unicorn

Bruce; and Walter; and Sparrow: Yes it does drive me nuts. Walter is putting in a lot of time. You have put in a lot of time. I have put in a lot of time. Now that Walter wants to come up with the final formulation, I believe that the tools that he and we will use must be in top shape. That's why I will help you clean the code. As a matter of fact I already did. The following code incorporates my suggestions for higher ema resolution. The added benefit is that this code will run faster, as it by-passes the Wilder's divisions in the previous implementation. Divisions need more cpu time than multiplications. // adxvma_U // Unicorn's modification to adxvma6 computation 18-11-2007 factor1 = 2 / (dm_ema_periods +1); //default for adxvma(6) is dm_ema_periods=11; factor2 = 2 / (di_ema_periods +1); //default for adxvma(6) is di_ema_periods=11; factor3 = 2 / (dx_ema_periods +1); //default for adxvma(6) is dx_ema_periods=11; alpha = 2 / (chande_ema_periods +1); //default for adxvma(6) is chande_ema_periods=11; for(i=i; i>=0; i--) //Main loop begins after history bars filled. { PDM=0; MDM=0; if(Close>Close[i+1])PDM=Close-Close[i+1];//This array is not displayed. else MDM=Close[i+1]-Close;//This array is not displayed. PDM=((1-factor1)*PDM[i+1] + factor1 * PDM) ; // REAL ema. MDM=((1-factor1)*MDM[i+1] + factor1 * MDM) ; //REAL ema. TR=PDM+MDM; if (TR>0) {PDI=PDM/TR; MDI=MDM/TR;} //Avoid division by zero. Minimum step size is one unnormalized price pip. else {PDI=0; MDI=0;} PDI=(( 1- factor2 )*PDI[i+1] + factor2 * PDI); // REAL ema. MDI=(( 1- factor2 )*MDI[i+1] + factor2 * MDI); // REAL ema. DI_Diff=PDI-MDI; if (DI_Diff<0) DI_Diff= -DI_Diff;//Only positive momentum signals are used. DI_Sum=PDI+MDI; DI_Factor=0; //Zero case, DI_Diff will also be zero when DI_Sum is zero. if (DI_Sum>0) Out=DI_Diff/DI_Sum; //Factional, near zero when PDM==MDM (horizonal), near 1 for laddering. else Out=0; Out=((1- factor3 )*Out[i+1] + factor3 * Out) ; // REAL ema. if (Out>Out[i+1]){HHV=Out;LLV=Out[i+1];} else {HHV=Out[i+1];LLV=Out;} for(j=1;j<stochastic_periods;j++) // default for adxvma(6) is stochastic_periods=6; { if(Out[i+j+1]>HHV)HHV=Out[i+j+1]; if(Out[i+j+1]<LLV)LLV=Out[i+j+1]; } diff = HHV - LLV; //Denominator of stochastics VI=0; if (diff>0) VI=(Out-LLV)/diff; //stochastic computation of modified adx. MA=((1 - alpha * VI) * MA[i+1] + alpha * VI *Close ; //Chande VMA formula. } // ENJOY ok guys. Try this modification and let me know. NB. I don't run MT, so I have not compiled and tested on that platform. Take care. Unicorn. and here are the modifications highlighted: // adxvma_U // Unicorn's modification to adxvma6 computation 18-11-2007 factor1 = 2 / (dm_ema_periods +1); //default for adxvma(6) is dm_ema_periods=11; factor2 = 2 / (di_ema_periods +1); //default for adxvma(6) is di_ema_periods=11; factor3 = 2 / (dx_ema_periods +1); //default for adxvma(6) is dx_ema_periods=11; alpha = 2 / (chande_ema_periods +1); //default for adxvma(6) is chande_ema_periods=11; for(i=i; i>=0; i--) //Main loop begins after history bars filled. { PDM=0; MDM=0; if(Close>Close[i+1])PDM=Close-Close[i+1];//This array is not displayed. else MDM=Close[i+1]-Close;//This array is not displayed. PDM=((1-factor1)*PDM[i+1] + factor1 * PDM) ; // REAL ema. MDM=((1-factor1)*MDM[i+1] + factor1 * MDM) ; //REAL ema. TR=PDM+MDM; if (TR>0) {PDI=PDM/TR; MDI=MDM/TR;} //Avoid division by zero. Minimum step size is one unnormalized price pip. else {PDI=0; MDI=0;} PDI=(( 1- factor2 )*PDI[i+1] + factor2 * PDI); // REAL ema. MDI=(( 1- factor2 )*MDI[i+1] + factor2 * MDI); // REAL ema. DI_Diff=PDI-MDI; if (DI_Diff<0) DI_Diff= -DI_Diff;//Only positive momentum signals are used. DI_Sum=PDI+MDI; DI_Factor=0; //Zero case, DI_Diff will also be zero when DI_Sum is zero. if (DI_Sum>0) Out=DI_Diff/DI_Sum; //Factional, near zero when PDM==MDM (horizonal), near 1 for laddering. else Out=0; Out=((1- factor3 )*Out[i+1] + factor3 * Out) ; // REAL ema. if (Out>Out[i+1]){HHV=Out;LLV=Out[i+1];} else {HHV=Out[i+1];LLV=Out;} for(j=1;j< stochastic_periods;j++) // default for adxvma(6) is stochastic_periods=6; { if(Out[i+j+1]>HHV)HHV=Out[i+j+1]; if(Out[i+j+1]<LLV)LLV=Out[i+j+1]; } diff = HHV - LLV; //Denominator of stochastics VI=0; if (diff>0) VI=(Out-LLV)/diff; //stochastic computation of modified adx. MA=((1 - alpha * VI) * MA[i+1] + alpha * VI *Close ; //Chande VMA formula. }

