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Tharp Market Type Classification


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Tharp Market Type Classification

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  #1 (permalink)
erukumk
Delhi + India
 
 
Posts: 5 since Apr 2018
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Does any trader here use Van Tharp's market type calculation? how do you classify a market as quiet, normal and volatile? i would appreciate your view. Could not post the URL due to restrictions. Thanks.

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 SodyTexas 
Austin TX
 
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erukumk View Post
Does any trader here use Van Tharp's market type calculation? how do you classify a market as quiet, normal and volatile? i would appreciate your view. Could not post the URL due to restrictions. Thanks.

I like van Tharp's position sizing, and the market type calculation is the SQN value of that system. So in order to calculate you need a trading system already calculated and the expectations of the system and R-multiple data.

There are other ways to calculate market types (trending up, sideways, trending down). Four methods stand out in my research.

1) the good old ADX
2) Efficiency Ratio
3) Price Density
4) Fractal dimension

ADX there is plenty of resources available on the web. For the others, I am including some notes from my own personal notebook that may help. If you need more information on the mentioned indicators I would recommend Trading Systems and Methods + Website (5th edition) Wiley Trading 5th Edition by Perry J. Kaufman. The book is a wealth of information, including covering this topic.

Cheers,
Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #3 (permalink)
erukumk
Delhi + India
 
 
Posts: 5 since Apr 2018
Thanks: 1 given, 0 received


Thank you for your reply, i will surely read Kaufman's book, it was already on my reading list.

SodyTexas View Post
I like van Tharp's position sizing, and the market type calculation is the SQN value of that system. So in order to calculate you need a trading system already calculated and the expectations of the system and R-multiple data.

There are other ways to calculate market types (trending up, sideways, trending down). Four methods stand out in my research.

1) the good old ADX
2) Efficiency Ratio
3) Price Density
4) Fractal dimension

ADX there is plenty of resources available on the web. For the others, I am including some notes from my own personal notebook that may help. If you need more information on the mentioned indicators I would recommend Trading Systems and Methods + Website (5th edition) Wiley Trading 5th Edition by Perry J. Kaufman. The book is a wealth of information, including covering this topic.

Cheers,
Sody


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  #4 (permalink)
 SodyTexas 
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker: RJO
Trading: Futures, Spreads
 
SodyTexas's Avatar
 
Posts: 396 since Sep 2013
Thanks: 113 given, 1,041 received


erukumk View Post
Thank you for your reply, i will surely read Kaufman's book, it was already on my reading list.

It's one of those that you read when you are learning, then re-read once you are a true trader..


~Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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