BlowFish

'Baldy' (JR) hung out for a while fairly recently (18 months ago?) in a trading room called Sanuk. I seem to remember him having some health issues a while back. I hope he is OK.

Yeah I was aware of that though a programmer mate told me (un verified so take with a large pinch of salt) that their where some limitations in the feed if writing to Ninja/Zenfire API as opposed to using R|API. (despite being broadly the same) My big issue is the running "real time ticker plant" to maintain the data these indicators require. How much synchronised bid/ask data does DTN.IQ provide?

Well put Nate. I am not sure how you "trade MP from a completely stats based basis" betheball? If you would care to describe that then we might have something to discuss. The thing is MP has absolutely no valid statistical basis.It is completely heuristic. Of course that does not mean it "doesn't work" and if it works for you thats great. If you want to kid yourself MP has some statistical basis that's fine too. Anyway I look forward to hearing about your "completely stat based perspective" perhaps the discussion can move on then. "--Again, just semantics in my book." Then you have re written the book to support your view (which you have not actually described yet). It is clearly not 'just semantics'. I guess we are unlikely to have any meaningful dialogue with such different views. Financial data series are not normal as can be proven by employing any one of a number of statistical tests (I would guess Jerry might prefer Shapiro-Wilk ) or simply looking at the distribution. I would recommend you read the threads a bit more carefully most of this stuff has been discussed.

1) The key thing is that the method Jerry presents is based on stats whereas MP is based on heuristics. It's discussed at length in a couple of places. 2) Just cause it is bell shaped doesn't mean it is normal I think I am right in saying if the data is skewed it cant't be normal? Thats leaving aside fat tails and such like. (So even if it is not skewed it is unlikely normal with the tails that you see in financial time series) 3) Indeed the Shapiro effect is a simple price action trigger based on a previous bar breakout. Other triggers could be used. What is interesting is the circumstance Jerry tended to use it and those he did not. You could use market stats on a faster chart for a trigger if that is more appealing. 4) Open a chart of a couple of months of single tick ES bars with a VWAP and SD bands on and see how quick it calculates and loads . It is pretty easy to produce indicators that work fine they are available for a whole load of packages. It does not matter if you 'average' VWAP really anyway. Im sure a lot of charting apps do Coming up with a continuous algorithm is a different proposition altogether. PVP is a different matter, that was solved too. Anyway if you read more carefully you will see what the actual issues are and how to resolve them. 5) In a nutshell its a 'with trend trade', so safest for newbies.

I use IB too but not there charts. They do improve little by little each release but they still feel 'clunky'. Once in a while I use them to a) See what improvements there are b) To prove a chart is a chart is a chart and c) To not be overly reliant on x y or z tool.

BG thanks for taking the trouble to post a synopsis of your conversation. The new bar seems to be the 'secret sauce' bit of there work. There are several ways (that make some sense) you could pre process the delta before deciding whether to start a new bar. Obvious ways are some sort of normalisation....maybe by as simple a metric as range or total volume. I've always though constant delta bars might be interesting. Another way is by some sort of an automated 'divergence' type approach. Imho the best ideas are usually fairly simple and I would wager there 'algorithm' is. I'm with EL on this though I don't think I would invest too much time in something that I could not build for myself if necessary. Having said that I do like the simple clean look of it.

Does anyone provide a feed with any sort of bid/ask history? even a days worth would help. Obviously it would need to be time stamped or sequenced in with actual trade data. From this post it would seem DTN does. More days would of course be better, how much do they (DTN) provide? I travel a lot and so even if I leave a PC collecting data in one particular location any tools I rely on (like cumulative delta) I would need to get up and running on my laptop..... that may well be away from the internet for a day or two. Non tech heads might want to ignore this paragraph___ Does TickTypeEnum.AtAsk and TickTypeEnum.AtBid enumerate correctly in Ninja 6.5? I have heard in no uncertain terms it does not...that is the reason that people write to the the R|thmic API in fact I have seen criticism of the Zenfire API for getting stuff 'wrong' that R|thmic gets 'right'. (and so by definition Ninja 'gets it wrong'). Maybe no big deal I don' think 100% accuracy is required. ......Also be very wary of Tradestation and Multicarts most (if not all) the easy language code that deals with this stuff (I have contributed some myself) uses 'insidebid 'insideask' reserve words. These return the current best bid or ask not the value when the tick occurred. (The rumour is that is the issue with TickTypeEnum.AtBid If I could be inclined to, I would check it against using event driven processing ...OnMarketData I think it is called).

