@simplex
Active 1 year, 7 months agoForum Replies Created
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Maybe gg53’s ghost is possessing him for a joy-ride.
(Now, Saver, you get to know how Gadi felt while trying to explain fractal arrow prediction without explaining fractal arrow prediction!)
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Thinking out loud, I hypothesize that type 1 is …
A bit of hypothesizing can be fun from time to time, but to start a good discussion on the topic some more information about the system would come in handy. A bunch of pics is quite weak to provide a good foundation for improvements or at least understanding how everything is supposed to work.
Just my 5 cents for the moment.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
I’m curious how this restart will develop. Coincides with my personal restart to FX.
Interesting!A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Guys,
I’ve been busy for nearly 8 years or so dealing with that non-FX part of my life. Wasn’t always nice. I have been thinking about taking a new approach regarding FX for several months now.
Now Saver0’s mail regarding his trading system and moving our good old Penguin site to a new domain triggered me. My old login obviously is still working over here.
I’m looking forward to see what I can find here.
CU, sx
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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In this Video, I lay bare my 100% winning trading strategy based on mathematical algorithmic calculations …
IMHO, nothing is being ‘laid bare’ here. Maybe I missed something due to poor audio quality, but I learned nothing about your math or your algorithms.
If you really like to share and discuss algorithms, just post them here. If they’re really worth it, there will be a response.
When chatting on YouTube about some colourful charts, anything may sound reasonable – or nothing.
When posted as a textual description, or better mathematical formulas, or a working (?) source code, a real discussion can start. But beware: gaps in your logic could be uncovered very soon.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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Gaber,I think the best way to start a discussion about yort plans to write an EA would be to start a new topic by describing your current status in a First post. If you have already a source available – clean or buggy – it would be a good idea to post it.
You need to make your ideas as clear as possible in order to draw some attention on your ideas and start a discussion.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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@anti: I remembered our discussion (2 years ago) when I stumbled upon a more recent interesting article: Naive Bayes classifier for signals of a set of indicators, which is also available in German.
Cheers, s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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Hi,
I have the original DVDs that you are looking for because I am also a registered owner of the software. I will see if I can copy it.
Hi Fat Tony!That’s really interesting! Since you’re a registered Ocean Software owner, could you spread some of your experiences using it in practical trading?A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Yep, IIR vs. FIR filters in shorthand! If considering Ehlers’ lowpass proposals, I would rather have a look at his ‘Supersmoother’ (IIR). Simple, smooth, adjustable.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Hi Anti,
There are several mq4-versions of ‘Zero Lag’ filters out there, and not all of them are original Ehlers’ works. I assume you’re referring to the one described in this paper.
I tried it years ago, and there’s not so much lag indeed. But on the other hand its smoothing capabilites are not so brilliant – the typical tradeoff to consider when defining a lowpass filter. That limited smoothing has the potential to produce a lot of whipsaw signals.
Given a good overall strategy, it ‘might’ serve as a fast price proxy for trade timing, but that’s all I remember at the moment.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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Hi to be honest I am working how link builder of alpari.com
So I kindly ask you to stop this practice! Penguin’s currently follows a strict policy to allow non-commercial content only.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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Hi Carlos,
I read your most recent 3 posts and all of them contain links to brokers’ websites. Could you please explain? To be honest, this looks a bit suspicious to me regarding spam.
s.
EDIT: spam content moved to the trash bin.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Hi Carlos,
I read your most recent 3 posts and all of them contain links to brokers’ websites. Could you please explain? To be honest, this looks a bit suspicious to me regarding spam.
s.
EDIT: spam content moved to the trash bin.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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Re. hedging:
I would say: Don’t bother with hedging, especially when scalping and hunting for 1 to 4 pips!
Case 1 – single-pair hedge: Say you open a BUY on pair XY, and market acts against your position. Ok, you could open a SELL on XY (equal size). From now on, both trades would even each other out, but you will pay trading cost twice. If you had just closed your first trade, it would also be neutralized immediately, and you only paid trading cost once. So: why hedging?
Case 2 – multi-pair hedge: BUY XY, running against your position. Your idea is to buy equal value YZ to hedge. Now you pay for your trade twice and have to ‘care’ for two trades from now on. You could also close the XY trade and buy XZ instead: costs you for two trades also, but you have to ‘care’ for just one trade (assuming equal trading cost for the different pairs).
I think user ‘Hanover’ @ FF posted some detailed calculations about hedging vs. non-hedging in FX. His résumé in short: single-pair hedging makes no sense in FX.
In my opinion, that ‘Case 2’ hedge is ok if (and only if) you’re trading a multipair strategy and the XY and YZ trade come from independent trade setups for each pair, and your overall strategy acknowledges that your paying multiple cost. When scalping, single trade cost is always to be considered.
Re. ‘pips’:
‘Pips’ are nice for traders’ smalltalk, but don’t use pips for serious calculations like money management. One pip has a different value on different pairs. For MM use universal units instead, like ATR multiples or similar, or at least normalize the original pips.
s.
Oops: now the post I was referring to is gone!
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Ha, thanks for those links! A lot of stuff to read …
The ‘multi-bandpass filter’ heading immediately got my attention (reminds me of my old Ehlers’ works in mq4). Yet have to postpone in-depth reading for a while!
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Hi @flx23,
Did you proceed your project / ideas in silence? Any ideas to bring this thread back to life?
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
… and one more idea: the D1 trifurcation could possibly be caused by weekly cycles. So analyzing five weekdays separately may bring insight.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Interesting! Thanks for your work and posting it!
