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BlowFish

Market Wizard
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Everything posted by BlowFish

  1. I have to say Bill most of what you say pretty much agrees with my own view of things. Zdo http://en.wikipedia.org/wiki/Fractal In the context of market data it essentially means you get similar patterns and behaviour on a 5 min chart as a 10 min as a 15 min etc.
  2. I am amazed that you get partials on the ES you must be trading 1000's at a clip With my modest size I don't think I have ever had a partial on the ES, your order would have to be top of the queue right as the market backed off to fill some and not the rest. As 10's of thousands tend to trade at each level your chances are much greater of getting nothing (or all). On thinner instruments like ER YM Z DAX etc. partials and splits happen fairly regularly. I do agree with your original advice though (unless you are putting orders in hours before as OAC mentions). EDIT: it occurs to me that if you are using a non native exchange order you may get issues. Still kind of hard to picture the senario.
  3. OK please dont get frustrated with me as you know I am a dunce when it comes to FX. (some would say that its not just FX but that's another story) I do wonder if it is partly a matter of terminology. With futures (for example) you would only count actual trades as ticks not 'order book' updates or changes in best bid best ask etc. If you can't differentiate a trade from say someone pulling a limit order you are p*ssing in the wind. (I guess that's your point put rather more vulgarly) In fact if you are counting order book changes that are not the result of actual trades in any way shape or form you are going to be way way off base, however a futures trader would not refer to these as ticks. Futures seem so straightforward sometimes FX and those that trade it seem quite different sometimes
  4. I certainly read the links and they did raise a couple of questions tbh as I don't trade FX I just filed them away for now. Seems that it is simply more sensible to stick to an approach that does not rely on volume data with FX or as I think Jocelyn pointed out trade futures. I do think Market Profile on forex might be interesting. Essentially that uses time as proxy for volume (at a level). It will go in my notebook as a potential area for investigation but is likely just to remain a curiosity.
  5. Don't give up! Personally I am keen to hear what you (and the other FX pros) have to say on the matter, hence the questions.
  6. Don't let my musings put you off Frank. You will feel at home with MC right of the bat. It will probablly do most (or even all) of what you require without having to learn a bunch of new stuff too. Good choice.
  7. I am not sure why you want high leverage? I am loath to mention them (as they don't have a great reputation) but you might want to consider spread betting. They will take money from you as you enter and exit but if you are holding for a decent amount of time it might be a possibility. Because of the small bet size most allow it would allow you some flexibility in position sizing, scaling in and out, money management in general. I should point out that having tried spread betting a couple of times it does not suit me but I like to try and fitness entries and exits. If you where swing trading or intraday 'position' trading they might suffice.
  8. I wonder if you FX experts consider it useful as a proxy to gauge relative volume? I think it is clear it has no value at all determining absolute volume but can any conclusions be made by comparing the number of changes today between 9.30 & 10.30 with the number of changes yesterday between 9.30 & 10.30? Or for that matter comparing this 15 minutes with the last 15 minutes? Just wondering. Also market profile seems eminently suitable for analysis of spot FX where essentially time (in the form of TPO's) spent at a level is used as a kind of proxy for volume. I have always wondered if anyone uses MP on currencies.