Hello Bruce; wilders(value, wilders_periods) = ema(value, 2*wilders_periods -1); hence wilders(c, 3) is ema(c, 5) wilders(c, 4) is ema(c, 7) wilders(c, 5) is ema(c, 9) wilders(c, 6) is ema(c, 11) etc. Now, I mention this because you guys are missing intermediate settings; in the above cited examples from smoothing using ema of 5 periods your implementation jumps to 7, and then 9 and 11 ema periods. Your programming the adx computation in order to have an additional smoothing (for a total of three smoothing operations as opposed to Wilder's two smoothing operations) may be lacking some effectiveness on account of using half the resolution because you move in ema_period steps of 2 i.e ema_periods = 5,7,9,11 as opposed to 4,5,6,7,8,9,10,11. I hope that my point is clear. Wilder did not mind that; then again he did not have any use for three smoothing operations; he was not scalping. Bruce (and Sparrow) you can code the vma vma[j] = (1 - f*f_adx) vma[j-1] + (f*f_adx) C[j] ; where f = 2 / (ema_periods +1) and f_adx is the stochastic_adx value. in the stochastic adx smoothing operations you can use smooth_x[j] = (1-g) * smooth_x[j-1] + g * x[j]; for the PDM, PDI, Out, etc. Then adxvma(6) will correspond to the new implementation using weightdm = weightdi = weightdx = 2*6 - 1 =11 stochastic_periods = 6 (the one called adx_bars) in the following code for(j=1;j<ADX_Bars;j++) { if(Out[i+j+1]>HHV)HHV=Out[i+j+1]; if(Out[i+j+1]<LLV)LLV=Out[i+j+1]; } and ema_periods = ChandeEMA = 11; the ChandeEMA variable in MA=((ChandeEMA-VI)*MA[i+1]+VI*Close)/ChandeEMA; Hope this helps in cleaning up the code. ;) cheers Unicorn.

Thank you sundowner, your answer is crystal clear.:thumbs up::thumbs up: Is your entry the red vma(4) crossing the green vma(6) or the white decema(12) crossing the red vma(4) ? could you please post the mq4 code for the decema? regards. Unicorn.

Thanks Bruce; I have not come across that point of view. I have some additional information though; given that the bop formula is if (H>L) x = (C-O)/ (H-L) ; else x=0; bop = ema( x, ema_periods); or bop = sma( x, sma_periods); if you have volume data, you can compute the accumulation_distribution Oscillator acc_dis_Osc = ema( (C-O)/ (H-L) * V, ema_periods) / sum(V, ema_periods); Walter, could you plot that as well on your charts, to compare which one is better for spotting divergence, the BOP indicator or the accumulation-distribution Oscillator? I know we do not want to be indicatorists, but the concept of divergence itself is based on comparison to an indicator's values, be it momentum, trend or volume indicator. Take care. Unicorn. NB. Amibroker can handle volume charts.

Thank you Walter. The ninja trader uses sma smoothing of the raw BOP values. I was using ema smoothing. Now I will follow your BOP divergences better. regards. Unicorn.

Hello sundowner; Nice trades. Why did you not take the first cross of the white curve (I assume no_lag_ma) and the red curve (I assume adxvma6(adxperiods=2) ). By the way please clarify: which indicator is the white curve, what value is the parameter? which indicator is the red curve, what value is the parameter? which indicator is the green curve, what value is the parameter? When did you exit the trades? cheers. Unicorn.

Hello Bruce; I thought that you have transferred to Ninja Trader. I realize that cleaning up the code is not your priority, BUT please explain 1) why the _16, or _12 or _6 suffixes, I thought that they are minor fixes... 2) why the _test3 ? what are you testing? what is the outcome? better, worse? 3) what is the minor bug? 4) what are the input parameters and their corresponding values, as selected by Walter on his charts. I have coded adxvma6 in Amibroker but the vma curves I get are not identical to what Walter has on the posted charts. What I worry about is the following: a) there might be a small bug that creates the difference ; small BUG - big disappointment! b) I certainly do not want the good attributes of the adxvma6 to be due to a small bug; and I certainly hope that after the bug is fixed, the shape of the adxvma6(adxbars=6) will not be transformed and become less successful in indicating the horizontal effect and the laddering. PLEASE paste on a message the few lines of code that have the bug and explain what the problem is; you can fix the bug at your convenience later. Last BUT not least, if you are going to place trades using this, you need as much verification by others, programming the same idea and verifying that it always produces the same desirable result. Take care. Unicorn.