In the H4 you can see that the point cloud widens and there may be a bi- or trifurcation. The same bifucation can be seen in the D1 much better. What could cause that bifurcation?
In H4 and D1 you appear to analyze a time period of about 7 – 8 years. In order to find out more about that bi- or trifurcation, I think it would be interesting to split the data in (possibly overlapping) chunks, perform the same analysis on each of them and see whether there’s a trend, or maybe a sudden change in the appearance of your data clouds along the timeline. Analyzing the variation of slope, intercept, and R2 along those chunks may add some insight.
One idea re. the dramatic decrease of R2 in H4 and D1 as compared to shorter TFs: those longer TFs consist of candles which reflect trading activity throughout more than only one session, while H1 and shorter candles reflect data from only one specific session each. This fact may be important for all volume specific statistics.
Writing that, one more thought comes to my mind: not only dividing the 8 year timeline in several chunks could be interesting, also looking for daily cycles by analyzing (H1 and shorter) hourly chunks of data separately. My guess would be, that in such an analysis ‘Atlantic’ pairs like EURUSD and GBPUSD will whow different behaviour than ‘Pacific’ pairs like CADJPY or AUDJPY.
Enough ideas for homework over the weekend???
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Hmm, rethinking this, my latest idea will lead to a certain number of ‘divide by zero’ errors. So a different method of normalization would be nice.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Nice work!
I haven’t been around so frequently these days, so please forgive me if my thoughts on your latest post do not consider topics that have already been discussed.
When developing an algorithm for trading purpose I’m always heading for two major goals to simplify practical usage:
- If possible, the algo should be symbol independent.
- If possible, the algo should be timeframe independent.
You posted the following core algorithm in your source file:
buff=Volume-(12.12+148200*(2*(High-Low)-MathAbs(Open-Close)));
Generally, I think it would be interesting to learn about the constants (12.12; 148200) when looking at specific symbols to cover that part. There will be systematic variations.
The price part 2*(High-Low)-MathAbs(Open-Close) obviously is not timeframe independent, its value will grow by a factor of
sqrt(2) * (tf1 / tf2)sqrt(tf1 / tf2). Hence your constants will vary systematically over different timeframes.Considering the modification 2*(High-Low) / MathAbs(Open-Close) you might overcome this to simplify further usage. What should remain is non-systematic variations (noise) over different timeframes. Any thoughts?
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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Interesting! Should be worth to watch further development of this new platform.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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I’m afraid I don’t have more than a very vague idea about the indicator you’re after.
Could you maybe post your requirements in a little more specific way, i.e. a set of formulas, or a calculation in a spreadsheet?
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
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5. At each point in time the underlying behaviour of the market is either up or down. There is no such thing as a sideways market. …
6. A true sideways market only exists if the fundamental economy behind an asset is dead.
These two statements appear contradictory to me. Looking at both statements individually, I’d like to add following thoughts to the discussion:
re. 5.: Just have a look at EURCHF a few years ago, or EURDKK now: pegging a certain currency to another one by central bank activity can certainly lead to a sideways market in FX, until CB strategy is changed.
re. 6.: In FX, we always have to look at the fundamentals of at least two currencies / economies, if we want to consider economic fandamentals in our trading decisions. So in order to consider the ‘pair’ character of FX I would say something like ‘A true sideways market only exists if the fundamentals of both economies behind an asset are developing exactly in the same direction.‘
So I would say that a ‘true sideways market’ can exist in FX for a certain period of time.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Re. lowpass vs. bandpass filter:
I generally agree that a lowpass or some similar approach should act as a primary filter.
Guided by earlier Ehlers’ papers, I tried for some time (long ago) to measure current price frequency, and then tune a bandpass accordingly. As you might have guessed from my above post, this approach was not successful
But this afternoon while reading your opening post I had the idea to revisit bandpass filters from a different perspective, as a possibly additional criterion.
Let’s say a lowpass (or whatever) is our primary entry criterion. As traders, we might have a certain average holding time in mind when opening a position, always in line with our money management. Let’s say this would be between 2 and 4 hours (replace this by any range that makes sense for you).
Now what about tuning a bandpass regarding both cutoff frequency and bandwidth to this planned trade interval and wait for the appropriate reversal of that bandpass to act as secondary entry signal? By doing so, we would skip the unreliable frequency measurement by FFT or whatever, and open our position at a time that appears to be optimal regarding the planned time horizon of our trade.
Comments?
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Hi flx,
I’ve been off for some time, so I did not notice your new thread until now. Interesting!
From what you’re writing, you appear to have read most of Ehlers’ papers and / or books, and certainly a bit more.
I agree that it is not necessary to reproduce (smoothed) prices exactly in order to trade successfully, all it takes is timeliness regarding to turning points.
Looking at true seasonal markets, like your field-grown strawberries, or intraday volume (not prices) of several FX pairs, obviously a well-tuned bandpass filter would be the optimal choice, operating at zero lag if frequencies do not change, and and short-term disturbances are of minor amplitude.
Looking at FX price data, these are rarely seasonal in a narrower sense, and short term disturbances can frequently appear at major amplitudes.
You wrote:
specify a target filter function in the frequency domain
Would this result in some kind of frequency measurement? If yes, I doubt it would be useful. Frequencies are changing too fast, and even Ehlers quit this approach, as far as I know.
Could you refer to some of Wildi’s papers that appear interesting for you, maybe provide links?
Let’s see if we can develop your thread into an interesting discussion, or more.
simplex
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
