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STF discretionary spot Forex system development journal

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  #101 (permalink)
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Howdy Adamus!

Don't hesitate to make your presence felt--I may have taken this stuff seriously in my misspent youth but am way older than that now


Quoting 
Don't you have the results of a blind run as well as an optimisation run with that bot you're using?

I think backtesting & optimization is necessary but don't put too much faith in it--more or less an exercise in curve fitting--and don't do blind runs (anymore). I write a lot of bots to test simple ideas. To save time, if a bot doesn't optimize the first time around, or performance fails to improve as features are added, it's discarded--scratch that idea. IMO the proof of the pudding is in forward testing. Frankly I'm still trying to grasp what makes a bot robust (i.e., makes it immune to choice of time frame, instrument, session, etc.) and if not robust, what characteristic(s) of the data is grinding its gears, not so much interested in the behaviour of a single bot.


Quoting 
What's the indicator that writes nice labels on the left-hand side of the S/R & pivot lines on your chart? I would love to steal the code that puts them there.

Murrey Math...never trade without it, but see @Fat Tails opinion about what it's worth


Quoting 
Ever thought of trading the USD/Yen, since you're interested in doing something during the Pacific Rim session? If so and the answer was that you wouldn't, did you try it? Surely the volume and the spreads are bound to be better than on the Euro in that session.

In the beginning I tried to trade the majors and a lot of the minors, including USD/YEN, but eventually decided to focus on a single currency in the hope of mastering its idiosyncrasies before moving to the next. That was a couple of years ago :-/


Quoting 
And a bonus question I'm not getting any responses on on another thread, how do you feel about 1/2 ticks and their utility in forex compared to 6E?

I don't give it much thought, actually. I use IB (filtered data) since a more "accurate" feed is reduced to what the broker's order fulfillment is using, and IB's Forex universe is only one in a very large number of currency broker universes including the ones that massage their spreads, so it amazes me we speak of the present value of a tick at all.

Hope that helps !

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  #102 (permalink)
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This morning looking at discrepancies between NT's accounting of bot behaviour and IB's record of it, as well as weirdities in bot order placement (i.e., exiting a position but not entering a new one when "reverse position" signal occurs), trying to figure out what is going on. So far enough of a distraction to avoid manual trading.

For the record, first item of confusion is that the parameterization of anaSuperTrendU11 shown on the chart with the active strategy is the default, not the parameterization of anaSuperTrendU11 actually being used by the bot--no surprise if initialization events occur before startup events and in the category of a program bug--mea culpa.

However, while this may cause some head scratching it is not behind the serious performance/accounting issues (the main reason I hesitate to post NT performance summaries--I won't trust them until I find out e.g. what is randomly corrupting NT's database). Right now for example NT Strategies tab indicates the bot is short 1 contract on IB's paper account, whereas IB reports it is flat and NT Positions shows no order active. Really, really do not want to get into order management in this bot at the level NT should be capable of doing it--must be something I'm missing.

ETA: Somewhat later, I've quit searching through code, logs and trace records to find some clue about what's up with NT after my eyes glazed over and blood pressure started to rise, now placing manual orders in an effort to calm down (so far mostly stopped out for the usual couple of pips profit, which tends to drive me nuts), confronted now and then by IB's new, infuriating trick of popping up a window after a random number of orders to inquire do I want the present order for 1 contract processed as a Forex (IdealPro) or currency exchange (Ideal) transaction, the difference being a considerable penalty in spread through Ideal, and would I like IB to make the choice for me in the future (yeah, right). W...T....F???

I'm not particularly religious but just now notice somewhere in the back of my brain someone has turned on a radio that is blaring the Battle Hymn of the Republic...


Quoting 
Mine eyes have seen the glory of the coming of the Lord;
He is trampling out the vintage where the grapes of wrath are stored;
He hath loosed the fateful lightning of His terrible swift sword;
His truth is marching on.
Glory! Glory! Hallelujah! Glory! Glory! Hallelujah!
Glory! Glory! Hallelujah! His truth is marching on.

Maybe time to quit for the day.

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  #103 (permalink)
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Took yesterday off to catch up on yard work, and may take today off as well.

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  #104 (permalink)
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Watching EUR/USD today for the record, probably won't trade, partly to observe behaviour in the London/NY overlap sans NY activity as a matter of curiosity.

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  #105 (permalink)
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Just over $80 net (before taxes), 9 trades of 1.2 contracts split into 2 targets for 89% profitable--one of those kind of days--trading price as it fluctuates between closely bunched activity areas, keeping an eye on momentum (or lack of it) this AM, each trade lasting no more than a few minutes due to erratic price action. Using an ATM strat tuned to the distance between activity modes (won't call them value areas), trying to get the breakeven stop right. No trade in particular worth mentioning. Migrating bots to another stripped down (app noise free) computer in an effort to placate NT, may be done by end of day if I can muster some enthusiasm (recovering from the distraction of end of season family get-togethers over the last couple of weeks)--they are offline at the moment.

ETA: to remind myself to be paying attention at 11 AM AST (10 AM EST) when US ISM numbers come out, as happens fairly often noticing out of the corner of my eye I may be missing the first significant move of the morning (hence some quick & easy profits) while typing in this journal

ETA: Tending to prefer short trades at the moment but momentum gusty while price caught between prior day low (1.25625) and prior day open (1.2574), and expecting volatility in general between 1.2550 - 1.2575, vicinity of 100 day MA. If support at magic number 1.2550 does not hold (and it can take hours for the market to make up it's mind, actual mood obscured by commercial traders' order books, time of day, proximity to end of session, etc), then will probably continue to prefer short trades. In the meantime however prepared for things to turn around as N American market open looms (another hour). About 1.5 hours until ISM numbers.

ETA: In terms of overall strategy since 9 AM AST (8AM EST) going with downtrend, which means going short for 10-15 pips but opening up initial stops (intended for relatively short lived but high momentum unidirectional bursts in activity) to avoid low momentum bouncing around in these narrow S/R channels in the meantime--not necessarily a wise choice since "low momentum bouncing around" can signal a turnaround if there are buyers lurking (perhaps likely) who are waiting for one reason or another to jump in here (1.2565-1.2575, or S1), but mainly (yet again) prevents me clicking buttons. Given lack luster N American futures at the moment and gold price (which I use rightly or wrongly as a short term filter for the dollar index, one-step removed) guess I have faith in the gravitational attraction of 1.2550.

What all of that amounts to:


ETA: by 10:09 AM AST 1 target hit + second stop hit at breakeven + a pip for a few pips more in total when price abruptly reversed to S1. No surprises there. Supposing (hoping? ) price will now meander upward perhaps as high as 1.2590 in the 1st 30 minutes after N Am. market opens if it gets that far before the ISM numbers come out, rather than rattle around down here, so will likely chance a long.

ETA: 10:37 AM AST, 7 minutes into the open.....oops. Why we should trade what our system is telling us rather than what we hope price will do Stopped out for a loss of over $100 a minute later. After that fiasco up $73 so far for the day, 16 trades so far, 81% profitable (i.e. a bunch of mostly small-profit trades and one doozy of a loss). Fighting the urge to punish the market for that indignity (i.e., fighting the urge to compound the error)...time for breakfast...particularly since price will more likely hover around S1 at least until ISM.


ETA: Break having lasted until 12:30 AST, end of session for me, looks like I didn't miss anything--packing it in for the day.

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  #106 (permalink)
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Curious to see if the ECB bond news leak will be enough to bias EUR/USD upward for the day on top of earlier (presumably short covering) gains. Needs to break 1.2600 for that to happen.

ETA: Suppose you can't win it if you're not in it. By 8:30 AST (7:30 EST) Spanish bond yields starting to drop, indicating someone is buying the rumour (so to speak) but remains to be seen what is left once the mills of the FX markets are finished grinding the news.


ETA: 10:13 AST price consolidating ahead of US open between 1.2596 and 1.2611. Wish it had showed a little more enthusiasm...may bail ahead of the open.

ETA: 8 minutes to open still consolidating at 1.2600, momentum going to zero Will often exit in these circumstances (technically ~ 50% probability) but not today since news seems to be taking a while to digest. If the stop is hit where it is (+8 pips before slippage) during the open it will mean waves (noise amplitude, indecision, game playing) bigger than I want to surf. Prefer buyer enthusiasm right off the bat.



ETA: Stopped out at 10:40 AM for +8 pips before commissions. Buncha wusses Coulda, shoulda, woulda, and might if it takes another run at it, otherwise will have to wait for a short setup.

ETA: 10:51 AM EST Long again at 1.25925, first target (3 pips) hit, stop at break even, remaining target at 1.26035 or +11 pips, but while sitting here twiddling my thumbs have time to think about my session choice. Higher level of activity not worth much if everyone is tugging in different directions.

ETA: 11:00 AM EST 2nd target hit for 11 pips before commission. New long limit at 1.26045 at the last activity peak in case price, hitting 1.2619 while making an initial break for it on the hour, behaves like kids leaving home--gung ho at first but then come the 2nd thoughts. Not going to chase it. If you love it, set it free. If it was meant to be it will come back....but hopefully (like kids) eventually it will leave for good


ETA: 11:15 AM EST. Ah Merkel...bull in a china shop. Got to love STF spot currency......remarks just cost me about $90 when price fell through the floor--not sure what that is in pips but around -8. Short more or less at where I went long last time. Must wait for the smoke to clear before doing the sums.

ETA: 11:20 AM EST. Smoke clearing, down about 11 pips after that little song and dance. Consensus may be emerging that Euro will sell off when Draghi doesn't announce bond buying tomorrow, unless it doesn't, but short in the interim (today) in any event. While I type this hear 2 targets hit without much effort. Notice neither NT Accounting nor Performance Summary picked up the last trade even thought it appears on the chart, whereas IB did...WTF now. Do not need the distraction--got to get NT moved to a new machine in case that helps, but also considering using another platform for manual trading since lately I've been spending more time trying to debug NT than writing strats (you know you're getting bored with a platform when second guessing it isn't as much fun as it used to be)--keep NT for when I need a dog that does tricks, cuz right now that dog don't hunt.


