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Murrey Math
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Created: by Big Mike Attachments:73

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Murrey Math

  #61 (permalink)
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Start of Day for Murrey Math

I've been checking out the Murrey Math lines and I'm wondering if starting them at midnight is the best idea?

Isn't the start of a day in futures trading the open of the Globex? So for me that would be 1:30 PM PST.

Would this be a valid idea or would this make the calculations more or less accurate?

Thanks, Jeff

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  #62 (permalink)
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Jeff Castille View Post
I've been checking out the Murrey Math lines and I'm wondering if starting them at midnight is the best idea?

Isn't the start of a day in futures trading the open of the Globex? So for me that would be 1:30 PM PST.

Would this be a valid idea or would this make the calculations more or less accurate?

Thanks, Jeff

You can fine tune the calculations to be based on monthly, weekly, or daily price points and then calculate those on an hour-by-hour basis, or use the normal calculation method. That is part of the indicator.

If you want to restrict the indicator to only seeing certain data, like 9:30am - 3:15pm, then set your Session Start and End times in the chart properties.

Mike

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  #63 (permalink)
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Time


I want it to see all the data but I would want to start it at the open of the Globex. Is this possible? And.... do you see any merit in this idea?

Thanks, Jeff

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  #64 (permalink)
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Well... been fascinated with the MML on CL lately, so decided sure why not, I wrote a strategy to try and trade solely based on MML's. No moving averages, no trend, no MTF, nothing -- MML the end period. In fact, I didn't even filter for time (cash open) or filter for news (I normally use my indicator TimedBarSpan to filter news events [it detects when bars are coming too fast]).

I use perish's GO so I wanted to allow the strategy to determine a few things:

- Individually select which combination of the 12 MML's to use or discard
- Control the threshold of how close Price is to a MML before triggering an entry
- Control the stop and target factors which are based on the distance between each MML
- Choose to recalculate MML hourly or not

So it crunched for a while on all the CL tick data I have (June 20 to present, which I've combined into a continuous contract) and came back with the results I've attached. The drawdown is huge but I like that the win/loss $ ratio is > 1 and the win rate over 50%. The results include commission, which on Amp is about $7 per RT (overpriced).

I may keep working on it... this is with 1 contract btw.

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Mike

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Attached Thumbnails
Murrey Math-2009-09-12_0222.png   Murrey Math-2009-09-12_0220.png   Murrey Math-2009-09-12_0219.png   Murrey Math-2009-09-12_0218.png   Murrey Math-2009-09-12_0215.png  
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  #65 (permalink)
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Jeff Castille View Post
I want it to see all the data but I would want to start it at the open of the Globex. Is this possible? And.... do you see any merit in this idea?

Thanks, Jeff

Jeff, just saw your message.

I think you're saying you want the Chart to be a 24-hour chart, but the MML indicator to be time-restricted. With most indicators that would be easy to accomplish but I don't believe that is the case with the MML because it is very time sensitive, I don't think the normal exclusion code would work with it.

To see if it has 'merit' you might just want to keep two charts up. One with globex times only and the other with 24h chart, both with MML's, and see if there is any useful difference.

Mike

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Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #66 (permalink)
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Ok two posts up I was talking about MML and CL. I decided to run against ES. Mind you, I haven't even looked at the ES in months... but I always like to run strategies on more than one instrument, it gives you a sense of curve fitting.

It came back amazingly well on the ES. With nearly identical settings as on CL, it produced the attached results on ES. And boy, I couldn't believe how fast the optimizer is on ES... it's been a while since I've done anything other than CL, and CL has ** sooo ** much more tick data than ES it takes forever longer...

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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6)
Help using the forum? Watch this video to learn general tips on using the site.

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Attached Thumbnails
Murrey Math-2009-09-12_0330.png   Murrey Math-2009-09-12_0329.png  
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  #67 (permalink)
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Is it me or does MML not work with range bars?

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  #68 (permalink)
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tellytub View Post
Is it me or does MML not work with range bars?

Works very well for me. What is "not working" about it?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
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  #69 (permalink)
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Sorry Mike, I had a old version, must of got it from Ninjatrader forum, for some strange reason, it didnt plot on a range bar chart. I just downloaded your version and it works.

Thanks Mike


Last edited by tellytub; September 12th, 2009 at 06:51 AM. Reason: Speeling mistake
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  #70 (permalink)
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tellytub View Post
Sorry Mike, I had a old version, must of got it from Ninjatrader forum, for some strange reason, it didnt plot on a range bar chart. I just downloaded your version and it works.

Thanks Mike

Glad to hear it --- the majority of credit goes to PrTester, he did most of the coding.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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