BlueHorseshoe

Thanks for the explanation. If the code is patented, how come so many others are selling it, pressumably unchallenged by MicroQuant? BlueHorseshoe

Well we won't get into an argument about it because I don't really know or care - the point is that I have Helweg's code, and I was under the assumption that different code had been made available by Stendahl - is this correct, or did they co-author the same piece of code? Cheers for the clarification. BlueHorseshoe

Hi SunTrader, Wow - you really do have the original Stendahl code! Please could you direct me to where I can get hold of it? I only have the Helweg version which, from what I can figure out, was the version 'gifted' to TTM (and then subsequently de-credited by them). I'm curious to compare the two. I have an interview with Stendahl somewhere, but he doesn't give explicit directions for programming the indicator. Also, you say that you have added a "show me" dot to the indicator. Is this an indicator plot, as I didn't think it was possible to add a "show me" directly to another study rather than the main pane data? Sorry for all the questions! Thanks, BlueHorseshoe

Hi SIUYA, You mentioned the difficulties of programming support and resistance. I'm assuming that Sierra Chart has something similar to the diagonal trendlines indicator below? Far from perfect, of course, but it can provide a good starting point, and lines can be removed with discretion. Let me know if not - I'll post the EL code and then you can get someone to re-program it for your platform. BlueHorseshoe

Hi Obsidian, I'm getting rather off topic but . . . do you ever trade the USD/JPY pair, and do you have any insights into its behaviour that you'd be prepared to share? Despite a few profitable swing trades off the top of a channel when I first started trading (more luck than skill), in testing I have never been able to find a single consistent way to extract profits from it - it somehow seems to behave completely unlike every other market. Cheers, BlueHorseshoe

Hi Wrbtrader, It's good to hear that you're consistently profitable. Why have you put some phrases in your post in bold? Is it to highlight keywords for the search engine spiders to find? It's very clever of you. Maybe I shall start doing something similar . . . BlueHorseshoe Wrbtrader is a really great contributor here at TL. He is most definitely not a trading scam hoax fraud blew account lost money trading. :rofl:

This is interesting . . . Please could you have a look at the EL code? Is it credited to Mark Helweg? If so, then it's not the "original". Not that it matters in the slightest, of course - I'm just curious. Do you use Value Charts a lot in your trading? I'd be really interested to hear your experiences with them, as I've never used them in live trading (though I've done lots of sim testing with them). Thanks, BlueHorseshoe

I think one reason that people use charts which hasn't been mentioned explicitly is that some people are naturally visual thinkers. While I can grasp many mathematical concepts, for example, I'm not really very good with numbers; I struggle to see relationships between numbers, and can't even remember my own mobile number. Using a chart puts a load of forgetable figures into a historical, contextual, and highly visual relationship. The problem is that a good trader with a good head for figures will remember only the most salient data points. A chart remembers every data point, so then one has to find ways to "forget" the insignificant data. BlueHorseshoe

Hi Dude, I wasn't really trying to make any serious point, to be honest. I liked the sentence structure of your original post, and was simply playing around dropping different elements into it . . . I had a coffee break to fill. I agree with what you say about the different situations people operating in funds etc are in. It must be weird situation to be 'responsible' for such large sums of money and yet to be so hands-off. Similarly, one has to wonder what those whose job is to find price improvement must make of some of the orders that are handed to them. BlueHorseshoe

I sometimes get the feeling that a lot of quants who use stochastic processes are just maths wizards who also happen to have access to billion dollar hedge funds, and test their mathematical theories with orders in the market. And I also get the feeling that a lot of blue-chip traders who use fundamental analysis are really just conservatives who happen to have some spare cash, and test their belief in the preservation of established institutional monoliths with an intractable market stance. BlueHorseshoe

Hi, The 50% equity loss was from one single trade, not two. The reason for this is that no stop loss was used in the backtest. Nor did I use a stop-loss in actual trading. A stop could easily have been used, and this would have resulted in a smoothing of the equity curve, and also a lower net return. Because I was trying to run a small account up (the entire balance of which I could afford to lose) into something worth compunding, I chose to trade without a stop and 'swing for the fences'. What I got in 10 months of trading was exactly what might be expected - a roller coaster ride but with a better net return at the end. I would not have gone on trading without a stop indefinitely, and towards the end of this period I began searching for a robust solution to this problem (I think it's pretty fair to say that I didn't succeed in finding a solution that I thought was acceptable). Obviously all of this is a very personal thing and may not be what most would want to do. I'll repost the ECs above with some sort of stop-loss applied, and that could be useful for further discussion. I'll also post ECs with SIUYA's suggestions applied. BlueHorseshoe