ETA: 12:22 AM EST. After another couple of successful long trades that Performance Summary apparently also didn't capture (Generate did not cause the summary to update, trades did not appear in the Trades tab), discovered that if I turn off Performance Summary Advanced display a scroll bar magically appears, as do the trades, at which point Generate will update the Summary. I'm an idiot for assuming NT's Account Summary Trades window scrolled as required. Still scratching my beard over why trades that are not initially displayed are not used in Accounting calculations until they are displayed, however.

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  #107 (permalink)
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NT banished to the doghouse for now--a stripped down 10.6" notebook I take on motorcycle trips (Intel I3 4 core, 3.3 GHz, 4 Gig memory, 450 Gig disk), attached to an 18" TV/LCD monitor for my 3-chart system (200 Tick, 600 Tick and 1800 Tick charts). Not sure how I'm going to post screenshots yet. Still working on the ergonomics of my trading desk with the notebook & cables now part of the clutter. I need reading glasses to see the notebook screen itself and will trade on the paper account today while working out any kinks.

First trade is long 1.2 contracts at the 3rd stddev of the most pronounced overnight activity mode, entry at mid to lower part of the channel (1.26095) just above yesterday's close. In hindsight could have entered at the bottom of the channel (1.2604, just above yesterday's open 1.26015) :-/. Stop at 1.26005, 1 target at 1.26185. Will set up a network share to post screenshots ASAP but right now need another cup of coffee.

At first glance today's session appears to be a minefield of scheduled news events between 7:45 AM EST and 10 AM EST (ECB Interest Rate, ADP Employment Survey, ECB press conference at 8:30 EST, ISM non-manufacturing). In other news, with gold spiking presumably in advance of ECB announcements may need to take some time off today to babysit my gold holdings (miner ETFs for the most part) in case Draghi does not deliver.




ETA: 6:47 AM AST stop moved to 1.26105 (breakeven + 1 pip) with price now at 1.2616.


ETA: 6:54 stopped out at +1 pip for a profit on paper of $4.60. So far 1 hit, 1 run, no error (unless we count the less than ideal entry an error) and no sign of trouble from NT

In the shot below notice the activity sidebar (red horizontal lines on LHS of the chart) reset when I updated the dataseries to print trade markers on the chart. Need VolumeProfile indicator with persistence.


ETA: 8:11 AM AST debating whether to sit on my hands now until the ECB press conference at 9:30 AM AST (8:30 EST) or try to trade the range, keeping in mind that when the music stops (Draghi speaks) one had better be able to find an empty chair. Considering long entry in the vicinity of 1.2600 if price drops that far, but with extreme caution since the acts opening for the main event (i.e., ECB bond & pony show in the center ring; e.g., inevitable leaks, rumours of leaks & ECB interest rate statement leading up to it) are going to get the crowd all worked up. Suspect the range will simply tighten as tension mounts, unfortunately.

ETA: 8:45 AM AST ECB leaves rate unchanged. Crowd goes wild for a moment or 2. Short at 1.26405, stopped out at +1 pip for another $4.60 profit on paper. Story of my life. Short limit again at 1.26315....waiting. Order accepted, target at 1.26215, stop at 1.26365....stop moved to break even + 1 pip ....stopped out. More or less exercising NT rather than trading to see how the new configuration deals with relatively high order frequency and tick bursts; so far so good (IB & NT agree 3 for 3 scalps, up about $30 after commission on paper so far today)

ETA: 8:58 AM AST appears the interest rate statement caused EUR/USD to migrate, establishing a new, higher mode, median roughly 1.26345. IIRC there were some interested sellers around here earlier today. Some think an uptrend will resume if we break above this price, en route to 1.2740, but barring leaks or any reaction to ADP survey at 9:15 AM AST price likely parked here until 9:30 AM AST when the ECB press conference is supposed to begin. In my youth might have bracketed the new range with OCO stop orders, but older than that now :-/


ETA: 9:15 AM AST slight (negative) reaction to (positive) ADP nudging price lower, possibly due to USD pop, expect to equilibrate back to 35. Guessing whatever legs EUR/USD gets at 9:30 will be first due to EUR buying/selling, then to pressure from USD.

ETA: 9:52 AM AST Watching the EUR/USD it seems the balance of "good news" for the US economy and what may be the usual "no news" for the EU may be overall bearish for the pair, calling to mind yesterday's "consensus" that if Draghi simply kicks the can the Euro will suffer. Short at 1.2586, stop just above yesterday's high (38 pip stop loss, well above my pain threshold) on spec (not sure how to define a high probability trade at the moment except perhaps in terms of fundamentals, and wouldn't be trading at all if it weren't paper and thus an opportunity to experiment with bigger picture strategies ). If the pair breaks down through the floor pivot (1.25783) have 1.2565 & 1.2495 pegged as technical support below that (based on 1800 tick chart). Shock yet to come: ISM non-manufacturing at 11 AM AST (10 AM EST), 30 minutes into N American markets open.

While the floor pivot may be a price everyone is looking at, MM 0/8 (ulitmate support) is just below at 1.2573 on all 3 of my charts. Probably not possible to deconvolve the significance of one from the other given their proximity to each other (having a background in geophysics tend to view effect of S/R on price in terms of impulse response, reflections, refractions and interference patterns, hence a deconvolution issue), so we'll chalk it up to coincidence.


ETA: 10:34 AM AST. In other news, a few minutes into the open Canadian resources, energy and bank instruments seem to be responding favourably to the premarket hubbub, but will be keeping an eye on them, and the DOW to see how earnestly it attempts to close the opening gap. My guess is--it won't try very hard, which may not bode well for my short EUR/USD trade (going nowhere at the moment) unless EUR/USD decouples from the N. American market, possibly in response to significant pressure on the Euro by other parties. At the moment there is some sign that may be happening (EUR/USD declines when e.g. DOW declines, does not recover when DOW recovers), but the trading day is young.

Regarding the short trade, stop moved to a pip or 2 above last retrace to minimize the pain to -10 pips if the Euro's plight should attract an angel (coincidentally it did bounce off first support level mentioned above, 1.2565) or ISM non-manufacturing enough to trigger significant risk-on.


ETA: 11:00 AM AST Hands on deck for ISM non-manufacturing. Haven't looked at CNBC (they're still yakking about the ECB, apparently ignoring what's happening in the US) but DOW response suggests good news. Hard to say if decoupling will be enough to save the trade. Turns out ISM was 53.7, 1.2 above expectations (got that from Babypips). Spider sense is saying "bail now, while you have a chance", but we'll do this by the book. Wonder if knots in the stomach are good for the abs.


ETA: 11:30 AM AST Time of death: 11:30 NT & IB report we're down $108 for the day on paper and after commission after that gambit, guessing too much pressure from risk-on (as feared DOW didn't look back, moving upward like a freight train), EUR/USD back in sync with N American markets. Seems my notion of "big picture" trading needs tweaking. Will watch at least until end of session (12:30 AST), maybe try a few "5 energies" trades for practice, console myself with my real money N American stock market holdings

ETA: By 11:57 first "5 energies" trade will have made back all the losses and more, even if (or when) it gets stopped out.


ETA: 12:55 PM AST. Short EUR/USD at 1.2626, stop at 1.2664 (on paper) interpreting latest action as double top and anticipating retest of post Draghi low of 1.2661 at some point--another "big picture" trade, bearing in mind how the last one ended.

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  #108 (permalink)
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  #109 (permalink)
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Mike--will do.

ETA: 8:37 PM EST done in the last post.

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  #110 (permalink)
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The good news is to date NT and IB accounting agree, suggesting NT is so far stable on the laptop. The bad news is they agree trading paper the last few sessions was a total bust--e.g., overnight trade alone stopped out for a loss of 38 pips on 1.2 contracts. I must be batting 2% on "big picture" trades, particularly when held overnight.

It's fun and educational to experiment on paper--admittedly more fun if one wins--in this case the lesson being that my grasp of "big picture" spot currency trading has some holes in it. If we trade an unproven model of the market (trade assumptions rather than facts) sooner or later we are confronted by reality, or as Shakespeare put it more or less, without extensive backtesting we soon discover there are more things in heaven and earth than are dreamt of in our philosophy--in other words those pesky unaccounted for extraneous variables and methodological inconsistencies will get us every time. Additionally one can't trade principles & patterns that may apply over longer time frames first without having proved the principles & patterns are sound; and second, without money management appropriate to longer time frames. Especially don't try to trade champagne patterns (that apply over the kind of time frames hedge funds & central banks are fond of) on a beer budget. So it's down to serious business--rebuilding the paper account to its former glory doing what I know works, a simple matter of earning ca. 150 pips :-/. By the end of it hopefully faith in my methodology and in NT will be restored.

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In this case "What works" for me in the 200- 600- 1800-tick time frame class is a combo of 5 energies + channel trading, coupled with the fact the market is in "drunk monkey" mode** (i.e., as in "even a drunk monkey can make money when the market is trending").


**ETA: stems from my own experience learning how to trade, that in hindsight it is quite possible for a newbie to lose money in a trending market however, whence in a contest between a newbie and a drunk monkey my money would probably be on the monkey.

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  #112 (permalink)
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A family saying coined by my granddaughter comes to mind, who (being ferried around by my wife in her SUV) learned to exclaim, "THAT was close, Gramma".

Managed to turn things around in the first couple of hours of the session mostly because price was trending--hard to mess up--and up over $624 on paper at one point over the low due to the misbegotten overnight trade. Unfortunately instead of quitting when the trend ended about 15 minutes before noon (AST; 11 AM EST) and participation plummeted, I halved the quantity and looked for setups during the ensuing consolidation--not my strong suit. The 2nd image below (today's Summary, which appears to be accurate, and list of trades) sums up how that went. Pretty much all I learned is I'm not a good loser; by the time I managed to terminate the session I was still ahead of the game but the room was full of blue smoke from the cursing. Need to work on that, maybe install one of these...