Hello Walter; I understand that the vma research has come to a conclusion regarding the trade setups. A lot of versions have been developed: adxvma_12 bars, adxvma_16_bars, adxvma_6bars, adxvmatest3, you name it... and it is not clear which one is regarded as the best for this task. I would very much appreciate your clarification regarding which is the final version of the vma indicator used for the setup and the timing, AND the exact parameters used (because the charts posted do not show any parameters). Perhaps a chart in Ninja Trader would help to clarify the final settings. As always, your charts and presentations are appreciated. Regards; Unicorn.

Very nice presentation Walter; THANK YOU. :thumbs up::thumbs up::thumbs up: By the way; on the charts you have adxvma(2,1,sma) and adxvma(6,1,ema) I realize that the first number after the parenthesis is the adxperiods. what is the second number, and what does the sma or the ema average?? :confused: And I do have a request for the video director and producer: PLEASE let the time axis be shown in the chart window; it is difficult to reproduce the chart if one does not know the time of day. :pc guru: Looking forward to the next video; cheers. Unicorn.

Hello Walter; would you please post the BOP indicator, as implemented by ninja trader? Take care. Unicorn.

Great news !!! Now, there is no message editing at all... :helloooo: This is absurd. :confused:

Very nice concept Walter. It certainly deserves its own thread. Take care. Unicorn.

Very nice concept.

Hello Walter; I have been anxiously waiting for this new approach; How is the research on the "very cool combination of vma and Hull_ma" going?? Looking forward to your post. best regards. Unicorn.

Hello Soultrader; There is another peculiarity that the IT specialist should look into: The system does not allow the user to delete an attachment (say an image file that was uploaded by mistake), while it allows the user to delete the post. This is really absurd.:confused: Take care. Unicorn.

No Way... Hello Walter; I keep them coming. Your remarks and annotations are always appreciated. Take it easy buddy. Everybody, have a nice weekend. Unicorn.

Hello Walter; Very nice video, as always. :thumbs up::thumbs up::thumbs up: I found the 22 tick chart too fast. What are your research results regarding trades on the 55 Tick chart, or even the 89 Tick chart? Can we draw parallel tactics, as with the forex vmar trade methodology? cheers. Unicorn.

Beautiful charts Walter; and very clean description of the concept.:thumbs up::thumbs up::thumbs up: And Twiggs money flow, as you certainly know, is even better than Chaikin Osc. Now if this is a good signal to enter a trade, it is also a good signal to exit the previous (taken in the opposite direction). cheers. keep up the nice research. Unicorn.

yellow fast_vma( ema_periods=2, adx_periods=3, stoch_periods=3) cyan signal_vma( ema_periods=3, adx_periods=5, stoch_periods=5) red rainbow base_vma( ema_periods=5, adx_periods=5, stoch_periods=5) basically yes; with a slight difference: the last computation of signal_vma is sma(vidya, periods=2) (cyan) the last computation of fast_vma is dema(vidya, periods=3) (yellow) yes, but I have not spent enough time at examples yet. Walter see attached chart. What do you think?? Buenas noches. Unicorn.

band cross on the 11 tick chart, or are you using a higher tick chart say 55 tick? false breaks of __________ ?? can you annotate a false break on this chart? is it like your flip trade? is your regular chart the keltner channel (periods=100, factor=2.5) and keltner channel (periods=100, factor=5) ? regards. Unicorn.

Looking good :thumbs up::thumbs up::thumbs up: I see that you have an sma(t3cii ( ), 4), and have not used the faster cci. Walter, what is bop ? Why are you only looking at eurjpy? cheers. Unicorn.

can you please plot the e-signal futures eurusd and gpbusd ?? will you squeeze them so that a full day is presented in order to figure out if they provide fewer or more ticks than IQFeed. These are really nice. Thank you. regards. Unicorn.

Well Walter, I figured to use the yellow line vma(2,3,3). What do you think?? Yes indeed. Thank you for bringing this up. :thumbs up::thumbs up: The profit would be approximately 5 pips more, BUT you would have to be in the trade 30 minutes more and withstand a 12 pip range chop. :fight: I know I would find that very tough; and I would probably exit the trade sooner on account of the trade not moving in my direction after x bars. :frustrated::frustrated::frustrated: I will have to find a better exit. cheers. Unicorn.

Hello Sparrow; I would like to see the e-signal charts that correspond to those of IQFeed that I have uploaded. I would appreciate your effort to post them. Thanks Sparrow. regards Unicorn.

Walter, Ninja Trader can work with IQFeed data; ok; I know they are not free; but your currency futures will look good on tick charts. I have attached forex euro, cable and futures euro, cable from IQFeed, so that you have a feeling of what you can expect. In futures you get 5 to 8 times more ticks, at least for these two pairs that I follow. I bet I am not the only one interested for index futures scalping; Please do open a new thread on this topic. Your hull(9) and sma(hull,9),4) is excellent.:thumbs up::thumbs up::thumbs up: I wonder what else is brewing... cheers. Unicorn