BlueHorseshoe

Hello, I make all my trading decisions based upon a special proprietary indicator which I call 'XTradeCompass'. The code is a carefully guarded secret and I don't share the indicator with anyone. I use it as part of the following setups: The Cash Cow Six-Bar Dollar Catcher Theta Breakout Scalping Strategy The Sniper I get hundreds of requests from traders wanting to buy this indicator but it's secret and proprietary as its our in house indicator and I only share it with those I know have the potential to suceed in this game. This indicator will NEVER be released to the public. You can see a video of me trading with this indicator on my website - a thousand micropips on options in single stock gold futures yesterday - SWEET! Please do not contact me asking to buy this indicator. Hope that helps! BlueHorseshoe ps For more information about this indicator please contact me at bluehorseshoe@tradersgoldfutures.com pps Please ignore anything you read about me on the SEC website - it's all lies and they're just jealous because they're not making the kind of RETURNS that I am.

Hi wrbtrader, This of course depends on what you define as 'TA'. If you can give me a push in the right direction I will try and suggest some of the things that I know are common components of algorithmic strategies. Ultimately, most are still derived from price and volume. Many are what you might call 'evidence based' in that they are the result of data mining and value estimatition processes, often involving some sort or self-reflexivity or feedback mechanism which allows them to adapt to information changes in the way that a skilled discretionary trader might. Personally, I expect that such approaches are still far from emulating the processing capabilities of the human brain, but then obviously I don't know the full capabilities of the technology that's out there, so I could be very wrong! I always think that Wittgenstein's concept of 'family resemblances' is a good key to understanding the kind of limitations that computers face compared to the human brain. But developments in areas like 'fuzzy logic' could soon close the gap. BlueHorseshoe

His platform froze and he couldn't get an order in to exit the position.

Hello, I'm having lots of difficulties downloading data into TradeStation recently. When I try and download anything more than about 500 bars of tick data the chart goes into 'waiting for data . . .' mode. There is never any opportunity to schedule the download, and the data request doesn't appear in the download scheduler. When I then try and do anything else the whole platform freezes up completely, and requires a full restart of the computer before it will load again. Does anyone have any suggestions as to what may be causing this and how I can resolve it? Many thanks, BlueHorseshoe

I'm not cheering for anyone. Massive areas of the north of England are depressed, god-forsaken, post-industrial wastelands - the expenditure on three weeks of people in London chasing balls, throwing sticks and things around, and splashing about in over-chlorinated water is completely unjustifiable in my opinion. If only this money could have been spent on genuine regeneration . . . It's exactly the same sort of mindset that led to subprime - spend the money on having a good time now rather than think ahead. Not that I want to be a killjoy or anything! BlueHorseshoe

I have no idea how you guys who daytrade manage to mantain focus for a full session. Mine collapses after about 60mins . . . But then end of day trading is always an option if intraday doesn't suit or isn't practical. BlueHorseshoe

Hi Goodoboy. I'm not sure that I can claim to have significantly more experience than you, but based on my own experience I think that the best advice that I could give to you would be to learn to program within whatever platform you use. This recommendation stands regardless of whether you trade mechanically or with discretion. You will be able to test ideas very quickly and find out what works. You'll start to see the wood from the trees more - the results of repeating the same action thousands of times over. This often leads to suprises - many things that I expected to work actually didn't, whilst unlikely sounding approaches proved profitable. I could quickly try out and discard ideas if they didn't have merit. Although learning the programming language takes a little time, testing strategies afterwards then becomes a very quick process. I hope that's helpful, and good luck with your trading! BlueHorseshoe

And comparing those who disagree with you to your neighbour's bollock-licking hound qualifies as 'adult', does it? BlueHorseshoe

