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Investor/RT News and Updates

  #11 (permalink)
Legendary Market Wizard
Switzerland
 
Experience: Intermediate
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a little extra proposal


LS Chad View Post
This video demonstrates how to form dynamic volume profiles of market moves identified by the Zig Zag Indicator. In this case, we take moves of $5 or greater on the ES and construct volume at price profiles. Zig Zag based Signals are used to dictate the start and end of each profile, but this dynamic profile concept can be expanded beyond the use of Zig Zags. Any condition that can be represented with a Signal can be used to identify the start and end of Profiles.

Chad


Great stuff @LS Chad - thanks!
Now only missing a little last piece in this puzzle:
A replay with statistics - optimizing the best leg length to find that one in any instrument - incrementing the leg length - and showing the optimal leg length within seconds. Might result in some Gaussian curve.
If provided - this could be a very professional attempt within an outstanding product.

GFIs1

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  #12 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
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GFIs1, Can you expand on that? I'm not sure I'm completely clear on what you're looking for. Are you looking to optimize the minimum price change of the Zig Zag Indicator on an instrument by instrument basis? If so, what exactly are you looking to optimize it from?

There is one option that does somewhat of a self-optimizing of the minimum price change. The minimum price change can be specified in "Bars". When a user specifies the minimum price change in "Bars" (let's say 20 bars), the each leg of the zig zag is not confirmed/complete until a bar has a higher high than previous 20 bars (upward legs) or a lower low than previous 20 bars (downward legs). This way, a setting like 20 bars can be used regardless of instrument. And it works well with a volume or price driven periodicity like volume bars, renko, rangebars, etc, where bars are driven by price movement or liquidity instead of simply time.

Below is an example of a 20 Bar Zig Zag on a 2 tick Renko chart of ES. You could just as easily change this chart to any other future or equity and the 20 Bar setting will work equally well. Not only that, but it works just as well on a small timeframe such as 2 tick Renko or 1-minute bars as it does for 60-minute, daily, or weekly bars. Hope that helps, and hopefully I didn't completely misunderstand what you're after.

20 Bar Zig Zag on 2 Tick Renko (ES)


20 Bar Zig Zag on Daily Bars (ES)


Chad


GFIs1 View Post
Great stuff @LS Chad - thanks!
Now only missing a little last piece in this puzzle:
A replay with statistics - optimizing the best leg length to find that one in any instrument - incrementing the leg length - and showing the optimal leg length within seconds. Might result in some Gaussian curve.
If provided - this could be a very professional attempt within an outstanding product.

GFIs1



Last edited by LS Chad; July 25th, 2014 at 04:23 PM.
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  #13 (permalink)
Legendary Market Wizard
Switzerland
 
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Trading: Futures
 
Posts: 5,039 since Feb 2012
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LS Chad View Post
GFIs1, Can you expand on that? I'm not sure I'm completely clear on what you're looking for. Are you looking to optimize the minimum price change of the Zig Zag Indicator on an instrument by instrument basis? If so, what exactly are you looking to optimize it from?

Chad

Chad - thanks for your detailed answer. My post was not clear enough. So I will explain what I am looking for:
It should result in a little calculator on a given iterating ZigZag chart - which is manually a hassle to do.
Example:
Given a dataset of data of an instrument we take a first ZigZag of Renko bars with a starting at 10 bars back.
This results in a ZigZag of X legs. Totaling ticks of ALL legs gives a result of Y ticks maximum to see in that data.
Noting that result 10 bars gives Y total ticks.
Now incrementing the "bars back" by one and testing 11 bars. Gives new X legs and a total Y ticks - note it.
and so on until 50 bars.
Plotting the result table of Y result versus given bars shows a bar sample which I assume is near a Gaussian curve.

And now comes the interesting point: For a daytrader it would be great to see "how any given instrument" is making
price changes. ES could have best setting on 20 ticks for this ZigZag and the FDAX might have 11 points instead.
Such optimizing tool could calculate and plot the best setting for any instrument in no time.

For my research I would pick data then only of ONE weekday over a year to see how movements are different on every
weekday. (Just one option for a very special field).

GFIs1

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  #14 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
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GFIs1 View Post
Chad - thanks for your detailed answer. My post was not clear enough. So I will explain what I am looking for:
It should result in a little calculator on a given iterating ZigZag chart - which is manually a hassle to do.
Example:
Given a dataset of data of an instrument we take a first ZigZag of Renko bars with a starting at 10 bars back.
This results in a ZigZag of X legs. Totaling ticks of ALL legs gives a result of Y ticks maximum to see in that data.
Noting that result 10 bars gives Y total ticks.
Now incrementing the "bars back" by one and testing 11 bars. Gives new X legs and a total Y ticks - note it.
and so on until 50 bars.
Plotting the result table of Y result versus given bars shows a bar sample which I assume is near a Gaussian curve.

And now comes the interesting point: For a daytrader it would be great to see "how any given instrument" is making
price changes. ES could have best setting on 20 ticks for this ZigZag and the FDAX might have 11 points instead.
Such optimizing tool could calculate and plot the best setting for any instrument in no time.

For my research I would pick data then only of ONE weekday over a year to see how movements are different on every
weekday. (Just one option for a very special field).

GFIs1

Sorry for the extremely late response on this (don't recall getting a notification)....but interesting idea. I think I may be able to accomplish something similar to that currently by doing an optimization which would spit out a series of outputs which contain # of bars, # of legs, and avg rotation size.

So specifically, for starters, you want to look at Renko (2 tick?) of ES. And for the minimum price change, you want to use "Bars" right (instead of Ticks or Price). And then as you adjust that Bars setting, you want to record the number of legs and average rotation size, and then use this data for further analysis to determine optimal combination. Let me know if I'm missing any details and I'll try to set something up with an optimization that will output this data for us.

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