I never suggested that Wyckoff ignores risk. I suggested that the quote you had chosen downplays this aspect. You can deduce what you like about my psychological makeup, but I think that the markets are indeeed "shark-ridden waters". Not a charity ball. As for "message board habitues", well you're the one with 2300+ posts to your name, so you should know pal BlueHorseshoe

That is very true. But if I take the considerable time required to provide quantitative evidence for every assertion that I make here, I would never have time for anything else. Trader Gregg doesn't appear to be providing any evidence for his claims either, so let's say that I've done the same and anyone reading can be left to decide who to trust (or better still, go away and research both approaches, as I myself have done extensively). I have never suggested that a trader should put themselves in a position that could result in the loss of their account on a single trade. This has nothing to do with risk management per se, and everything to do with entries (yes, I know - obsession with entry timing - the mark of the amateur trader!). If both myself and Trader Gregg were to trade the pattern he shows, with our respective entries, then we could both use, say, a three point stop. The same 'risk'.Over a large enough sample size, what you will find is that Trader Gregg would get stopped out more often than I would, and that the profit potential overhead (ie MFA) is, by definition, less for Trader Gregg than myself. If we were both to apply our entries in a market such as Crude, then he would doubtless do a lot better than I. But then I wouldn't be rash enough to recommend catching falling knives in crude oil . . . What I am saying is very simple: unless you can pick that short term bottom (within the context) in the ES with reasonable consistency, then the profit simply isn't there. The ES just doesn't move that much. Pick the "picture perfect" trade of this type in the ES, and you'll be lucky to get more than a retest of the prior high. In something like the Euro you could almost enter on the break of that high and still have room for the market to move. If a trader acknowledges this they can either "catch the falling knives" as I suggest, or do as MightyMouse is suggesting, and trade other markets that behave differently. If you're sure that what I am saying is incorrect, then you could simply cover the ES in your 'Trading in 90 Mins' thread. I don't think you will do this because I think that you're fully aware that the ES won't exhibit sufficient follow-through for your entries to be effective. Trader Gregg has used an example that illustrates his point very well. Unfortunately he has not chosen a very representative example for this instrument. See below. Oops - you've entered two points from the low - that was your potential profit right there - and now it's gone! Ignoring the un-representative example that Trader Gregg has chosen, you're lucky to get a two point move most of the time in the ES, even if you catch the reversal to the tick. I'll be interested to read your response if you post one, but beyond that I don't think it's a good use of either our time to continue this discussion. Thanks, BlueHorseshoe

This is all about understanding the characteristic behaviour of the market in question. As I keep saying over and over, the ES 'never really goes anywhere'. It exhibits a very poor capacity for follow through. By the time Trader Gregg has waited for confirmation from price and his indicators, the move will usually be over. It's much better to catch the falling knife and get stopped on occassion than to sit and wait for a reversal. In the ES, the 'reversal signal' is the move. This is hardly suprising. Traders make money by facilitating the transfer of risk. Although many vendors would like to create the illusion that risk can be eliminated by awaiting quadruple confirmations, it will be the trader who catches the falling knife (within a broader structure of risk management and position sizing) who will come out ahead. I read your excellent 'Trading in 90 Mins' thread every day, where you enter on thrusts back in the direction of the orignal trend like Trader Gregg suggests. If you were to look back through that thread you would see that one of my earliest questions was to ask whether you chose to demonstrate this in the NQ rather than the ES because the former displays a greater tendency for follow through, trending moves. What Trader Gregg describes is perfectly plausible, and probably the best approach in fact, for trading a market such as crude, the euro, and possibly the nasdaq. But not the ES! It's not depressing simply that Trader Gregg doesn't appear to know this (or fails to make this distinction); it's depressing that he's setting himself up as a role model for others to follow. If someone wents to be a 'vendor', then they should know what they're talking about. BlueHorseshoe

This is possibly the worst post that I have ever read on TL. It's just wrong through and through. A thoroughly depressing start to my weekend . . . BlueHorseshoe

