BlueHorseshoe

Hi Perrin, As I recall, 'uncrossing' is a form of settlement process, and has different meanings according to the exchange. I think in some cases it may be as simple as the middle of the spread wherever that is a possible actual price. A volume weighted approach is also sometimes taken, I believe. One place to look for more info might be relating to the Hang Seng - I seem to recall that this closes completely for several hours mid day, and goes through a crossing/uncrossing process for each session (that could be complete nonsense though - it's years since I took any interest in stocks . . .). If you're worried about not understanding it fully, or the implications for your strategy, then why not just avoid trading into the close of session? BlueHorseshoe

Hi, You're talking about the ES, right? I agree that the prior day's high has a high probability of being hit, and that trying to estimate any further excursion beyond this is tricky; I concur that exiting at the prior day's high is therefore a sensible option. However, precisely where 'under the previous day's high' would one want to get long? The prior day's low would seem to make sense, wouldn't it? Now, how are you going to buy, market or limit? And what impact will each of these order types actually have (as opposed to what you might optimistically imagine that they would have) on your net profit, bearing in mind the typical daily range of the ES? By the time you've covered the spread plus slippage, or lost a few winners due to unfilled limit orders, paid commissions, and covered your other overheads, are you anywhere near to turning a profit? BlueHorseshoe

Hi Ikhan, You couldn't pay me to do it, no . . . but I can do it free of charge if you PM me the details and it's all pretty straightforward. I am assuming that the lines you're wanting to label are generated by some mechanical process and are not discretionary lines that you have drawn on the chart yourself? You'll also need to explain what it is that you want the lines to be labelled with. As I say, if it's possible then it's very easy, so I'll be happy to help. BlueHorseshoe

Spread betting? And what's with the 'Amerika' spelling, been reading Kafka? With other types of accounts such as futures and fx you can do this by using two seperate accounts. I would imagine that you could probably persuade your broker to recognise the link between both accounts and use credit from the one to margin the other - does anyone have any experience with this, by the way? BlueHorseshoe

Cheers for the link, ZDO. BlueHorseshoe

You might find what you're looking for here. The weather there is probably good as well . . . BlueHorseshoe

Google something like "easylanguage programming services" and plenty of programmers should appear. For what you're asking, I wouldn't pay more than about $40. BlueHorseshoe

Thanks for ascribing the 'PTT' acronym to the Pristine Trained Trader. It's a bit of a mouthful otherwise, and as it is a phrase I use many times in daily speech I am glad to know that it can be so adequately truncated in common usage. For anyone still struggling with this, here is a clear example: BlueHorseshoe

Hi Phil, It's not a stupid question (no question is too stupid to ask, as a rule). Hedging and what I think you're describing above are slightly different. With hedging, you're not expecting to make a profit (or a loss); the goal is to 'lock-in' or guarantee the current price. Suppose you own an airline and therefore your operating costs are dependent on the price of jet fuel. You're worried that the price of fuel is going to increase significantly over the next year. So you hedge, buying in oil futures. If the price of oil increases over the next twelve months then your long futures position should make a profit that will offset your increased operating costs. If you're wrong and the price of oil falls, then you'll lose on your futures position but this should be offset by the savings in your operating costs. You've 'locked' in' prices at the current level for the next year. This is in fact the original purpose of futures and options, and the whole reason they came to exist. What you consider above is perhaps more associated with Statistical Arbitrage ('StatArb'), or 'pairs trading', where the aim is to profit from the price convergence of two different assets. Assuming that the two behave in a similar way (correlation is not an appropriate measure for this though - the two need to be cointegrated), then when the spread between them widens then the one that is considered to be trading at a discount is bought, while the one trading at a premium is sold short. One does not need to be correct about both states to profit - it is simply necessary that the spread narrows over time. Unlike true arbitrage, statistical arbitrage is not risk-free; it is perfectly possible that the one asset continues to be 'discounted' while the other continues to trade at a high 'premium'. Hope that helps! BlueHorseshoe

Yeast will thrive and multiply in a warm sugar solution, defecating alcohol until the levels reach toxicity (what's that, about 14.5%?). Then the yeast is poisoned and dies. Self-poisoning in a confined environment is in the nature of its being. Similarly, it is in the nature of human beings to be short-sighted, rapacious, and self-poisoning. That's what 'thriving' as a human appears to mean. Though they were perhaps great American Indians, they seemingly weren't very good humans. The notion of sustainability absolute is one without telos, and those who adhere to such concepts are, ironically, usually the ones who get wiped out first. BlueHorseshoe

I think Gain Capital might have what you need. For free, here: GAIN Capital Rate Data Archive I have never used this data, so I don't know how complete it is. BlueHorseshoe

Exactly the information that I was looking for - Thanks Tams! BlueHorseshoe

The best place to start is probably to make a very small change to some existing code. I started with things as simple as changing the colour of MAs within the code. EasyLanguage means most things are made from building blocks (called 'functions') that have already been created for you. If you wanted to use an exponential average, for example, there would be no need to write the code for it - you'd just write 'XAverage' and then what you want the average to be of, and how many periods you want to calculate it over. Once you start playing around you'll be suprised how quickly you pick it all up! BlueHorseshoe