  9. Having been an early adopter of MC I am not sure I would buy into a new project. Actually, having paid early for the lifetime of the product its a little disconcerting for them to simply shelve the existing product and require all those early adopters that supported the development to pay again. No biggy I guess. On the whole I like MC and most of the guys and girls over there are really helpful getting you sorted out. Having said that I do have some concerns. Their design goal seems to be to follow tradestation as closely as possible for look and feel. For easy language thats great but for a lot of other things TS is hardly state of the art being based itself on supercharts that is positively archaic. I wonder about there design skills, there are few (if any) things that you think wow thats elegantly done. Over the years it has been a real uphill battle to get things fixed or simple changes made in implementation in a more trader friendly way. I don't think any one over there is a trader (though I may be wrong) compare that to say Laurence Chan over at Neoticker and there is no contest. If Neoticker had a more user friendly scripting language it would blow MC out of the water. It does anyway to be honest. I really don't think TSsupport have much 'vision'. An intermingled point is that if they do finally accept something really neat and fairly simple to implement (this in itself is a struggle as they can be pretty 'defensive' when dealing with suggestions) it will take months (or more) before something finally shows up. There philosophy seems to be push on adding features (many of which seem of dubious value) simply to tick boxes. Once the box is ticked they move on to the next 'box' leaving a half baked implementation behind them. Fortunately they seem to be catching up finally and core functionality is reasonable. Actually there development does not seem to be that controlled. Development cycles are fairly long simple things remain unfixed for ages you get hints of 'clunky' implementation and architecture and old bugs sometimes reappear etc. MC has turned into quite a nice product (though for me it was a painful journey) but starting again I find it hard to see how TSsuport will compete with some of the strong competition. For example Ninja only added charting a short time and a couple of versions ago they will probablly be on version 9 10 or higher before TSSupport have a new beta .1 At Ensign you make a suggestion to Howard and I have known stuff to appear in days. IRT they carefully watch whats 'hot' and it just shows up in there software. Neoticker will probablly do whatever you could possibly want right now with some programming due to its amazing architecture. etc. Anyway MC is now a good product (imo) however over the years it has cost me a vast (vast) amount of time and a not inconsiderable amount of money. (One of the reasons for writing this). I think MC2 I will leave until at least version 3.0 before taking a look at it unless it has an absolutely must have feature.
  10. Hi Bill, The point I wanted to make was simply that just because someone claims something to be so on their blog does not make it so:) One also has to be a bit careful with observations (rather than objectively tested data), especially if they are not your own. I could find no evidence on Tuckers blog that suggested any sort of scientific testing. Maybe I did not look hard enough. Thats not to say I disagree with what he was saying much has merit. My hunch why S/R 'works' is simply because many many people enter or place stops etc. around those levels. Does that make them 'self full filling', does it matter as long as they 'work'? Almost by definition these levels/zones are self fulfilling after all they are where traders tend to enter and exit the market. On a BO up through R, BO traders will get long faders will get short, shorts will cover etc. If you allow the same latitude with pivots (for example using the zone between (h+l)/2 and (h+l+c)/3) you may find that they do in fact 'act' as support and resistance. Along with yesterdays H & L many watch the mid point. Who knows without running the tests. Btw I found it interesting that your observations would suggest some information overlap with more derivative levels. What is important is that people find things that work for them. The path to acceptance is likely to be quicker if they can find a way to objectively test things for themselves. I think one of the many trading pitfalls is forming 'beliefs' on what you have been told are 'facts' rather than what you have established as true for yourself. In short I am questioning his method and results not his conclusion
  11. Well it sounds like you are doing great with it. Good job! Funnily enough that was exactly the improvement that I made to DBtina's code for PVP. Getting stuff out of loops (or eliminating them altogether) is one of the arts of efficient code. The code I have for VWAP SD and PVP does not have a single loop in it (except to initialise arrays to zero on bar 0). I am now pretty certain that this can be done in a non-iterative manner its just a bit beyond me from the maths/stats end of things.
  12. I love the look of Ensign the range of ways to visualise data is great. I have to agree with Kiwi in regards to ESPL being slow. IMO it is too slow to do any 'heavy duty' programming. Having said that it is really quite flexible in the range of things that it exposes to the scripting language. Multicharts has finally become fairly robust (despite a few remaining niggles). Personally I like the speed and ease of doing stuff in easy language. I have a couple of reservations about TSsupport but thats hard to quantify. A lot depends on what you want to do, sadly there does not seem to be a single package that covers all bases (for me at least). Ninjatrader is quite popular and fairly programmable, that might be worthy of consideration too.
  13. Gotcha, thanks. From what I hear AmiBrokers script language is pretty efficient in execution so I guess thats a plus too.