Just to be ABSOLUTELY clear - the pattern Steve46 identifies is in my opinion valid and perfectly tradeable. If this is the sort of strategy he teaches his students then they could certainly do far worse with other vendors. However, I personally find it unlikely that this type of movement is a source of profit for HFT firms. Steve talks about movements of twelve to sixteen ticks; the average HFT position is reported as lasting approximately 22 seconds. Not many sixteen tick movements occur in 22 seconds. Even supposing that this pattern is precipitated by the accumulative actions of HFTs, this offers no real insight into how such algos operate for single tick profits. BlueHorseshoe

Hi Swing_Trader Unless you want to be dealing with the kind of sums that the big HFT firms work with, surely as a solo trader you could make a decent income without needing to scale? Have results since you began live trading broadly matched your expectations? BlueHorseshoe

If you read my post more carefully you'll see that I didn't say that bots and algos are "implausible" - rather, I said that the idea that any individual has a comprehensive overview of the many different bots and algos and their impact upon the markets is implausible. They're not all doing the same thing in the same way, you see. Let's hope you take greater care when you're looking for bots than you did when reading my post . . . BlueHorseshoe

It would seem that my attitude to all this would be the opposite of most. 1. Trading my own money I want the low volatility of returns that most fund managers target in order to attract investors. Whereas most independent traders tend to quote 'being able to take on greater risks to achieve larger returns' as a benefit of not trading other people's money. 2. If I was trading other people's money and, hypothetically, could do so on a completely unregulated basis with no question of repercussions, then I would swing for the fences with money management in the way that Larry Williams did in the competition. It's other people's money - what would I care about the volatility of returns or risk profile? There's no real downside, for me, and unlimited upside. What do others make of this? Is this a logical conclusion, or should I be working with the other sociopaths at Goldman? BlueHorseshoe

I was aware of leasing seats, the potential savings for trading volume, and the bid/offer process. But I thought the process also involved an interview at the exchange, or is this just for purchasing a seat? BlueHorseshoe

Thanks, Onesmith. That pretty much answers my question then - never trust wikipedia! Cheers, BlueHorseshoe

That's probably a good idea, as I didn't test the code myself - if it doesn't work though, I am sure Onesmith's will! Regards, BlueHorseshoe

Now let me tell you about similar bots from firms B and C. They aim to exploit the same opportunity. However, firm B performs their "pro-rata estimation" of the hidden state or 'tipping point' using Markov Models adapted to non-linear time series. Their estimation is a little different to that of your firm. Firm C, meanwhile, well they use a process used for modelling half-life exponential decays in radioactive isotopes to derive their exits. Except they've modified it a little, fitting it to a data series by discounting jump processes, yada, yada, yada. They'll be executing an order around here as well, but not at the same point as your firm, or firm B. What you now need to do is go through the alphahabet a few times to describe other firms. Then once you've finished you need to choose a whole new concept and go through the alphabet a few more times for that . . . And then repeat . . . What have you got, Steve? That's right - 'alphabet soup'. The idea that you (or indeed any single individual) has any kind of overview of how bots affect the market is not very plausible. There is no "basic outline". Too many bots, you see . . . BlueHorseshoe

The concept that I am exploring is the use of a cointegrated pair as a risk management tactic within an existing directional strategy. In other words, entries will be derived from the behaviour of a single instrument that has alpha, rather than from the spread between the two instruments as is normal in stat arb. I have no way of knowing whether this will work until I am able to program it in at least an approximate way, but all the building blocks I require (cointegration, covariance, beta . . .) are completely new to me and understanding them is quite a chore. Incidentally, I am led to understand that Kalman Filters are sometimes used in place of expected value or arithmetic mean within the covariance calculation we were discussing in another thread . . . hence my whole questioning in that thread may be completely moot. It all takes so bloody long . . . BlueHorseshoe

That's helpful, thanks. Your understanding of what I am describing is correct - it's basically a weighted average where the weights are derived from a discrete probability distribution, pressumably gaussian. My question is not so much how to implement this in EL (although that might have been my next question), as to whether the Covar function code provided by TS is 'wrong'? The wikipedia definition of variance can be found here: Variance - Wikipedia, the free encyclopedia The notation uses the 'expected value' E or, seemingly interchangeably, Mu, rather than X bar arithmetic mean used by TS: Any ideas as to whether one or the other of these is categorically correct? Thanks for drawing my attention to the zProbability function in TS. I assume any similar process such as Ornstein-Uhlenbeck would be equally valid (or invalid!)? BlueHorseshoe.