Today's trading summary (paper):

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  #113 (permalink)
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Setting out to review Friday's losing trades just now confess it took me a while to realize price data on the chart I was comparing to trades from the Performance Summary was out of whack because I didn't have "Tools>Options>Save chart data" or "Tools>Options>Record for market replay" boxes checked in the new laptop configuration, hence I was looking at charts for Aug 31 marked up with trades from Sept 7 (yet again a week's worth of tick data up in smoke--keep forgetting that with NT saving data is an opt-in feature, which is why I have to establish and learn to adhere to a configuration checklist. Will construct one right now as penance).

This probably is not an issue for brokers that provide historical tick data, but IB does not. Without "Save freeeeeking data" boxes checked, even though NT happily plots incoming tick data on the chart during the trading session (lulling slow learners like me into a false sense of security), NT also cheerfully deep-sixes it when you shut down. I'll try to get the data from one of my kids (who use brokers that provide tick data) but to end on a positive note one great thing about NT is it's definitely good at ferreting out one's sins and rubbing one's nose in them, even if (as I've said before) machine logic is reminiscent of Vogon constructor fleet logic (e.g., Jeltz, responding to the panic of the population of Earth when they learn the planet is seconds away from annihilation, with "There's no point in acting all surprised about it. The plans and demolition orders have been on display at your local planning office in Alpha Centauri for fifty of your Earth years, so you've had plenty of time to lodge formal complaints.'' )

ETA: For the record and possibly to save others some head scratching, when NT historical charts open like this you know you're screwed:

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  #114 (permalink)
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Tick data received from a son running NT with Gain (thanks again Dan!) am now able to reload the charts and compare failed trade entries to signals as they were at the time. As expected reconstructed bars don't match perfectly what NT was displaying at the time but not really an issue for this exercise. Will mark up in NT for speed and post as conclusions are drawn rather than wait until all trades processed since being Sunday can look forward to entertaining company at any moment and may not get through all trades.

First situation--trades 7 though 9 inclusive, 3 failed trades in a row between 10:37 AM AST and 11:05, 2 longs followed by a short in the vicinity of MM 5/8 on the (STF) 200 tick chart but in the middle of nowhere in terms of MM on the MTF (600) and LTF (1800 tick) charts, EXCEPT all as price was retracing to magic number 50 (1.2750) during the uptrend that characterized the entire morning. In terms of 5 energies signals,

- rising 50 SMA in all 3 time frames supporting an uptrend in progress for quite a while, and supporting long entries
- Momentum (MACD) above zero supporting uptrend on 200- and 600-tick charts but slope negative, indicating retrace, suggesting sit on hands.
- Cycle (Stochastics) falling on 600-tick chart (setup chart), telling me to sit on my hands, but rising on 200-tick chart at time the first trade was entered.

Overall nothing to justify the trades from a 5 energies perspective.

Altogether suggest I was overconfident from earlier gains, aware a strong trend was in progress, eager to get in at the earliest possible moment--suspect a very small initial target habitually of 3 pips may be a detrimental psychological factor here, first 2 longs suggesting I was apparently determined to pick resumption of the trend based on S/R alone on the STF chart (i.e., from entry chart rather than 600-tick setup chart), and 200-tick MM S/R rather than actual price turning points or magic numbers, which are part of the relatively larger picture provided by the setup chart.

The final trade in the suite is the most embarrassing--"capitulating" just as the retrace is culminating in value fulfillment at the magic number of 50. I suppose this is because strong trends still instill a fear of the "pansy trap"--fear of believing in the trend and being caught long when the trend ends (which no doubt stems from wounds I may still bear from one failed adolescent love relationship or another, true or not beyond the scope of trading psychology mentioned here ). 2 losses hurt enough to trigger the short response but whatever the reason, focus was too narrow and the cost of impatience/FOMO (fear of missing out) in this case from the previously posted trade summary was 53+5+83 = $141 for these 3 trades, or 0.08% of leveraged investment (1.2 contracts)--more than I want to spend at this stage on newbie mistakes.

Subsequent trades showed I managed to snap out of it when the trend resumed. What is more interesting to me and what I want to get to is the losing trades at the actual end of trend.

In the figure below blue rectangles highlight trades discussed above; on the left the 600-tick (setup) chart and on the right the 200-tick (entry) chart (all trades on paper).

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....The final trade in the suite is the most embarrassing--"capitulating" just as the retrace is culminating in value fulfillment at the magic number of 50. I suppose this is because strong trends still instill a fear of the "pansy trap"--fear of believing in the trend and being caught long when the trend ends (which no doubt stems from wounds I may still bear from one failed adolescent love relationship or another, true or not beyond the scope of trading psychology mentioned here ). ...

Regarding the "pansy trap" and any wounds we may still bear from adolescence, trading has renewed my belief in trends (and adolescence as a positive experience), "informed belief" superior in my opinion to the perspective of eternal cynics comprising e.g. DailyFX's countertrend "Speculative Interest Index"

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There are many years of tick data on 6E on the forum, if you need it. Check the QCollector thread and sticky topics in Elite section.

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Roger that & thanks Mike--took a quick peek earlier last week and came away with the impression it wasn't updated regularly--may be a mistake. Mainly wanted the opportunity to confirm the kid was still in the game

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Roger that & thanks Mike--took a quick peek earlier last week and came away with the impression it wasn't updated regularly--may be a mistake. Mainly wanted the opportunity to confirm the kid was still in the game

I update the QCollector thread monthly, it goes back to Jan 2011 with many instruments. The other main 6E historical thread has older data.

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I update the QCollector thread monthly, it goes back to Jan 2011 with many instruments. The other main 6E historical thread has older data.

Mike

Thanks again. Fast coming to the belated conclusion IB's lack of historical tick data is going to do me in so looking for alternatives.

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Thanks again. Fast coming to the belated conclusion IB's lack of historical tick data is going to do me in so looking for alternatives.

IQFeed

Or if you use NT exclusively, then Kinetick which is same but cheaper.

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IQFeed

Or if you use NT exclusively, then Kinetick which is same but cheaper.

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Yeah....canceled my IQ connection some time ago--should remove it from my profile--more focused on slippage (suspected "true" tick value driving entries doesn't matter if the broker fulfillment is in the stone age). Will think about it but at the moment a question of whether true autonomy beats the enjoyment of yanking my kids chains, as well adjusted as they may be now, still worth something in light of all the emotional damage they cost us in their formative years

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As feared company showed up, in this case my wife back from the marriage of my oldest daughter's best friend (an overnight trip 2 hours from here, wondering what the statistics are that marriage invites 2 hrs away are overnight, best friend having married an apparent musician, whom I met and whom I can't stand so didn't bother to attend myself, despite of and because of the offer of an open bar--can picture myself getting drunk and objecting to the union at the crucial moment, having accepted the best friend in her youth showing up on the doorstep asking "Can I sleep here" from time to time as a daughter, just unable to influence her choices). News relayed by my wife, my daughter tells me we have their (my daughter's) dogs for a couple of weeks while they vacation in Denver. No issue with that, absolutely love dogs & helped raise them from puppies so not sure why I've broken the seal on a bottle of Italian Mezzacorona Pinot Grigio (2011), which I hope will render me incapable of thought very shortly.

ETA: Unlikely to trade the Pac-Rim open tonight, but will run things up to record the ticks.

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Spent most of yesterday watching one thing or another (EUR/USD, part of Al Brooks 4th webinar), entertaining guests (family), and making a few inconsequential paper trades based on what I gleaned from the video (4 for 4 trades of 1.2 contracts for the grand total of $29 after commission). Beginning to appear whatever was causing NT grief is confined to the previous computer system.

On the topic of guests, having become a bit of a hermit welcome the distraction from trading from time to time. On the topic of Al Brooks, I may be ready to appreciate his perspective, attitude & his trading style, since his webinars all of a sudden make perfect sense & the approach seems to fill a huge gap in my trading know how (know how at the moment comprising mostly trend trading tricks and a few unproven hypotheses about ranges)--one of those "don't know you're thirsty until you take a drink" situations.

ETA: First trade of the day (still on paper) already in progress, initial stop originally at 1.27845 moved to protect the entry according to existing protocol (if price action becomes iffy don't take a loss). Swing range trade entered prematurely, but in the spirit of A. Brooks ("get in any way you can" and "set the initial stop appropriate to price action").


ETA: Stopped out for $7 after commission. In hindsight initial target shouldn't have been so ambitious perhaps but it takes 2 to tango--market needs to find its fingers, keep its side of the bargain.....yes.....dealing with a bit of an emotional flare-up

Setting up at 8:12 AM EST for 2nd (short) trade, more or less a 5 energies inspired downtrend trade: 50 SMA, momentum negative, cycle (stochs) starting to pin below 50, retrace possibly due to bounce off Sunday Asian session low.


8:18 AM EST. Trade entered, ambitious targets but tiny stop because a) expect buyers at 50 and b) not yet clear price is actually ready to break out of earlier range


8:29 AM EST: trade modified to scale in when 1/2 stop taken out. Probably wise to put 1st target at floor pivot than below that at previous day's close :-/


8:37 AM EST: stopped out for a few pips more when price (as feared) was distracted by the floor pivot. Got to review my "take no losses" protective stop policy, 1st amendment to a "get in at all costs" strategy Right now the approach depends on strong commitment by price to move away from the entry early on, which in my opinion is required to confirm the setup. When price dithers around after the trade is entered I take it as a bad sign. Having botched the breakout now sit on my hands and grit my teeth and watch price plummet as I believed initially it would, waiting for a retrace and another short entry.

