem with back testing and walk forward testing is that it uses static data as opposed to live data. When designing systems for use with live data things happen during bar formation that static testing can't see. Of course you can prevent intra bar errors entering a system by trading on the close, actually the open of the next bar. But with futures the price can move so quickly that waiting to the next bar causes too much gain to be lost. Recently the TF contract has been moving 2 to 6 points in a bar early in the day. Would you really want to wait until the next bar? I don't. A feature in later AmiBroker is BarReplay. I have designed programs to use bar replay with tick and minute data. Analyzing a program in this fashion allows you to see how it will operate with live data. Using tick data you can see all the false signals that happen mid bar. That is a real eye opener on many of the indicators. They do things that are totally unexpected during bar formation. When using indicators but allow them to trade during a bar rather than at the close opens a whole bucket of worms that are invisible using static data. All the transient signals are invisible but can send a hundred signals, buy and sell, during a bar when the indicators are fluttering, such as MAs crossing up and down when the ticks are up or down a sufficient amount to cause a cross. Most indicators rely on a comparison with the last full bar. When using cross or such, if the system goes long and then reverts to short during a bar the system will act and go long but has no way to reverse itself since the cross function will not give a short signal during the bar since it was sort and still thinks it is. Only a system that can simulate live data can find errors like this. BarReplay is one tool that will allow analysis of the system with simulated live data. Bandy's book does not cover this type of environment or the testing of it. If you can, set up an Ami data base to capture tick data. Then play that back into your system on whatever time frame and watch your trading system. It will blow your mind. Barry

I really wish I could. But as I said we have been working on MACD MA systems for over two years and have not gotten it to produce good results. We have tried it on periods 1, 3, 5, 7, 10, 15, 20, 30, 45 and 60 minutes. The longer periods do better. Then we designed systems with multiple windows, each with a different time frame, up to 4 at once, with the same input, MACD and MA settings, and that helped some but not enough to trust it with real money. One of my partners was an options analyst at CBOT. We have been trying to program what he did successfully there. All looks good until we turn it loose with live data. Then pain and agony. The signal delays and problems with whipsaw and wild markets moves simply kill the system. Long trends we do well on. Sadly they are only about 30% of the time. We gain well on those but not enough to counter the losses on bad market action. We have tried other indicator conbinations with similar results. That is one reason I started programming VSA, to move toward some sort of pattern recognition. We have not gotten far down that road yet. Barry

How do you use this indicator? Do you trade it manually or automatically? Do you obey the signals or only take some? If you only take some what else affects the decision? Do you trade long on the green light and reverse on the red or do you go long on the white bar and reverse on the black? One of my main systems is based on short period MACD and one or two short period MAs, EMAs or DEMAs. But we do not use this manually. Our systems trade automatically, no human intervention. Auto trading on the red and green lights would run into whipsaw and late signals which would hurt performance, if it makes any money at all. On long trends it makes money but gives it all back and more during rapidly changing markets or shallow sideways moves. We have been testing all sorts of MACD and MA variations for two years and are not satisfied with the results. We are trying to move away from any type of indicator that uses averages, CCI, RSI, Stochastic, etc. Thanks, Barry

The point I was trying to make is demonstrated well by your chart. Going long at the point where the MA line first turns blue will be up the third bar of the trend. That may not be too bad on this trend but look where it gets out and goes short. You would lose 50% of the gain on the long. Then you get whipsawed on the short with a large loss. Then you get whipsawed more on the next long, short, long. But the end of those trades you would have a large loss on your hands. I have a system that makes 25,000% on a static back test. The system is based on MACD and two EMAs. When we run it with a live data feed using one contract RUT e-,ini, it may make $4000 to $8000 one day and down that much the next. Overall it loses money. So much for back testing, I am not a fan of BT. A lot of this is due to whipsaw when the market turns. But the rest and worst is the amount it loses with price action exactly as your chart shows. What I have been trying to develop is a set of adaptive trend lines that automatically follow the bottoms on longs and tops on shorts. When the market turns the system changes directions. To see what I mean draw a tend line or your charts you will see it gets you out very close to the turns. At times it will get out as the market turns into a sideways move. Looking at the exit point will show the exit, though early, gives a good return. Once I get those running I am going to try to add the VSA rules and then add the support / resistance lines. That would be more of a pattern recognition method. I have tried this with caned data with AmiBrokers BarReplay and it seems to work. Barry

I personally find that MAs do not give reliable signals. Me and two other have been trying to develop an automated trading program for use with AmiBroker and Interactive Brokers. We have tried any number of combinations and MAs from simple to adaptive to dema and ema. The problem with MAs is they delay too much in a trend. But that isn't the real problem. They do well in a long, nicely behaving trend but will eat your lunch in a choppy or sideways market. We have tried to use multiple time frames and pass indicators from 2 to 4 other time frames to the one that is communicating with IB. They do well on trendy days and kill us otherwise. I have been to design some sort of pattern recognition program and someone sent me an article on VSA. I think if one can nail it down and get the interpretation out of the mix one could do well. It pleases me to think so, anyway. But writing a program to do that has been a chore and I am nowhere near an automated version. If you try and do discretionary trading using charts and manually enter the trades you must be very disciplined. I suck at it and that is why I developed auto trading programs. Just my experience but others may disagree. Cheers, Barry

I don't agree that one time frame is better. But that is still up in the air. VSA is supposed to be fractal I trade futures intra day. Another guy and I are writing a VSA program for AmiBroker. The original is for EOD and I am updating it to work with intra day data. A crucial part is making sure it correctly displays the conditions Tom Williams defined in Master the Markets. I am currently using it to trade Russell 2000 e-mini, TFMO, contracts on Interactive Brokers simulated account. It appears that VSA scales well regardless of the time frame used. When I am trading I look at three charts - 1, 5 and 15 minute charts using IBs live data feed. One major problem with intra day data is that the volume for off hours is way off from normal trading hours. One would have to write a formula that will only average the day or night session so that the volume is not misleading. I wrote two programs for AmiBroker that does this for volume and spread averages. Both the spread and volume are key to getting VSA signals right. Another problem is getting it to display the support, resistance and trend lines correctly. They are needed to help interpret the conditions that pop up relative to price and volume. Once you have the trading platform set up you can look at the charts and decide when to take a position. Barry

You should start by reading Tom Williams book Master the Markets, free download from 4shared.com - document sharing - download Master the Markets by Tom Williams.pdf Print it so you can write notes on the pages. Office Max will spiral bind it for your for about $4. Once you have read it, read it three more times. It is impossible to understand it reading only once. Then if you have access to a trading program such as AmiBroker start apply what you learn by looking at volume and price charts and try to understand what is going on. If you have a broker that allows you to paper trade make trades based on your understanding. To get competent this will take months, or longer. Cheers, Barry