BlowFish

Wont they diverge more? as when they are pegged high or low price can make new extremes but they can not?

What exactly are you trying to do? Maybe there is another way of approaching things.

Interesting. I wonder what sort of functions (broadly speaking) you find Haskell useful for? Are you just a fan or are there tasks that would be too cumbersome in C?

A bound oscillator will always diverge at times due to the normalisation. Price is unbound.

Came across this http://www.humanmetrics.com/cgi-win/JTypes2.asp The results surprised me a little. I thought I was more of a thinker and much less intuitive. Your Type is ENTP Extraverted Intuitive Thinking Perceiving Strength of the preferences % 56 88 12 78 One of the links suggests aptitudes for careers. I treated it as a bit of fun though tried to answer honestly (some answers would depend on mood somewhat) be intrested to see how you guys score

The way I would calculate the cash is have an arrays of 1..500 of last prices of each constituent and an array of 1..500 of weights. When a new event is generated because one of the constituents has a new tick I would add the difference between the last price and the new price multiplied by the weight to the index. Then move the new price into the last price array. This relies on the event that triggers things passing an 'index' to which data series triggered the event so you can get at the appropriate array element.

I guess it's worth asking do you really mean system or are you looking really for a methodology? If it is the former you might want to look at 'The Encyclopaedia of Trading Systems' if nothing else it is likely to reduce your expectations somewhat (which is probably not a bad thing). Do you have any programming skills? You will probably need to develop those a little before/while you develop systems.

Maybe because on many instruments (ES for example) it moves too fast nowadays? Or perhaps W would have used real time charts if they had been available to him then.

I thought they only aggregated ticks at the same price? So in theory they should turn at the same time.

Dunno, you would have to eliminate phase shift (lag) before you could meaningfully measure divergence in amplitude. I would take a look at signal processing approaches, Ehlers work springs to mind. I think the short answer is probably no - unless you know precisely the phase shift so can compare the amplitude of price now with the oscillator amplitude N (lag) bars ago. I think that might work but might not useful My knowledge of signal processing is pretty rudimentary though if memory serves there are a couple of guys here that where engineers in previous lives that might be able to answer with much more authority.

My thinking was that if it generates an event on every stream then you could get rid of the loop and just update the stream (subtract old value and add new value) of the series that generated the event. Hope I am makin sense just woke up from my afternoon nap

You might want to look at dbntinas code for inspiration. I think it has been published here somwhere.

I think you mean market structure pivots? Floor pivots are something different. This thread is about the former from what I can tell. a 180 bar highest high on a 1 minute chart is similar (but not the same) as a 3 bar high on an hourly chart. Depending on how the code is done you can get a good approximation like this. Some would argue a 'sliding window' of 180 minutes on a 1 minute chart would give better results than arbitrary hour bars. It's all about how you sample what is actually continuous data. There is another thread somewhere that talks about swing high swing low detection that might be of interest.

Does ninja generate a bar update event if any data series changes or just if the first one does?

Related but in light of the minimal interest not worthy of its own thread is the idea of 'hunches'. There are a couple of instances in Reminissences of a stock operator where Livermore talks about 'hunches'. He puts this down to information that he has accumulated subconsciously about market conditions. He believed hunches where worth following up.

With a lot of software (not just charting) you purchase a licences to use it, this is usually not transferable in the standard agreement (that most people click on but don't read when they install stuff). Having said that a producer may allow you to transfer it if you contact them. For example, I know a while back TSSupport did allow people to transfer the licence this might not be the case now that the price has gone up 30 fold from the price early adopters paid.

Quite right VJ, and one of the main reasons small businesses fail is under capitalisation. Trading does have certain specific requirements but it has as many similarities to any other business than differences.

83% of all statistics are made up on the spot! Actually all published figures that I have seen (rather than anecdotal 'evidence') are closer to 80%. This fits well with the pareto principle. There is usually a double digit percentage of people who just churn, neither winning or losing. Depends how you define lose, I guess does 5 years of winning mean you have crossed over? Take Schwagers market wizards for example most had blown up a couple of times before making it. What is more surprising is that most have subsequently blown up or just left trading. Personally I think there is a strong argument to assume less risk over time to avoid your personal black swan event.

Sam you are doing better than quite a few. Some people can not execute well in sim mode. To me that indicates that the fears go beyond that of simple financial loss. In your case that does not seem so. Not sure where you trade from or what you trade but if you have access to spread betting or CFD's (contracts for difference) you might want to look at those. They will allow you to trade smaller size than a full contract if you trade indexes take a look at SPY or Q's. Basically rather than going from nothing to a full contract trade pennies and just concentrate on executing flawlessly for say 50 trades. Douglas talks about this exercise in his book. Basically you have to say to yourself even if my stop is hit 50 times i am only gonna loose $100 (or whatever it is) but I will follow through to the end flawlessly.

My Gann natural law buddy sweard by Miles Wilson Walkers work fwiw.

Anyone ever have dreams about trading? I had one last night which is odd as trading is not particularly at the forefront of my concious thinking right now. I dreamt I took a short trade as price moved out of a multi day range , it broke down retraced a bit and formed a 'box' below the range and I went short. I held longer than usual and went to close a very profitable position and had platform troubles and could not. I decided to just hold over night rather than phone and close it or hedge. The following day price did a gap and go and kept plunging lower I closed at 6400 for a profit of 34,000 euros per contract. Price finally bottomed at 6300. Not sure what the instrument was. I did deduce at this point that I had not been able to close the trade the day before as the platform was not logged in!

There are levels of discretionary though some people use the label as an excuse for in adequate planning (I have been guilty of this). For example you might have a rigorous system of entry stop and target but allow for discretion in passing trades under certain defined conditions. Or you might use slightly 'fuzzy' terms (e.g. 'climactic' volume, strong momentum, low volatility, narrow range). Now you could go as far as describing these terms rigorously (and probably arbitrarily) or allow the trader some discretion applying them. It should still be clear in most cases whether they have followed their plan correctly. A third case is that the plan (strategy) is fairly loose, however in this case each trade (tactics) should be well defined. This is probably the most discretionary type of approach and does rely more on experience. If you are going to trade non discretionary it seems a nobrainer to get a machine (or more likely a broker) to trade it for you and so eliminate emotions on execution altogether.

I gather that nowadays 3 posts are required for full forum access. I can understand the thinking behind it and can imagine there might be more to it that meets the eye. (for example potential sponsors might be interested in 'active' accounts). However from a user point of view it seems to have increased the signal to noise ratio. Of course this is a small price to pay for an excellent forum and easily manageable, just thought I'd mention it anyway

You could apply the indicator several times with a different swing length parameter. So for example to get hourly swings on a 1 min try a parameter of say 180 for swing length.

Zoso this is presented for currencies. You will see that TRO sometimes mentions that any line (even random ones) will do. For ES you might try a line every 10 full points or perhaps every 50 ticks. As theses are 'psychological; lines Id go with the former.