8:48 AM EST: Here we go again, entering on a mini retrace to yesterday's close (IMO not strictly trading the breakout) sans the break even stop, prepared for price to play silly buggers for a while until it either resumes the downtrend or takes out my sensible stop (which will not impress me). Need to keep an eye on the clock because we're still pre- US market open (in ca. 90 minutes) and don't want to trade across the open. Dropping activity while price sniffs around the pivot & yesterday's close not helping the blood pressure. Exactly like taking the dogs for a walk. Wonder what I did with the pooper-scooper.


9:14 AM EST: Initial stop hit for a loss of $131 after commission, down $145 so far today. I congratulate myself for not moving the stop, wonder if I'd placed it higher (on the other side of the range, around 1.2811 say), whether I'd earn even more congratulations by taking an even bigger loss. Note to self--try not to sell into wall-to-wall support next time. In the meantime back to the "take no losses" protective stop (scalping vs swinging). Guess I prefer getting rich slowly to losing everything quickly. Recorded first mild oath of the day--3 in a row and I pack it in. Trying to decide what is happening resolve to go back to cash on Monday--paper may be detrimental to discipline, and can't afford to lose what little discipline I possess. Occurs to me this is what giving your money to other traders by the wheelbarrow full is like and the joke about the smuggler comes to mind (customs officials cannot for the life of them figure out what buddy is up to, time after time searching through the junk in the wheelbarrow he pushes across the border every day...smuggling wheelbarrows, of course)

10:05 AM EST: Never say die: next trade nets $277 after commission. Potential transition to uptrend so looking for significant retrace to go long (expect R2 to be healthy resistance ahead of 1.2850--convergence of 200 day MA and a trend line, want to take a good run at it. Interesting to see if technicals--bearish at 1.2850--win over sentiment, more or less Euro bullish ahead of next installment on Thursday in eternal QE deliberations ).


10:34 AM AST: 4 minutes into the US open no sign gap up in the DOW eager to close so this (1.28175/235) may be all of the retrace we get from 1.28342 any time soon In any event in long at 1.2824, stop at 1.28215, will move to protect + a pip or 2 ASAP. Wondering what Al Brooks would do but suspect in any case he wouldn't use such a girlish stop :-/

10:42 AM AST: trailing stop at entry + 1.5 pips hit almost immediately even if price creeping higher. Want a decent retrace since with price creeping up expect R2 to give but each FOMO-driven entry is weaker than the last. In long again at 1.28305, stop at 1.28235. US open definitely adds inertia to EUR/USD, and not the good kind. DOW climbing steeply puffing smoke....I think I can....I think I can.

10:50 AM AST: stop at 1.28315 (entry + 1 pip) within ground effect of R2....not holding my breath...wonder how long it will take the sellers depressing the EUR/USD here to realize they're about to lose a lot of money (or if it's lack of buyers, how long to realize they're about to miss out on a Good Thing). Yep...trash talking tends to prevent me hitting the "Bail Now" button.



11:04 AM AST. Stop hit for another few bucks profit after commission even though IB's paper trading algorithm broke the exit into several small orders to maximize commission. Note to EUR/USD....I can do this all day. I will get rich trading STF spot currency if I have to do it a pip at a time. Trend (50 SMA) gone on my setup chart (600 tick) while price consolidates, but in long again at 1.28315 just as price breaks upward to R2 at 1.28342, stop at break even + 1.5 pips taken out almost immediately. As I said....if it takes 1 pip at a time. Not sure what got into the action just now...bucking and farting for no apparent reason (owned horses once, have a soft spot for them but don't miss the vet bills)...may be some longer term interests getting interested again at this price but also signs in the DOW--starting to feel like a relatively significant decision point and don't want to lose too much money (on paper) trying to 2nd guess the outcome.

11:27 AM AST. In long at 1.28285, stop at 1.28235, on the slightest sign bulls may be asserting themselves. Trying hard to cultivate the perspective--a certain clarity of vision or intuitive sense--that is otherwise accessible only after an order has been accepted and price begins to move against you: the "Aha---I knew it!" point of view, living in the Eureka moment as it were, which unfortunately at this stage remains in the category of clairvoyance.

11:35 stop at 1.2832 (break even +4 pips) as price gyrates higher. Sensible target near 1.2850 even though greed (like the woman leaning in her darkened door in the Leonard Cohen song "Bird on a wire") screams "Why not ask for more"? [Because asking for more we'd likely wind up with nothing, silly, and a singe sensible target--no runner--is as silly as I want to get]. Seriously, haven't proven it to myself yet but all out at the peak (start of the retrace, which is easy enough to pick)--getting all out while the getting is good for pretty much the same reason as we go all in initially--and waiting for a new setup educated by hindsight seems preferable to taking partial profits at the high followed by gnashing of teeth and tearing of hair until getting trailing-stopped out when the retrace deepens into consolidation.



11:45 AM EST. Target hit at 1.28475 for $223 after commission (on paper). Still waiting for that retrace with 30 minutes remaining until activity plummets at end of European trading :-/

12:43 PM EST: Today's summary--all trades including a number not mentioned, the last totally ill-advised, cost me money and a sign it was (long past) time to quit. Nothing to write home about, another "airplane landing day" (glad I could walk away from it). Bottom line is, if trading cash I will stick to scalp stops to mitigate losses before they get out of hand. Have work to do if I'm going to swing trade anything but a trend.

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Hi there, a quick dumb question for you: what is AST? Some kind of timezone but I'm not sure which. I know you have some whacky timezones over there. You said the US opens at 10:30 and you said the Europeans stop trading at 12:15 - is that what you meant? What instrument are you talking about then.

While I'm at it, what is ETA: ?

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AST = Atlantic Standard Time = GMT - 4 hours (Only in Canada, like Red Rose tea)

ETA = Edited To Add.

10:30 AM AST = 9:30 AM EST = 13:30 GST, assuming DST (Daylight Saving Time) in effect (or not) in all 3 zones, refers to time of day major N American stock markets open (e.g., NYSE, NASDAQ, TSX), so the instrument in question is likely a stock (or ETF).

Similarly 12:30 PM AST = 11:30 AM EST = 16:30 GMT when most major European stock markets close. (12:15 may be a typo).

TLA's (3 letter abbreviations) and time zones make my head spin (time zones not as much since my globe trotting days ended). Mostly I just sit in front of the computer sipping coffee, clicking buttons for better or worse when price starts to move. On a related topic, I think someone asked since nothing is happening at 7 AM AST why I would start my trading session then. Answer of course is the coffee generally has time to take effect.

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One trade so far this AM, still active, entry at 1.2925, stop presently at 1.28685, target 1.29495 (yep...risk/reward greater than 2). This is an intentional experiment with "big picture" trades, partly psychological, while still trading paper--daughter just dropped off her 2 dogs for a couple of weeks and don't feel like babysitting trades today as well. Prepared to believe, based on noises emanating from a few news services I subscribe to that the EUR/USD will touch 1.2950 during the session, even though as usual one can find as many opinions for as against. In the meantime however price needs to negotiate the N American open and any tendency of the markets to close the opening gap, whence the otherwise ill advised (if not ill-advised in any case) risk/reward ratio. Looking at the market almost 4 hours after entering the trade no surprise we're down 30+ pips vs perhaps 24 pips potential gain, the "voices" easier to deal with if I can say, "Relax....all part of the plan".

Perhaps should add normally I have no problem exiting a trade and hardwiring in a loss no matter what size, since IMO we've already suffered the loss and exiting a trade makes resources available for subsequent setups, but mainly disconnects P/L from price movement for better or worse and allows us to equilibrate. In the case of a loss if staying in the market does not always make things much worse then it simply maintains the potential for dire consequences--not a happy state of affairs. Hope of a loss turning around at the whim of the market is no longer a factor since I accepted the market cannot be trusted--"can remain irrational far longer than we can remain solvent"-- and discovered I'm able to nickle and dime my way back to break even more often than not once resources are available when the need arises. That said, far from ready to pull this kind of stunt with real money.

ETA: 12:23 PM AST. An advantage of Not Trading is getting to read what other folks are doing while the day is young and I still have a few wits left--man there's a lot of creative genius on this board.

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Trade still after today's go-nowhere price action, so nothing to report.

In other news, very much enjoyed Manesh Patel's webinar this afternoon (" Psychology of Trading"); learned some new stuff and was reminded there are a few things I need to take more seriously.

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Trade still active. Not as much of a bounce in Pac-Rim and European markets (so far) as I hoped and the option to hold the position losing its appeal for me as expiry approaches, so to speak (FOMC rate decision (12:30 EST) and the Chairman's remarks (14:15 EST)).

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Couldn't sleep--got up in the middle of the night to babysit the trade, ended up drinking poisonous amounts of coffee laced with Maca to keep the eyes open by the time the FOMC announcement rolled around at 12:30 PM EST.

The trade was immediately stopped out for a loss of $671 during the ensuing +/- 50 pip price gyrations. What a feeling of relief--free at last Starting to accept I'm not ready for swing trading--next week it's down to business.

Subsequently made back $1091 in a few hours scalping to end the day up $420 after commission (on paper) doing what I do best (just not all that well yet)--gladly accepting money the market is giving away hand over fist.

Figures show charts and summary, respectively.





ETA: Reviewing mainly losing trades just now it occurs to me today was another case of making 20 trades when one would suffice, bringing to mind Jesse Livermore's comment in "Reminiscences of a Stock Operator":

"It never was my thinking that made the big money for me. It always was my sitting. Got that? My sitting tight! It is no trick at all to be right on the market. You always find lots of early bulls in bull markets and early bears in bear markets. I've known many men who were right at exactly the right time, and began buying or selling stocks when prices were at the very level which should show the greatest profit. And their experience invariably matched mine--that is, they made no real money out of it. Men who can both be right and sit tight are uncommon."