Hi, Sorry - I must have missed your original request for this . . . I had a look and, although it is possible to pad text (in fact, you can just do it by sticking " " in front of the text that you want), essentially it is always going to left-justify against the bar to which it is assigned. In other words, you're probaby not going to get anything better than what you've already got because the 'space' into which you want to justify the text doesn't exist (it's a bit like you're wanting to start writing off beyond the left edge of a piece of paper). I hope that makes sense and relates to your question? With these sorts of issues and TS I find it is always best to remember that functionality is more important than appearance. BlueHorseshoe

Hi, If you did want to try and learn a bit of EL, I believe that the 'Floor Trader Pivots' in TradeStation are each labelled with text, so you could open up the code for them in the editor, save it as a new file, and then have a play around and see if you can work out what things do. If you take the trouble to learn EL or any programming language you'll find it can be very rewarding. Hope that's helpful! BlueHorseshoe

http://shookrun.com/documents/fibofail.pdf BlueHorseshoe

I think if you take everything trading specific out of the equation above, you've pretty much described all management in all industries there! BlueHorseshoe

I think if you take everything trading specific out of the equation above, you've pretty much described all management in all industries there! BlueHorseshoe

Hi Suby, If people contribute this should be an interesting thread . . . Here are some questions that I think might be useful: Is volatility necessarily a function of both price and time? Can volatility be classified as directional and non-directional? Does volatility tend to be auto-correlated (ie does volatility beget more volatility)? When it comes to volatility and trend, then there is a basic question to be answered, perhaps not so much about how they interact, as what aspects of their interaction are relevant to your trading goals. That sounds a bit obscure though, so here's an example of what I mean . . . A few years back I sat and read through the document in which Kaufmann describes the justification, implementation, and application for the 'Adaptive Moving Average'. Normally I'm a sucker for anything that is convincingly explained, but I clearly remember thinking "this is all wrong" at the time. Kaufmann's AMA aims to give less weight to price change when volatility is high, and more weight to price change when volatility is low. In other words, it assumes that greater volatility is a sign of increased uncertainty about an instrument's value, whereas lesser volatility signifies greater consensus about an instrument's proper value. To me, this just didn't make sense. My mind ran along the lines of: "volatility means more price movement means greater participation means greater conviction in the current trend". When change is happening 'faster', I need my indicators to react more quickly. Essentially, I wanted to be doing precisely the opposite of what Kaufmann's AMA does; when greater volatility entered the market I wanted to be reacting more quickly to price change, and when volatility was low and the market was lazy, I wanted my indicators to become lazy/slower/greater lookback period in response. My wants are, of course, just a function of my goals. Someone with different goals may have different needs and Kaufmann's AMA might answer these. One can easily imagine that a long term trend-follower, shaken out by volatile consolidations once too often, may be interested in discounting the significance of volatile price movements within their definition of trend. I hope that gives you and anyone reading some helpful things to think about. BlueHorseshoe

Hopefully once your office build is complete you might find time to contribute here more regularly again - automated trading is somewhat under-represented on TL, I think. Regards, BlueHorseshoe

Hi ZDO, Thanks for replying. I suspected as much when I saw mention of 'genetic algorithms'. Although Vince's other work has been, on the whole, worth my time reading. Moving slightly off topic . . . My experience regarding Position Sizing has been that it is better to use some form of (anti-martingale style) money management than trading a fixed size or 'doubling down' . . . But beyond that basic epiphany it becomes shades of grey. The difference between fixed fractional, optimal f, and perhaps LSP model is, compounded over the course of ten years plus (I've never been interested in anything less - I'm not trading for income), is pretty much negligible compared to the result of trading a fixed position size. And the difference is better understood in terms of personal tolerance etc than net return. Is this something with which you would agree? Cheers, Bluehorseshoe

Hi Logic, Thanks for your reply. You're not here to promote your fund(s) (should they even exist) - I've tried to get that out of you in the past . . . and you're not here for idle chit-chat . . . One wonders why you come to TL at all? Until next time . . . BlueHorseshoe

Hi Steve (and anyone else reading), Mastering the Trade was pretty much my introduction to trading, and my personal advice would be to steer well clear of it. If you run backtests of the strategies (which is easy to do as he is very specific with entry and exit criteria), I think you should quickly see why I am making this 'un-recommendation'. But maybe others have found value in it that I missed. Regarding the 2nd edition - I browsed it recently in a bookshop, and the main changes seem to be the addition of some Hubert Senters chapters on trading gold, and the removal of the Market Profile section. BlueHorseshoe

Hi Logic, I consider myself somewhat persuadable - please could you share a little about the easier approach to creating systems that you advocate? BlueHorseshoe

Has any one read this? Is it any good? Thanks for your thoughts. BlueHorseshoe