Flux Capacitor - by Back to the Future | Trading Reviews and Vendors


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Flux Capacitor - by Back to the Future

  #277 (permalink)

Reno, Nevada
 
Trading Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ZN, ZB, CL
 
phantomtrader's Avatar
 
Posts: 223 since May 2011
Thanks: 48 given, 353 received


BTTFT Michael View Post
One of the great things about time cycles, is that every day is a "Trial". Once time cycles are identified, someone doing the research can project that information into the future and verify for themselves if the cycles were accurately identified, or not. I think that traditionally, people who are studying left-looking technical indicators are bound to that "30 day trial" mentality because of all the games the other developers play with signals disappearing/reappearing/repainting/painting bars afterwards. No?

Another great thing about cycle analysis is that it's testable. Time series analysis as well as a number of intraday volatility forecasting techniques can be used to forecast time lines. One thing I noticed at your website is that you provide no analytical data for your model. How much data did you use? What formulas did you employ and how do they compare? How do you deal with white noise? You mention that your model is based on bank trading times. How do you account for days when banks don't trade? What about HFT algos? What about gaps? What's the standard deviation for your model? Does it take the daily news into account?

Here's what a representation of what your model might look like if you did the correct analysis:

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Note that to decompose this data, you need to know how to use Fourier analysis and other mathematical techniques that require high end software to do the job right.

Unfortunately, you're offering no mathematical proof that your setup works. It would be an easy task to show your data and the raw results without giving away your proprietary model. Your statement above suggests that you don't understand this type of analysis yourself.

It's also unfortunate that people are not asking you the right questions about your trading system.

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