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I can't remember ever having "sleeping habits". I will sleep for 15 minutes, or an hour or 4 or 6 hours--never longer--waking up at any hour of the day or night and immediately sitting down in front of the markets to see what's going on but unfortunately also to see what still matters more to me--what I missed. I recognize that sleep has enormous benefits but am apparently wired in "we can sleep when we die" fashion, not sure I can change that after all this time. What has changed is I'm able to avoid leaping into the fray in the first few minutes after a 3 second glance at the charts, while the screens are still blurry and before the coffee has kicked in. Whence these opening remarks...simply to give the mind and fingers something to keep them occupied.

What I see right now is a missed a 60 pip rise in EUR/USD over the Pac-Rim session, price now rattling around prior day close/high, any trend long since dissipated. Manesh Patel warns if we stare at the charts long enough we see what we want to see, but this advice doesn't help me see what is there, what I'm not equipped to see, and it occurs to me I really have to bite the bullet and read Al Brooks' books from start to finish in the hope of putting these transitions into some kind of context. All I can do for now is obey one of the cardinal rules--if uncertain don't trade. What we miss is not as important as what we gain, and what we gain not as important as what we lose, and we will lose if we trade when things are not clear.

Alrighty....seem to have gotten the waking jitters out of my system so will take a peak at the news feeds to try to assess overall sentiment, maybe dust off Mr Brooks.

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Planning the session:
- a number of news events clustered around 8:30 AM EST trailing off by 10:00 AM EST.
- N American stock market futures modestly positive at the moment, oil up, gold so far holding its own after yesterday's rise so my commodity stock/ETF holdings likely not a distraction.
- From the charts EUR/USD consolidating around yesterday's high, in the area of 1.3030 -- something about 30, a number that is neither here nor there, that still escapes me. At the moment the number arouses suspicion that EUR/USD may fall before it rises.

To test that notion put a sell stop at 1.3020 (on paper) just now to give me something to visualize. Initial stop would be above here at 1.3027 if the order is accepted, midway in the channel between yesterday's high and close since hitting that means price may have no intention of breaking down (presumably to 00) right now and don't want to get involved in the consolidation. For that reason an initial stop higher still (just above the last high) at 1.3040, say, is out of the question--smack dab in the middle of the consolidation zone


6:40 AM AST Order following price somewhat aggressively, since if price retests 50 may turn into enough of a range to trade



6:47 AM AST Order accepted at 1.30455, initial stop at 1.30515, targets as indicated.


6:50 AM AST Stopped out, re-entered short at 1.30495, targets unchanged, new stop at 1.3053. From a trend trade perspective this (range trade) is counter trend -- dangerous


6.56 AM AST Stopped out. Price not interested in that particular range, it turns out Start thinking about trading any emerging trend. As usual want a retrace but will go with the flow if price wants to tango. Tell myself this is not revenge--this is the juices flowing I know it's revenge when I start placing market orders

7:08 AM AST Price calls my bluff, in long trend trade at 1.30655, stop at 1.30565. Won't worry my pretty head about targets until price decides what it's going to do--all that matters at this point is how much I'm going to lose if this is not a trend. This trade low probability according to 5 energies interpretation of indicators so guess we're going with gut instinct.


7:10 AM AST. Not dead yet stuck in an all-out target at R1, 1.3084. Stop moved to protection at 1.30675. Now we do our Jesse Livermore imitation: sit, don't think.

7:13 AM AST. OK....don't have Jesse down completely....start to trail the stop.... Turns out no need, target hit at 7:15, reversing our fortunes, up $93 on the day.

7:17 AM AST. Content with the outcome so far, starting to hear life stirring in other parts of the house, need to get my act together. Expect price to oscillate around R1 for a while but hoping for a strong price day as "unlimited" QE sinks in so with a few trades under my belt will wait for a retrace (R1 being in the vicinity of 90 expect relatively strong resistance here), see what other folks are thinking.

7:27 AM AST In other news, since Manesh Patel recommends diversity as the antidote to impatience started monitoring 5 other major pairs mainly at this stage to determine the degree of correlation, to decide if I can afford the distraction from EUR/USD and to figure out what kind of monitor real estate is required to observe and trade them comfortably. So far looks like the system may require another monitor or 2 if I go that route.

7:43 AM AST Trading possible breakaway from R1, in long at 1.3086, stop already at protection at 1.30875. Need to place target(s) but don't want to jinx it .... what the heck...can't argue with 00....common sense trumps greed. But fear trumps common sense--stop moved up to 1.30905.


7:52 AM AST Common sense has fear on the ropes...stop back at 1.30875. Trying to decide if 1.31005 too greedy in terms of Murrey Math or to go for broke and move it to 1.3107.....solution of course to split the target, take partial profits, devil (trailing stop) take the hindmost.


8:03 AM AST 2nd target hit. Up almost $300 on the day. Combat song by Clash starts playing in the back of my head, "Should I stay or should I go...". Kind of early to quit.


8:21 AM AST Resolve to halve quantity & watch, since I see 1.3180 sitting like a siren on a rock on the horizon, N American index futures and oil/gold still buoyant, 5 energies trend still intact, R2 halfway 'twixt here and there at 1.3144.

Oops.... in at 1.31175, stop at 1.31055, target 1.3144...perhaps a tad premature.


8:36 AM AST Stopped out for a loss of ca. $80. Feel the "This Means War" juices flowing. Double the quantity, do the short counter trade at market, stopped out for a pip profit or less. Whoa......steady big fellla


8:48 AM AST More war, price doing that coy, passive aggressive foot dragging thing it does, that I hate so much.


8:57 AM AST After a few more trades no further ahead, up for the day $218, down about $80 from the peak. I know I shouldn't fixate on $$$--points some say, percentages say others, but Maserati doesn't take points or percentages last time I checked. Having let price get to me time for a cooling off period....maybe go slam my fingers in a door a few times

10:06 AM AST Scalped my way tooth and nail up to $412 on the day--no point in showing details of the brawl but will post the summary at end of session. Once again need to decide--stay or go. Depends on how EUR/USD responds to N American stock market open I guess--can't take much more of its thumb twiddling.

10:28 AM AST Scalping the run up to N Am open taped my eyelids back.....blinking was causing me to miss some of the action :-/

10:38 AM AST Up over $600 on the day. Price still buoyant. Currently long last trade with 1/2 position remaining target R2 (1.3144) if price clears 1.31225, although expect headwind at 1.3138 from MM 6/8 (sorry Fat Tails....can't help myself :-/). Still....got real resistance at 12/13 , hypothesis 1/8th is the unit on some derivative somewhere.

10:58 AM AST Up just over $700 on the day. May be it for me....while I hate leaving a dollar on the table hate folks picking my pocket worse. Any event expect price to oscillate around R2 (1.3144) now for a while...unless it doesn't. Can see 1.3180 from here. Might trade a few half positions.

11:16 5 losing trades in a row sitting at $671 even on the day, 1.3180 living up to my perception of it as a siren What would a reasonable person do? Have his crew lash him to the mast, of course. Damn the sea serpents.

11:24 6 losing trades in a row, sitting at $630. Starting to think I should stop trying to will the market higher....signs have been there for a while--market looks like mule with its hooves dug in and ears pinned back. Maybe time to join them if I can't beat them (profit takers, presumably, or accumulation/distribution occurring at 1.3150--if I'm out of my league).

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Done. Today's summary, trades and charts



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hi there, did you notice your equity curve looks like the market chart? Well, if you squint sideways at it.

You can discover what your enemy fears most by observing the means he uses to frighten you.
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Yeah--happens enough it might make a decent chop indicator Not entirely kidding--there are systems out there that use MAE/MFE/ETD to adapt.

ETA: Should add, you've pinpointed exactly one of my biggest issues--knowing when to change gears. In 1st when I should be in overdrive and doing 100 mph when I should be downshifting for a curve, little clue when to pull over and park, no clue how to find reverse, so to speak.

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This morning ordered all 3 of Al Brooks latest books from Amazon.com (as opposed to Amazon.ca) in hardcover--winter is coming...soon need something to curl up with--my favourite bookseller and cheaper after shipping, exchange rate & fees than buying either online or over the counter in Canada. Not sure why intellectual property (even the E-book versions) is ca. 20% more here than in the U.S., or why some U.S. sellers add 20% to the price of IP for Canadian orders, but until that changes will continue to do all of my book buying from Amazon (US).

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Sums up how I feel when scalping. Including the blank lead in

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Or this


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As planned back to the cash account this week, starting this evening trading the slo-mo Pac-Rim session with tiny quantities for the most part (0.6 contract mostly, occasionally 1.2 contracts) to ease into it. Find there is a definite disconnect moving from paper to cash. Through trial and error found 0.6 to 1.2 contracts is my "do not care" range (i.e., able to stay almost entirely unemotional unless I run into a losing streak. 2-5 contracts and every trade is an "I care" trade, particularly trading cash.

NT is still running on the laptop, still happy as a clam. Performance of the previous operating platform seemed to improve (no longer eats memory) when I disabled MS SQL services used to store incoming N American market data during the week, as well as apps that do a rudimentary scan for buy/sell opportunities on the database. An app written in Perl to acquire the data in text files on disk after the markets close is still running. This seems to support the hypothesis that NT works as well as can be expected for an app in its class, simply does not cope well with dwindling resources. From now on will make sure it has lots of head room.

So far up about $90 since start of session 6 hours ago in 15 scalps--$15/hour--profit factor 2.21, 73% successful bearing in mind when scalping I try very hard not to take a loss, so some of these "successful" trades may net $1. Losses are all that matter to me since as I've said before I don't have much of a problem making money when the market is dishing it out--problem remains keeping it when the market starts to chop. Either have to find a foolproof way to trade chop or learn to sit on my hands. I find Pac-Rim action particularly hard to predict--very much different than European or N. America. As a consequence have been trading more or less "out of the corner of my eye"--playing Spider Solitaire, checking email and monitoring trading screens with peripheral vision until unusual movement causes me to take a 3 second look and either place a stop/limit order or go back to the game. Just as Manesh Patel claims I find this approach helps me avoid staring at the chart and seeing things that aren't there, prevents me forming opinions of what price is going to do. Preconceived notions do me in every time, although I admit there is a fine line between "preconceived notion" and that peculiar insight into what price is about to do that causes the hair on the back of the neck to stand on end and is behind successful trades--still don't understand the difference.

