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Polynomial Pattern Recognition and Forecasting Indicator (www.mooretechllc.com)

  #11 (permalink)

Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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monpere View Post
Must be one resource intensive indicator on your PC. Wonder how it performs, if I want to look for patterns for the past 3 years.

That is true indeed. For example I have coded a relative volume VWAP. It analyzes the intraday volume over the last year and then calculates a volume-weighted average price by using that forecasted volume distribution rather than real volume. And I have not posted it, because you need to wait a little after applying it to a chart. However, it is only slow, while the historical data is being treated, in real-time those backward calculations are not necessary, as the results are sitting in an array and do not need to be recalculated with every incoming tick.

The NinjaTrader forum VWAP however calculates back to the beginning of the session with every incoming tick, so this will definitely kill your CPU.

The approach is like running a backtest prior to trading, The problem is that you should have a training and a forward testing period for any backtest, and only trade, if the forecast parameters calculated by using the training period have well performed during the forward testing period. I do not think that the indicator can do that, so it will not be a substitute for proper backtesting.


Last edited by Fat Tails; June 22nd, 2011 at 10:10 AM.
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