Sounds like you know exactly what the problem is Like many things admitting to the problem is the first step. By all means look at a few things to try and find something that resonates with you but at some stage you will need to focus on one thing and really work on that. Siming (or god forbid trading) before then is putting the cart before the horse at best you will simply waste time, at worse you may well pick up bad habits. The advantage of this approach is that it is pretty simple to learn and apply. Of course that will immediately put some people right off it!

I keep coming back to LeFevre must have read it close to a dozen times I guess. Apart from the many many pearls of wisdom there is so much to like about it.

What I would love to see is charts that not only are fixed in the Y scale but fixed in the X scale too and fill from the left to right without scrolling.. So the start of the session is at the left side always. Particularly for stocks, indicies and all the pit traded stuff. This is a wee bit more difficult for currency (trading 24 hours)........ pretty much like hand graphing. The advantage is that you can glance at a chart and immediately judge where you are (in price and time) and see changes in pace in a consistent way. You can also see instantly where and when things occured.

Hi DD...just to clarify I meant spread betting not spread trading...not available in some countries. This is very like CFD's to be honest (though hold some tax benefits in the UK for example). The useful thing for someone pursuing a strategy that requires a diverse (and so potentially large) portfolio is that it allows smaller sizes to be traded (bet really, as similar to a CFD the broker/bookie is the counter party). So where you might need a 350k account to trade a system on actual markets you could implement the same strategy in say a 35k spread bet account. Another (minor) advantage is that you have more flexibility in adjusting the size for the volatility of the instrument. you can bet anything from a quid on up per tick.

Andre actually found 'the most palatable results' where without pyramiding at all, that was all that prompted me to post to be honest. Without the pyramiding it is no longer the turtle system!! Incidentally I believe the turtle system used 4units rather than your 2, however I think they where 1/2 unit adds.The turtle system uses a volatility adjusted %risk per unit not a fixed percent. When you talk about reducing the risk is this after adjusting for volatility? This was another simple but elegant feature of the system. No. The turtle system does not increase risk - it keeps risk constant however it does increase size on winning positions to bring in those 600%ers. There are also rules to prevent too much risk across the portfolio. That is the elegance of the system the money management, it will make decent ('big') profits whilst strictly controlling risk. Incidentally I am not sure 1 year testing is sufficient for a system that tends to hold its winners for months at a time to be honest? Don't some of the winners run over a year anyway? Agree. Mind you that tends to be the case with most trend following systems. Actually not only are the drawdowns difficult so are the exits with the turtle system... price needs to make a 20 day low! (I think there was a 10 day version too). Sitting through a 20 day retracement must be hard! Any way, just to re-iterate my point is that the very essence of the system is the position sizing and trade management (including the pyramiding), it is not the 'break out', messing with those may improve the system (or your appetite to trade it ) but it is no longer "the turtle system". Edit: Maybe I am being pedantic about this but I also have grave reservations whether dinkering with the money management is likely to improve the system over the long run.

The way I would do it if I was starting from scratch is define a bunch of booleans at the start, for example OpenEqualsClose LongTail CloseHigh HighTailTwiceBody etc etc you get the idea I would then have a case statement with the appropriate combination of the booleans so for example OpenNearClose and CloseHigh and LowTailTwiceBody .......then do hammer code or set hammer boolean for later printing. Makes things very easy extensible.

Ahh of course thanks. <Doh>. Though I think once you reach lastbar on chart you should wait for the next bar before switching to real time processing to prevent having a bar half processed live whilst being processed as a historical bar.

Doesn't pyramiding ensures that you loosers are minimum size and your big winners are maximum sized? I guess you have read phantom of the pits? PoP does a much better job of describing why than I would. Links to the long and short versions of the ebook can be found here http://www.traderslaboratory.com/forums/f8/phantom-pits-1599.html In any case if you remove the scaling the system simply becomes a basic donchian breakout it is no longer resembles the turtles system Maybe it's a question of terminology. The management uses a constant risk system (adjusted for the volatility of the market). Contracts are added as the market moves N units in your direction. (N is dollar adjusted volatility). So as the position moves in your favour the risk is kept constant even though the position is growing. There is a cap on adds is it 4 units or maybe 4 adds? I'd call that 'pyramiding' though maybe others would not Still trying to get my head round how it can work with 70-75% losers if they are all the same size as the winners. Another advantage of the turtle system is that it fully monopolised capital whilst controlling risk. Fairly simple stuff but quite elegant too. Might I ask are you an old fashioned trend follower? If you have access to spread betting wherever you are located you could conceivably follow a lot of markets with a much smaller account.

