Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Oh heck I agree with both of you. The way I arrived at this was realizing that I just couldn't teach my brain to do it profitably. I can remember what color my favorite cassette tape 30 years ago was, but the bids 19 seconds ago? I'm hopeless. The real goal here is to find the other people doing this stuff, I know I'm not the first(or the 1000th for that matter), and I know I'm probably overlooking loads of good data, just because "I don't know what I don't know". Hopefully talking about it like this can shake some of those bits loose from other traders.
The application I wrote in Tradestation use something called DataGrid, similar to an excel sheet. I maintain few hidden columns that can record various activity at a price level. So when price is ticking at a price level, it can easily get the last few trades for that and previous levels. The look up is extremely fast since I maintain a dictionary of the price and corresponding row in the data grid.
That makes sense. I've seen similar strategies just using volume bars, delta, and moving averages. Using price delta probably accomplishes the same type of filter. Basically you only take it when it's really starting to move. Does this delta factor in anything like ATR to account for particularly choppy action like after news?
Not using ATR, but using a similar concept. I look at the highest and lowest price delta for a short timespan(5-20m), and the difference between them must be greater than <X> for positions to open.
I might need to go retest a few strategies that I wrote. What you call price delta I'd consider to be a measure of market velocity. Basically only take a trade if market velocity has increased, and then use the volume delta to determine if it's signaling a clear direction. Adding the velocity in there could probably improve my probability on several of my strategies.
I was more suggesting that based on how much the instrument is moving on that day, you might increase your stop/target.
I am not 100% sure what you are doing. I do not trade bonds. However, I have some quantitative volume tools and also read tape on my DOM ladder using discretion. But, here are some ideas/thoughts for improvement:
1. How do you correct for volatility smile/volume smile for intraday data? Dr. Steenbarger shared a method some years ago where he placed each time of day into a bucket and compared them relative to each other. I did not see a great deal of value in this method but I think it is interesting because most volume methods do not correct for the high volume at start and end of day. You might use this technique to measure volatility, as well.
2. I see that you are using 3 minute charts? Most quantitative volume analysis is conducted using fixed volume buckets. You may be losing resolution on minute charts.
3. Are you adjusting for volatility?
4. Why do you think order flow is best expressed on a chart?
5. Is your delta changing intrabar? If so, do you allow trades to take place during the bar or only at close? If the delta changes intrabar, your backtest may not be accurate unless you take trades next bar.
6. If your average profit is only 2 ticks, I'm assuming you allow intrabar orders and use something equivalent to intrabar backtesting?
7. Are you capturing the orderbook with the levels? Not clear on that either but interesting if so.
1) I don't use any prediction that volume at any point will affect volume more than 10 minutes in the future. My system is very "right here, right now". There could be some value at looking at longer timeframes, that's just not what I'm doing.
2) The 3 minute timeframe looks nice on a chart - the system is ignorant of the 3m bars.
3) No adjustments for "daily" volatility, only the immediate volatility in the minutes before. On average, looking back 10 minutes or so, sometimes more or sometimes less, but the average comes out to 10 in the past 30 days.
4) You can see the past and replay it easily on a chart. While I can replay my DOM and tape, I don't think it's the most effective way to examine the past.
5) The bars are just for the charting/visual aspect, trades entry/exit doesn't give any consideration to bars.
6) For backtesting I use a feature in my platform called "Bar Magnifier" to replay individual ticks, and supplement it with a recorded stream of tick-by-tick representation of the order book 3 levels deep on both sides. If 3 seems small, remember it's 3 levels deep each *tick*, not second/minute/etc. In backtesting, I only count fills on a sale when the bid is at the price the sell is entered, and vise versa for buys.
7) Yes, I'm capturing the order book and storing it tick-by-tick. I re-use this data to populate the order book during backtests.
If the win rate is 85%, then 85% of the time I gain 2 ticks, and 15% of the time, I lose 2 ticks. I'm not sure what you mean about needing more than 2 ticks for 85% win rate ..I suppose I could scalp more ticks on average doing it manually, but this isn't a manual system. I used to trade manually for a time, but the stress made it less enjoyable. Automating my trading was the single best thing I've done for my stress levels and PNL. I'm looking for other people who have done the same thing, who I can swap algorithms with for mutual benefit.
I'm sorry if I misunderstood your post about needing more than an 85% win rate, I wasn't sure exactly what you meant.
what platform are you running this on?
and could this be applied to futures on NinjaTrader I don't trade the forex but the futures that represents the forex
thankx