That said, it's late here, I'm tired and just uncorked a bottle of wine, so that's it for me for now as fascinating as price is to watch in a cat/mouse sort of way.

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Woke up late & groggy this AM after maybe 5 hours sleep, coffee not much help, 53 trades since last night--33 since I sat down in front of the computer, now ahead about $14 (cash), paid about $225 in commission. Can't seem to do anything right even though the market has tried to be accommodating. On a brighter note lots of bad trades to analyze Will sit here for another 30 minutes or so until end of session--not planning to trade anymore but never know. Chart and summary at end of session.

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Alrighty....could stay and play all day but better for everybody if the dogs take me for a walk.

Figures show performance summary, trades and charts respectively since markets reopened yesterday



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Switched back to paper yesterday after I was done for the day to trade straight "price action" in anticipation of reading Al Brooks' books. I've watched or read everything I can get my hands on by Al but still have no clue what I'm doing, just want to get used to watching each bar form. Since then made (lucky) 13 trades, down $201 (paper), and expect to lose a heck of a lot more :-/ Not sure how long I'll keep this up but it's fun so far and will probably persevere the rest of the day--likely will not post results unless I actually learn something from it.

ETA: In addition, liquidated most of my gold and oil stock/ETF holdings yesterday after the dip in Brent/WTI was not immediately dismissed as fat fingers, replaced the bull crude ETF with a bear ETF since in any event might be enough to trigger a pullback if folks are in the mood--counter trend trade that I want to keep an eye on today, not sure when common sense will kick in again and the trend will resume...lucky if the glitch lasts to this weeks' inventory numbers I suppose but prepared for a day trade.

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Doing some research in fair value premium driven program trading mentioned in this afternoon's webinar by Mr TopStep came across the following claim by H&L Camp and Co. at programtrading.com. Suggests it may be worth doing that price-movement-vs-time-of-day study after all, even if program trading may be less than 20% of the currency market.


Quoting 
Retail customers trade based on price. Most lose money doing it. Program Trading Desks trade based on time. They make money doing it. So it is easy for you and your trading firm to know which one is the most important. In general, program trading has little to do with price. Something that surprises a lot of traders and retail customers who are constantly talking about and using price for their trading. Statements like support is at such and such and resistance is at another such and such. Market Profile and the Fibonacci number for today is such and such, and the latest craze, today's pivot points are such and such. All of this talk about price is really for amateurs and retail customers who do not have a clue about program trading. And program trading is over 60% of the volume most days, and on some days runs a lot, lot more.

Program Trading Desks trade based on time. And they have three clocks on the wall to tell the time every day. If you would like to see those three clocks for one day, just scroll down below. Most likely, you have never seek [sic] anything like it. So what time is it? Program trading is based on time and that time is Central USA Time. All program traders world wide are on Chicago Time. Where you live or work, just like price, is totally irrelevant.


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During the reset period (advertised as 11:45 - 00:45 ET in N America) TWS will disconnect from one or more servers as these are reset, the outage claimed to be "seconds". In fact TWS may not reconnect to whatever service manages orders for minutes or hours if at all following the reset, although price remains active on charts and active orders remain active. Restarting TWS simply makes things worse (TWS fails to initialize and price action in the interim is lost).

Occasionally (like tonight) I make the mistake of trading through the reset period, which sometimes results in me getting to watch helplessly while price wanders between my trailing stop and my target--tonight it's been more than an an hour--unable to make adjustments to the position.

IB's "You Are Screwed" screen in this situation is filled with bright purple (pink?) lines:


ETA: Back online and connected about 90 minutes later. Would have been somewhat sooner but took 5 or 10 minutes to discover NT was refusing to connect to TWS because it had taken it upon itself to change the Client ID in the IB Account definition from the default (0) to the number 326--not sure I've seen that one before. Never a dull moment.

ETA: For the record had to "repair" NT's database to recover the last trade after I finally managed to close it. DB errors tend to occur during these loss of connection events, perhaps because I'm prone to repeatedly shutting down NT and restarting it with different account parameter settings, perhaps too quickly. First time this has happened on the new system and hope the installation is not damaged.

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7:45 AM EST 19 August....first trade of the morning does not appear in the Account Performance system until the DB repaired, although details are wrong--it was a short trade entered in the wee hours before I went to bed, exited just now--0.6 contracts and captured 48 pip when the EUR/USD fell overnight, accounting correct on IB's side--but NT Performance Summary records it as a long trade that was entered and exited just now. Does not bode well and will do a DB reset.

Back to paper until we confirm proper operation. Darn it all anyway

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It's official--NT is once again FUBARed and today is a writeoff, once again no trading soup for me. Executions show NT is somehow carrying a non-extant long position of 1.2 contracts that is used to calculate trade results & performance, when otherwise (i.e., in Positions) both IB and NT agree there is no open position.

Have asked NT to shed light if possible, now that I'm able to narrow down symptoms a little more systematically.

ETA: NT's prompt response is to install sanctioned version combo of NT and TWS (currently NinjaTrader 7.0.1000.10 and Traders Workstation 927.7). While its seems to me (having run into the same thing over the last few years with pretty much any version combo) the issue is independent of version combo, sanctioned or not. I always enjoy a ride on the reinstall-from-scratch. reload-tick-data-from-non-IB-historical-source-topped-off-with-up-to-the-moment-data-from-my-kids merry-go-round....NOT

My own action going forward will be to ensure no trades are active & both TWS and NT are shut down during the reset period, waiting to run up NT until it can be confirmed TWS has reestablished full connectivity. No more overnight autotrading fun and games for a while.

ETA: 10:13 AM EST consoling myself that the gambol on a WTI pullback is so far paying off, CL 10-12 suddenly trading below what IMO is critical S/R of $94.

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Something of an eye-opener for me reading the journals of folks who trade CL the way I trade STF currency (well...maybe not quite as frenetically as I trade currency :-/). My ultrabear crude ETF investment is ahead the $$ equivalent of 46 ticks in just under 48 hours, whereas if I'd sold CL instead of buying the ETF when I did I'd be ahead about 10x that. Content myself with the fact any profit is better than poking myself in the eye (which is the likely outcome if I tried to trade CL ).

ETA: 15:39 EST working on getting tick data into NT but watching CL, exited my ultrabear ETF at 15:15 EST just before OPC when spider sense started to tingle--sure enough CL up on fairly significant volume (ETF down) at 15:30--so now flat crude. thinking about buying an ultra bull but need to see a little consolidation assuming crude consolidates. May be that price action is price action and shorts are shorts (predictable at end of day on a big negative news day) no matter what the underlying, and even if one decent swing does not a commodities trader make I can see why futures trading has its appeal.

ETA:16:45 EST on the topic of "significant volume", after currency trading so long knowing the volume on one hand is distracting and on the other feels almost like cheating

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Another day, another order stuck in NT Executions. Can't live this way and an hour ago came THIS close to clicking the buy button on MC. Reason prevailed, yet again told myself "it's not you NT...it's me...got to be" but one more stab at re-installation and that's it. Change good as a vacation

ETA: What actually stopped me from pulling the trigger on MC is the CDN price (more than $100 above the US price even with USD < CDN at the moment--really do not understand the penalty on some IP imported into Canada from the US), so sent them a note asking to be notified when discounts are available again.

ETA: Trading paper this morning--more or less procrastinating until later today to reinstall the system--notice that my attitude is dangerous, as in "who needs this". I don't remember feeling this negative since I started trading and it's not a good feeling--kind of scary--definitely related to the fact I'm nearing the end of my rope trying to keep NT running. Need for an attitude adjustment the main reason it may be time for a change, new broom sweeps clean. BTW, this is not a comment on the tools I choose to use, just an emotional state recorded for future reference.

7:43 AST. Alrighty......IB (build 930.3) & NT (version 7.0.1000.11) reinstalled & configured, latest versions of both despite NT's warnings against doing that (something to the effect the latest NT is beta wrt IB and results may disappoint--warning good for a chuckle if nothing else). I use some of the newer features of TWS so have decided I'm no longer going to run an unsupported version of IB to humour NT--call me when you've got it sorted out. NT ran up and connected, Account Summary shows it didn't immediately shoot itself in the head (no phantom executions, no matching entries and exits from orders at random and calling that a trade)--wonders never cease--so we'll start out with a few paper trades to see whether this version combo can track orders properly.

8:06 AST First trade executed normally. I'll be damned. Feeling a little like Charlie Brown when Lucy swears she's not going to move the football this time but what can go wrong.....Roger Houston....go with throttle up.

8:24 AST 3 trades, no issues, all increasingly profitable (on paper) as my mood improves for a total of $170, all discretionary, no stops, placed looking at what NT has constructed so far of a volume (activity) profile on the 200 tick chart, guided for trade direction & S/R by a 4 hour chart displayed by IB. What a difference a functioning system makes--like shooting fish in a barrel.

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Done for the day after putting the IB/NT version combo through 30 or 40 trades. Mostly good news, no bad news to speak of. In other news however now the proud owner of MC & MC.Net. Between TWS, NT, MC & MC.Net hope to find there's not much I want that one won't accommodate if another does not. I suppose in that regard a little like having multiple wives &/or girlfriends....how much of a headache can THAT be.:hopium:

Good weekend to all.