If that was the plan then good job anyway! EDIT: I see from subsequent posts it was so good job. This comment is easy to make with hindsight......After the entry bar there was a 3 bar correction, I would have been inclined to move the stop above that. Also there was a 1 2 3 against your position just after that. Each are perfectly valid.

I think O'Neil was one of the first books I got long long time ago, certainly wont be the most recent edition. I did download a copy to the kindle last time I went for a break the charts where not so clear (not sure how to zoom only usually read stuff on it). I did re-read the extract you posted from pretcher though was loath to. The concepts there (apart from the wave count stuff) like 'wedging' shortening of thrust, moves and corrections and all that good stuff have been written about by old timers like Livermore, Dunnigan, Gann, and more recently by people like Murphy and Edwards & Magee. Anyway unless someone can tell me how to zoom on a kindle (increasing the font dosen't seem to zoom pictures) I'll pick up a new edition of O'Neil, you have been very clear how important you found it while I thought I understood his concepts perhaps I don't!!! Anyway thank's for taking the time to answer in detail and post those charts, I'll try to ask better questions in future

Probably not the place to take this but a blotter doesn't really prove much (though you have to wonder why any one would bother to fake it). Really the only thing you can use to judge what someone is saying is....what they are saying. There is a catch 22 there particularly for those with less experience of course. To bring stuff back on track this is one of the good things about this thread. "Trading Charts in Real Time". You don't need blotters or what not you can see potential entries posted before hand (often way before they trigger). Usually a chart with the action that triggers them, and one of the real crux's of the matter (as I know you would agree Brown) which is management of the trade to exit. About the best you could hope to manage in a forum environment. Who cares whether it is real money sim or all fantasy....the trades speak for themselves.

Thanks I think here is an interesting lesson here I don't wan't to put words in your mouth but it seems that you would not trade to the short side unless the recent fairly major support is well and truly broken. I can understand that as it keeps you clear of tests and prods looking for stops and such. And of course support that has developed over a month is likely to be a wider zone than support that has developed over an hour or two. A trade from higher ground(provided there was sufficient room to make target above support) would be a different matter. Presumably you would consider that counter trend so would want to see a good indication that shorter term resistance there was developing. I realise this might be over thinking things (a trait that is often not helpful) but I am trying to get a better handle on the contextual cues that you might be acting on (even if sub consciously).

Incidentally there was plenty of room to get out of the short without too much hardhsip. (assuming you triggered from recent action shown on the 15min)

Forgive me for flogging a dead horse but can you confirm you meant 1.0370(marked with the cyan line)? thats a good deal lower than the support established over the last month. I too favoured the long side until the prod bellow (it was quite decisive) though price was quickly rejected giving plenty of opportunity to get long.

Thanks. I had forgotten, good news! Guess I'll do my chores now and grab an early lunch to get back for that.

Not sure the problem is that its 'polled'. (though what do I know!!) Spot FX data is based on changes in bid/ask there is no actual trade data. The fact that Esignal get feeds from several networks mean they get a richer set of bid ask data and certainly many more 'ticks'. (remember a tick is a change in bid or ask not a trade). It's like comparing prices on Nasdaq to prices on a single Nas ECN. They will be close but unless the single ECN is currently best bid and best ask they will be different prices. I think Gain are a 'bookie' type broker? (not sure to be honest) They can further manipulate the prices quoted as they are the counter party to your bet. One thing for sure is FX is a bit of minefield

Is there way to tell if you are processing a historical bar (backfilling data) or a live tick? I could have swore that I had done such a think once but Im boogered if I can remember how?

TradeStation EasyLanguage Code these functions might help. I am sure you can find more on the interwebz. Candlestick detection is an ideal starter project to learn some easy language as it simply compares O,H,L & C's. Whether it is useful to trade with these patterns rather than reading the sentiment behind them depends on your objectives I guess. Edit: Its up to you what are suitable parameters for the indicators. I might require that a hanging man has 3 times the wick to the body tou might want 2.5. Easy language will simply detect what you tell it to.