I agree (who wouldn't?) with the essential nature of supply and demand. However, as I suggested before, what the Wyckoff allegory is missing is any sense of the inherent risk in this (or pretty much any) approach to trading. Risk isn't a reason not to trade, but I don't like to read colorful verbiage that glosses it over: "just jump on board and ride a trend, man, go with the flow". It's crass, reductive, and an unfair way to represent what a trader will doubtless experience. BlueHorseshoe

Although SIUYA's comments regarding competing in the HFT arena are sensible, I do think that it is worth trying to understand a little about how HFTs (and indeed any other major market participants) operate, and how this might impact on your own trading. In the case of HFTs this will most likely relate to the availability of liquidity at key times for your strategy. You might also bear in mind that to employ a quantitative, statistical approach does not mean you need to trade with high frequency. As I recall, Chan's strategies can involve holding periods of several months. Hope that's some help. BlueHorseshoe

It sounds so simple, doesn't it? I think what Wyckoff forgot to mention is that hitchhikers sometimes get picked up by heartless bad men who empty their wallets, slit their throats and leave them in a ditch. There's always someone on the other side of the deal with an agenda of their own, and quite often they're the ones in the driving seat. They can turn the car around at a moment's notice and run it off the edge of a precipice. Or deliver you safely to your destination and leave you with a false sense of security until the next time. There's always risk. But I hate extended metaphors . . . BlueHorseshoe

I know that, and I know that you know that - but sometimes if new traders are reading it's important to be totally clear on these things. Are you talking about me, Steve? If so, then I only heckled you whilst you were being rude to everyone. As soon as you started a quality thread of your own and began being civil towards me, then I'm certainly very interested in anything you have to say. BlueHorseshoe

Thanks Negotiator! BlueHorseshoe

No offence, Steve, but the only thing that can put a floor under price is demand and/or lack of supply. This is not to say that your distribution lines aren't a very effective way of anticipating this, but let's be clear - the market stops where it does due to supply and demand, and not due to a line on your screen. BlueHorseshoe

Hi Negotiator, Thanks for replying. My ability to identify trending or range-bound days early in the session is very poor. This is something that I wish to work on developing. Each day you post charts in the e-mini thread showing volume distributions - if I were to pick up a good general book on MP, would this enable me to understand how you are using these and the associated terminology, or are you employing a more specific approach with MP? This is just due to a different use of the word 'range', I think. By 'range expansion', I just mean a day with a high-to-low range that is significantly larger than it's predecessors. I'm using the term in the way that an author like Larry Williams or Toby Crabel might. Cheers, BlueHorseshoe

I don't think it's really 'counter trend'. It's pretty much what DB has been encouraging you to do over in the e-mini thread, and the 'trading in 90 mins' thread - identify the longer term trend - up, wait for price to retrace (a shorter term down-trend/bullflag/pullback/call it what you will), and then fade this shorter term movement back in the direction of the longer term trend. Looking at Steve46's posted chart, the main difference here is that due to the volatility of the news release, the retracement is swift and clean. But the entry criteria remains the same - as soon as the counter-trend movement appears to be over, fade it. Despite the volatility of the movement, the trend prior to this is clearly up. That means there is demand. When price moves rapidly to a better value for buyers, then it's highly likely that lots of buyers will step in and support the market. Waiting for a higher close etc is just a signal that the demand continues to be present. I hope that's helpful to you. BlueHorseshoe

I'm pretty sure I understand what you mean, but I think you need to clarify your statement a little . . . Pressumably you mean not to fade the up moves? Fading down moves, on the other hand, seems like the ideal scenario. For instance, having identified the direction of the trend for the day using techniques such as you describe, then why not fade every significant pullback? The only issue here is that some trend days (such as yesterday's) never really contain the kind of significant retracements that can provide low risk entries. I think that this then becomes a psychological issue - can I bear to sit on the sidelines and watch a market go parabolic without me on board, just because some specific entry opportunity hasn't presented itself? As far as trading the ES in higher timeframes goes, range expansions such as yesterday's tend, for the most part, not to exhibit significant follow through. So fading the ES at yesterday's close would not have been a completely foolish thing to do, though when we're in a clear uptrend fading an expansion to the downside would be a much safer bet. BlueHorseshoe

Thanks for taking the time to provide a proper reply to my questions Steve. BlueHorseshoe