ETA: Oops...wife reminds me it's Thursday....actually knew at one point today but since I plan to play with MC tomorrow--let the kids have at it on the weekend--let's make that a great EXTENDED weekend to all

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MT & MT.Net now installed on the laptop and MT configured with "five energies" trading system (screen shot below). Wrote a couple of trivial indicators in PowerLanguage--going to have to brush up on that. Spent the day paper trading to become familiar with the new look and feel, haven't yet had a chance to look at MT.Net. Absolutely love everything about MT so far


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Just stumbled across the "Edit in Visual Studio" button in MC.Net PowerLanguage Editor as described in this video on the MC site. I think I'm in love



ETA: the "dangerous feeling" I experienced a couple of days ago culminated in my coming down with a cold that, given my state of self pity at the time, came periously close to turning into a " man cold", in which event I'd be bunking with the dogs (wife doesn't accept its existence). In hindsight the symptoms had been there for days but didn't recognize them because I don't get sick as a rule, feeling much better after a couple of good night's sleep and a lot of fluids.

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Pensive for the last few days. Installed MC, MC.Net and NT on a new I7 dual monitor system today, logged into the cash account but traded NT sim all day when not watching trading videos, except for a couple of quick money-makers on the cash account. Not a whole lot of action during the N American session lately. Working on easing the kids into a family trading business while they're still impressionable--probably don't miss business so much as need an excuse not to pad around in a housecoat all day . Still somewhat under the weather--wish colds didn't mess with what little sleep I get.

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Still off my game. Active on paper (thank goodness given today's gambling session) and stock/ETF swing trading on real money accounts--commodities only lately--but find these take far less mental presence than spot currency and excuse a greater margin of error (assuming one has the direction right at least). Probably will not trade real money until the urge to blow my nose every 2 minutes subsides and should stop trading altogether to avoid resuming some very bad habits.

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Paper trading again today after a decent night's sleep, the focus on sticking like glue to the rules I know work, abandoning a recent foray into trading my limited understanding of price action at least until I've managed to digest the contents of Al Brooks' books (arrived yesterday). As might be expected things are going relatively well so far, and if I continue to stick to the rules fully expect things to go well for the rest of the session

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Done for the day just prior to end of session. As planned stuck to trading plan rules more or less, although still managed to get distracted (e.g. by futures.io (formerly BMT) posts ), still took a few iffy setups. As expected (when I felt it) the urge to chase price (like a cat wants to jump on a mouse) and to take revenge trades was strong, but those are 2 behaviours the trading plan steers me away from.

It was also hard to quit just before end of session when price was still moving. However the desire to trade was strong only because last trade exited prematurely (price hit trailing stop before 2nd target hit), then went on to touch where the target had been. Classic revenge urge, especially dangerous because waiting for an actual setup would have taken me past end of session, meaning more pressure to "get in now at any cost."

The urge to trade price action (my notion of price action right now kind of a murky soup of mumbo jumbo, feelings and unidentifiable urges likely more diagnostic of what I had for breakfast--pizza in this case--than potential price movement) was never an issue.

ETA: the relatively high P/L ratio of 72% tells me a) I was consciously trading the short time frame chart in the context of the medium time frame chart and b) price cooperated by trending most of the session.

Summary, trades and carts for today:



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Spent all night (re)configuring hardware and software, spectator today.

ETA: 16:00 AST. One of the sports I'm watching is 5 minute ES in light of what I've gleaned from reading Al Brooks. IMO ES price action is significantly different than spot EUR/USD tick bars (I can see features he talks about in ES, not so much in spot FX tick charts, although correlations may be useful) so will likely get back into ES when the time comes to practice what he preaches.

20:21 AST: Just dawned on me I'm comparing apples & oranges--the better comparison is with 5 minute Forex bars. D'oh. It may be whatever aspect of tick bars I depend on for "5 energies" trading is not present in time bars, just as time bars may be suitable for Al Brooks' method but not ideal for "5 energies". Still have work to do.

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Still learning my way around Multicharts PowerLanguage, and one of the things it teaches is I'm a sucker for little refinements that I'm not used to with NT. In this case, debugging an indicator just now, when I hit "Compile" the changes to the indicator instantly appeared on all charts where it was installed. I like that

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Having repurposed, remapped and repositioned a number of the computers in my home office over the last couple of days I spent the morning calming network hiccups that suddenly materialized (e.g., at one point TWS managed to lock my IB account after a number of automated retries to authenticate during startup and I had to ask IB support to kindly undo my handiwork :-/. It turned out I forgot to hardwire the new trading computer LAN IP, and the IP randomly assigned by DHCP did not match the IP hardwired in the router for ports 4000/4001, which TWS depends on). As usual, if it's up and you want to keep it up....

I see I missed a nice trend in EUR/USD.

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No currency trading the last few days, but am using ultrabear/bull ETFs as surrogates to "trade" CL on a cash account to become familiar with CL price action and to profit from the swing in crude price over the last couple of days. The difference between trading CL directly and trading the ETF is an approximate 8:1 P/L ratio between the 2 (i.e., for a given $$$/tick investment, profits and losses for the ETF are approximately 1/8 the P&L for the future). Kind of like training wheels. The other difference is the ETF is available only during N American market hours so I hesitate to hold a position over night.

Aside from wanting to capture profits I'm looking at CL as a possible alternate instrument as an antidote to impatience. Trading EUR/USD exclusively means I spend a fair amount of time sitting on my hands, and idle hands are the devil's plaything.

2 reasons I haven't been trading EUR/USD include the following:
1. Canadian thanksgiving is approaching and I'm spending time with family, including a brother I haven't seen in years, which IMO is pretty much all it's about; and,
2. The new trading computer is abending about once a day with a BSOD. Windbg analysis of the .DMP file show it's the likely the usual video driver problem (in this case atikmpag.sys is shooting itself in the head) so first step will be to flash the BIOS with a more recent driver for the video card if I can lay my hands on one, or perhaps remove the card altogether and go with the onboard chipset for now.

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Easing out of Canadian Thanksgiving, still (over)trading CL using an ETF proxy on a cash account for the experience but managing to make money. Wish I could say the same about spot Euro. Still reviewing Barry Burns' training materials ("5 energies" system)--amazing to me how far I've strayed from the system. Yesterday and today experimented with my understanding of BB's advice about trading reversals (range and trend reversal trading), on paper sub 50% percent profitable,, 0.57 profit factor, Max consecutive losers 10 vs 9 consecutive winners, trading 1 lot 39 times lost $192.15. Bottom line is, just because we're "just practicing reversals" it doesn't make it OK to trade chop. If it's chop, recognize chop and either take the day off or use a chop technique.

Didn't do any reading today--"reading" in this case means Al Brooks.

Did dust off a fuzzy logic DLL project that intends to implement BB's system one day, in response to questions I've been getting about AI solutions. Still owe @NJAMC a response to his question about how to train using AForge.Net--working on it in another browser window but short answer quite simple; use the following syntax to train a net:

 
Code
teacher.RunEpoch(inputN, outputN) / nData;
where inputN and outputN are [][] arrays. Details are in the project file attached as a .Zip file to the first post of this thread. While the .Zip file contains a MS VS 2010 solution the source is directly accessible in the .Zip archive, file in question is Form1.cs. IIRC see code lines beginning at line 1187.

ETA: In other news watched spot EUR drop 50 pips while attending tonight's webinar. IMO the webinar well worth the cost

ETA: Mystery gap in 6E vs "continuous" spot over market close:


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Spent most of last week and the weekend until now musing about hardware and software platforms and watching oil. Made a few trades via NT but lost the accounting when I made the mistake of trading past 1 am AST when IB servers reboot (or do whatever it is they do) and NT shoots itself in the head, like clockwork. I knew I was doomed as soon as I noticed the time. @Fat Tails has already admonished me in another thread--I don't understand NT--and I accept that. Which is why this week we're going with Multicharts

On the topic of oil, up overall since I started watching it a few weeks ago but I broke even for the week which is kind of worrisome, which means toward the end of the week I lost the $400 I made earlier in the week. I day- and swing-trade oil via ETFs on a cumbersome banking web-based interface in an account that has essentially zero leverage and huge commissions ($20 round trip) but is sufficiently capitalized to allow for quantities that let me take profits at 1-4 ticks and still keep the risk acceptable in terms of money management. At the moment the issue is learning oil price action without breaking the bank rather than consistent profits, but these days I like profits out of the gate.

On the topic of hardware and software platforms, I've reinstalled the operating system & trading apps on the new trading computer twice in a number failed attempts to upgrade to more recent ATI Catalyst Control Center software, upgrading only because of the out-of-the-box random BSOD issue. I like the thing over all--huge monitors & goes like stink, and EyeInfinity works well when atikmpag.sys is not randomly abending in a BSOD (less frequently now, once every few days to a week). It's very true what does not kill us makes us stronger. A month ago I thought all I wanted to do was trade, had no time to waste frigging with technology, would buy the first I7 machine off the shelf that I came across. I've been reminded technology is part of trading, especially if you want a hardware platform you can trust--and by trust I mean you understand it intimately, have no one to blame but yourself if it fails, and when it does fail are able to spot and fix the problem immediately--you have to build it from scratch. Also reminded ATI is still out there after all this time, as bleeding edge & problematic as ever. The computer I build will not use ATI intellectual property

Alrighty...new trading week upon us in 30 minutes, feeling more energized than ever, technology another challenge but as a trading puzzle piece seems to fit. Judging by the rumble of the truck exhaust in the street first born son and granddaughter just pulled in, returning our 13 year old Shepherd/Lab mix after what was probably a short walk in the park (cold, raining, dog can't go 100 yards without resting) in time for supper. Life doesn't get much better.

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Spent the last few days cocooning with Multicharts on the new trading computer (at some point will have to stop calling it "new" I suppose), transcribing the custom indicators I use to PowerLanguage, setting up workspaces and stress testing, including trading across IB's server reboot in the wee hours. So far passes with flying colours.

Likely the setup shown below will not be the last, but comfortable enough today to trial spot EUR/USD on the cash account. On that note more or less bullish on everything approaching the N American open, although expect turbulence around the open.


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sorting out my feelings. All of us have feelings that are easily hurt by trolls on forums. Some of us have learned to deal with trolls, but I have not. So;me of us have demons that even forums can't help. Looking at price just now it's the light I have to go into. Good luck with the forum.