  14. Slowly trying to get my tiny mind round this. Do you Divide this value CentMom3 by SD^3? I see you add it to VWAP and multiply by the SD for plotting. CentMom3 = CentMom3 + (Prob * ((BoxPrice - VWAP) * (BoxPrice - VWAP) * (BoxPrice - VWAP))); Seems like you should to me. I finally had one moment of clarity (if you pardon the pun) still lots that's hazy. Anyone know of a better place than Wiki to properly learn this stuff?
  15. Hi Ron, If you peruse the markets stats threads you will come across indicators for tradeststation posted by Dbtina. Several packages can do what you need. Cheers, Nick.
  16. From reading his blog about pivots I would bet hard cash that he was once a student of Charles Drummond. Incidentally I can see nothing that suggests he has done any sort of research apart from eye balling some charts. Having said that he seems like a sensible sort of guy. Edit: I see he acknowledges Drummond at the end of the piece.
  17. If you 'doodle around' you discover that floor pivots have some simple but rather elegant geometric properties. Last time I checked the ES, it traded at the pivot about 68% of the time (easy to do with excel). Useful to know? Maybe. Self fulfilling probably, but I guess the same can be said for yesterdays high/low or last weeks h/l for that matter. The trouble with how most people do statistical tests is how they approach them. I have seen stuff that shows Fibonacci and Gann levels are no better than random also. Most testers seem to test whether the line works by testing if it is a price extreme "to the tick". How many S/R levels work to the tick? I Am sure you could show the same for PoC VaH & VaL though again these at worse are self fulfilling and at best 'real'.
  18. Jerry uses Ensign though there are other packages that will do the job.
  19. I thought when "vibration" "natural law" and "Gann" are mentioned in the same breath you would be talking about larger cyclical tendencies and how they are governed by planetary movements? Maybe I mis-understood what tunnel through the air was all about. Talking about 'squaring price and time' its a shame that more charting software does not allow fixed X & Y scales. Regardless of whether the 45 degree line has any 'meaning' you can see much more if you use consistently scaled charts. I never understtod why more charting software did not allow you to plot to a fixed scale. How many times do you see a 30 point drop (that fills a screen) then a 2 point range and as the 30 point drop scrolls off the chart bang chart rescales so the 2 point range so it is now filling the screen. No wonder some people need indicators to tell them 30 is bigger than 2
  20. I have always thought it would be interesting to write an indicator to look at the order book and tape compare orders filled with orders pulled ... add in ease of price movement too maybe. I have always had a hunch that seeing a level refreshed (or orders pulled) would be a good indicator of short term intent. If the splatter plot simply divides by block size and then plots a suitable sized dot it should be pretty trivial to code btw.
  21. The way I read this was if you know the skew of the set of variables you can determine the scew of any particular variable (like a newly arriving bar). I'd wager my stats are weaker than yours though! Thanks for the algorithm by the way. I am not particularly familiar with ambibroker but syntax dosen't look too dificult This might interest you http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance this was what inspired me to look for non iterative approaches to VWAP and it's SD's
  22. Personally I like plain old price action dull as that may be. With lower highs all the way across the chart there is no need to even look at the lows!
  23. Ondrej, Would you mind posting the bit of code that calculates the Skew? I find it easier to understand algorithms than formulas on the whole.
  24. I wonder if the fact that "The skewness of a random variable X is sometimes denoted Skew[X]. If Y is the sum of n independent random variables, all with the same distribution as X, then it can be shown that Skew[Y] = Skew[X] / √n." can be exploited to come up with a non iterative approach? I am having trouble understanding this. Doesnt it mean that you can simply calculate the skew for the first element (which will be zero right?) and then extrapolate from that. I don't understand how that formula can be correct. Its from http://en.wikipedia.org/wiki/Skewness
  25. I have been looking at precise vs averaged for a while now. On the whole the smoothed (average) seems to offer better trading opportunities. Hard to tell really, I certainly don't have enough data. I guess at some stage I will need to ditch one as it does introduce ambiguity. Of course an alternative would be to only trade when they are in agreement. Heres an interesting thing. Normally its the tick precise chart that jumps around but today it was the 2 minute (I guess just how the cookie crumbled).
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