Hi Onesmith, Thanks for your reply. Unfortunately the difficulties of finding any kind of consistency of mathematical notation between different resources, given my limited mathematical capabilities, means that I have do not have a succinct specification from which I am working. Hence I am not totally confident that my formula is based upon a correct interpretation. Would there be any advantage to your arrangement of the formula in terms of processing etc? Regards, BlueHorseshoe

Here is an attempt at EasyLanguage code for a Kalman Filter, based on what I have been able to find from wikipedia etc: Inputs: G(0.0001); Variables: X(0), Y(0), K(0); If Currentbar>1 then begin X=(K+((C-K)*(Squareroot(G*2)))); Y=(Y+(G*(C-K))); K=X+Y; End; Plot1(K); If there's anyone who has knowledge of EL and Kalman Filters who can check this over then that would be greatly appreciated. Cheers, BlueHorseshoe

I doubt it. Otherwise I'd be loaded Academic achievement, in fact, probably doesn't correspond to very much at all outside of academia. What's more, trading performance probably doesn't correspond to much outside of net return; look at the turtles, where many of those who were the least successful as traders now manage the largest funds - they had another skill - understanding how to adapt their models to make them marketable to more risk-averse investors. BlueHorseshoe

Hello, I've just been looking at the 'Covar' preset function in TS. It seems wrong to me. Here it is: inputs: Indep( numericseries ), Dep( numericseries ), Length( numericsimple ) ; variables: IndepMean( 0 ), DepMean( 0 ), Sum( 0 ) ; if Length > 0 then begin IndepMean = Average( Indep, Length ) ; DepMean = Average( Dep, Length ) ; Sum = 0 ; for Value1 = 0 to Length - 1 begin Sum = Sum + ( Indep[Value1] - IndepMean ) * ( Dep[Value1] - DepMean ) ; end ; Covar = Sum / Length ; end else RaiseRunTimeError( "Length input to Covar function must be > 0" ) ; { ** Copyright (c) 2001 - 2010 TradeStation Technologies, Inc. All rights reserved. ** ** TradeStation reserves the right to modify or overwrite this analysis technique with each release. ** } Am I correcting in thinking that where TS is using X Bar they should be using E, both in the IndepMean and DepMean calculation and in the summation process? In other words, shouldn't IndepMean look something more like this . . . For Value1=0 to Length-1 begin Sum=Sum+(Price[Value1]*P[Price(Value1)]) ; End ; IndepMean=(1/Length)*Sum; . . . where P is the probability of the occurence of Price[Value1] within a discrete probability distribution? BlueHorseshoe

Here you go: Inputs: Hcol(Green), Lcol(Red); Plot1(H+(1 Point),"Hplus",Hcol); Plot2(L-(1 Point),"Lminus",Lcol); Hope that helps! BlueHorseshoe

Hi Db, Your charts show trading from the open, pressumably to take advantage of the increased volatility at the start of the session . . . You are also showing trades for the NQ - have you chosen this instrument because it generally exhibits greater volatility than other indices such as the ES? Do you think that the approach you're demonstrating would work equally well in the ES? Thanks BlueHorseshoe

Or . . . Don't try and pinpoint a bottom, don't wait for confirmation - catch it as it falls! The harder it falls, the more you catch. Markets exist to facilitate the transfer of risk - they tend to benefit those who enable this process by absorbing risk. Risk is perceived when price moves away from equilibrium - but price always reverts to a state of equilibrium. The only question you need to answer is to which particular state of equilibrium a market is returning. Picking short term bottoms in long term uptrends (and visa versa) can be a great way to trade . . . Just my 2 cents though! BlueHorseshoe