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so, my understanding that you are trying to build automated strategy? what is considered as long and medium time frame when system trying to determine the state?
very impressive work
Can you help answer these questions from other members on NexusFi?
Yes this is part of an automated strategy, that is why I place so much importance on being able to statistically define things. I think understanding these concepts is very helpful in discretionary trading too though.
I have been running this system live for a few months now after forward testing for over a month with good results. When I first started out trying to develop an automated system I wasted alot of time trying to find the perfect trading signals, ie stop and reverse, always in the market type strategies like most new traders. I had some success with that but it was likely due to curve fitting, the strategies always eventually fell apart in forward testing. It wasn't until I started really focusing on when NOT to trade that I finally started developing some truly profitable strategies.
I currently use 4 range based timeframes, 34, 21, 13, 8 (on EURUSD)
Edit: Forgot that most of you guys trade ES rather than forex, I also trade ES/YM occasionally, on those I use a simpler strategy with only 2 timeframes, 8 and 3 range because there is much less noise and less movement compared with forex market
Since several people have asked me about it, I created a simple SNR indicator based on keltner channel. It is posted in the downloads section.
Here is a screenshot comparing it with the my proprietary SNR indicator, you can see that they are very similar.
The blue line is a moving average of the white line, when blue line is sloping up that means the market is trending. When it is low or sloping down that means there is alot of noise or noise is increasing so it is probably not a good time to trade.
Here is a simple Signal to Noise indicator based on keltner channel.
You can use it to determine if the market is trending or not.
COMPATIBILITY:
NinjaTrader 6.5: YES
NinjaTrader 7.0: NOT TESTED [feedback] (https://nexusfi.com/progr …
The VHF indicator can be a useful tool as it attempts to measure the “trendiness” of a market. It reveals the strength of a trend, not the trend direction. This filter compares the sum of one-day price changes within a specific time period to the range …