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Just need someone to keep up with me, when I choose to trade, trading buddy not a bad thing, but buddy.....I need you to Know as much as I do.

trade when I do. It's a time zone thing.

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bnichols View Post
Just need someone to keep up with me, when I choose to trade, trading buddy not a bad thing, but buddy.....I need you to Know as much as I do.

trade when I do. It's a time zone thing.

What is your time zone? Are you trading the 6E from the European open?

Regards,
Neil.

PS a fellow MC & IB & 6E trader.
Im trying to just use a 20EMA and PA on a 5minute chart.

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Not actually a time zone issue. Turns out I'm having a hard time getting over losing my father (moved to a nursing home recently, doesn't recognize me). Who knew I cared--certainly not me. Comes as a surprise sometimes, what we care about.

eta: not the place for this. I'll be back once back in the saddle.

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Sorry to hear about your family issues @bnichols. Trading is like a sport, you will perform best when you are completely focused on competing and have your mind clear of other thoughts and challenges. You should try some physical activity to clear your mind and vent frustrations over things you cannot control (your father) so that when you sit down at your desk to trade, you can focus.

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Thanks guys. and apologies. I've been practically living in my office for the last few weeks, not sure whether to resolve (platform) issues or to avoid (life) issues, but in any case ready to accept all work and no play doesn't just make Jack a dull boy--it can drive him crazy

Will make r & r part of the drill--should be fine in a few days.

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Spent an uneventful day day-trading gold, which means pretty much long an ultrabear ETF all day, made a decent day's wage.

Still learning MultiCharts--thanks to @Big Mike this site is a how-to gold mine on that topic. Still love the app. To paraphrase Bob Dylan, have a head-full of ideas for indicators & signals that are driving me insane At this point in my short career it seems to suit my manual trading needs a little better than NT.

In other news,
- haven't started the Insanity workout yet, or P90-X, or even walked on the treadmill or gotten any fresh air come to think of it--but did get dressed (including shoes and socks) instead of reaching for the house coat when I woke up this morning. Huge step forward, since I tend to spend the day in whatever I put on first.
- changed the batteries in my wireless mouse. It has been driving me nuts for days.

ETA: We're talking abut the mouse on the system I communicate with. The mouse on my trading system is wired.

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Intro

Spent Friday day trading commodity ETFs (oil and gold) and a little spot Forex in cash accounts. I've dropped my quantity on spot EUR/USD to 1/2 contract for both paper and cash trades for the time being until this spot of emotional bother passes, but keeping the unit quantities on the ETFs up there to let me profit on a nickle move equal to my initial stop (V1 level as pilots say, bail at profit equal to my stop loss if it starts to look like something is amiss with the bird). Ended up somewhat at the end of the day on both accounts enough to have my motorcycle boots resoled and to put a down payment on next month's Visa bill.(large , trading infrastructure related).


Platform Issues
As hoped Multicharts is the new broom that sweeps clean. I can get things done in PowerLanguage (virtually identical to EasyLanguage) almost effortlessly, which I attribute to lack of fear (using C# I eventually learned to live in fear of being whacked by NT order handling ). To reiterate, NT performs flawlessly except that something about the way I continue to configure things ensures the database records containing order info become corrupted sooner rather than later. The order DB is not required to use NT and whatever it is may be a simple fix, but after fix number 859 I have better things to do right now than figure out where the simple solution is lurking, am not likely to switch from tick charts or from IB soon (if those factors are contributing to the problem) and hardware & software work 100% or they go off the back deck into the bushes. Suppose the opinion comes from too much time at sea--if it's on the bridge it works or it's over the rail. Too much depends on it.

Progress
With MC I'm finally making progress coding the 5 energies method, which is my meat and potatoes. The issue is how to translate what is meaningful to me to what is meaningful to a bot. The futures.io (formerly BMT) poll to the effect "how many signals/clues do you use to trade" got me thinking--I voted 5 or 7 I think--but analyzing the method over the last few days I was amazed to discover the number is actually astronomical, at least in bot terms.

Henry Thoreau said, "Simplify, Simplify, Simplify", which I suspect may be a goal for a number of us, but I'm haunted by the fact when he said that he was talking about lifestyle and trying to grow beans, not trade derivatives. It may be once trading is as easy and familiar as turning over a bit of earth and weeding I'll accept the wisdom, but for the time being I've adopted the approach popularized by Lord Kelvin on the topic of measurement in order to understand a thing, to paraphrase "Quantify, Quantify, Quantify".

On that note I'm trying to transcribe the stochastics indicator (representing 1 of the 5 energies in the method) to bot speak by quantifying how I use it. I respond to slope of D & K, instantaneous value of D & K between 0 and 100, which is above the other at close of bar, and patterns like divergences (especially microdivergences--divergences with price occurring in the same cycle).

As a start I'm trying to reduce stochastics to a flat line indicator color coded to degree of buy/sell confidence based on hard coded patterns (no adaptive pattern matching yet). In any event I recall responding to someone recently that IMO one doesn't trade a single indicator and this is no different--no need to blow the creative wad translating an indicator into something a bot can grasp. Bots crawl before they walk (can't recall if the source for that idea was Twilight Zone or Outer Limits)

Issues & Solutions
The first issue that arose is I think in colored pictures, whereas bots think in [pick a topic for what bots think in terms of, but my first guess would be sequential binary numbers--but we can extend the notion of how bots think to the example of analogue computers]. I like indicators to show slopes in color and after some thought about how bots think and color therefore am seeking to reduce all the trading info represented by stochastics for a given instrument in 3 time frames to a single colour coded (buy/sell confidence) line, colour equivalent to voltage in an analogue computer but also to soft input values to digital computer fuzzy logic algorithms, that allow them to compete with analogue computers, even slide rules, for problem solving.

The first technical issue that arises when trying to manipulate color as representative of but/sell strength of an indicator applied to an instrument in 3 time frames is how to deal with noise and latency. It's pretty much like any family gathering, where you, the grandparents and the kids (and their kids) get together--younger the more noise but the freshest information, more potential, greater life force; the older the more latency but more wisdom (dementia not factoring into this model). You (the medium time frame indicator) are just plodding along looking for setups, witness, trying to cope.

The first solution that comes to mind is using an exponential average to quiet the noisy ones (noisy ones = indicator applied to short time frame instrument). First came across the exponential average back in the days before GPS when Loran was the tool of choice for navigating at sea and lane skips were common, as a solution to how to smooth direction, became enamoured because of its bottomless simplicity, pseudocode as follows:

 
Code
smoothedvalue  = newvalue * (2.0 / (1 + numberofsamplestosmoothover)) + (1 - (2.0 / (1 + numberofsamplestosmoothover))) * lastSmoothedValue ;
lastSmoothedValue = smoothedvalue;
This is well and good but the next technical issue to arise is how to smooth a colour that represents a buy/sell pattern associated with an indicator rather than a specific numerical value generated by an indicator. MC has a color gradient function but it doesn't seem to do what we need (unless we create a new time series, and I don't like creating unnecessary time series). It's easy to smooth the hue of HSV color values but MC functions seem restricted to RGB color space..

Therefore I transcribed 2 functions (attached in an MC .PLA file and also as .TXT files) from C (the ancient language of our foreprogrammers) to PowerLanguage to convert back and forth between them.

To reiterate, these functions let us smooth changes in a price chart that we perceive as color--first step to coding my trading method.


Eplilogue

Developing bots we work from concept through intuition to analysis and the devil is always in the details. The above describes yet another beginning in how we perceive an indicator might be coded as input to an Artificial Intelligence technique (one feature in a feature vector for a neural net, or preconditioning of a conventional trading indicator for input to a fuzzy shape function as fodder for a fuzzy inference engine).

Attached Files
Register to download File Type: pla RGBHSVConversions.pla (6.7 KB, 8 views)
Register to download File Type: txt HSVToRGB.txt (1.1 KB, 8 views)
Register to download File Type: txt RGBToHSV.txt (886 Bytes, 7 views)
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  #171 (permalink)
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Pretty much babysat a commodity ETF all day (ultrabear with CL as the underlying) using Multicharts and the IB DOM to monitor CL, indices and the ETF. Anyone trading oil today knows how that worked out

Finding the combo (MC and IB) absolute luxury, but could use a few more screens to avoid switching between MC work spaces (there are 2 x 27" monitors attached to the trading computer). On the topic of browsers, the "new" trading computer hasn't abended in a BSOD in a couple of weeks, coincidentally since I stopped running IE and NT and did a Windows 7 update. I also removed a cigarette butt from the interior of the computer--possibly mine but no idea how it got there and still no clue what the cause of the BSOD was. In any event correlation does not imply causation.

I wrote some experimental indicators in PowerLanguage to develop the notion of translating color into something a bot can understand and tried to bounce ideas for heuristics off my Gen Z son while giving him driving lessons last night--essentially how to translate what color in an indicator conveys to me when I'm trading (essentially the first derivative, or rate of change) into feature vectors for input into artificial intelligence (AI) engines. He also trades and is enough of a geek to understand what I'm talking about and would like to do more but so far unfortunately is more into texting and cars, looking for a vehicle appropriate to his station once he learns to drive (he's 21. His siblings were driving the instant they were legal). Not sure what to make of Gen Y & Z and their fixation with Beemers and turning cell phones into flashlights

Experimental PowerLanguage indicators are attached for MACD,15 EMA, 50 SMA and Stochastics for sake of amusement. All of them use the previously published RGB/HSV conversion functions and all try to reduce the respective indicator applied to price in 3 time frames (setup or medium time frame, entry or short time frame and confirmation, or long time frame) to a single coloured line. Technically speaking they all work but fail miserably in their goal because the heuristics are insufficient (whence the monologue with my son mentioned above). The heuristics depend on being able to objectify (to the extent a bot can grasp it) exactly what an indicator provides to a trading method. If the heuristics are insufficient it likely means my understanding of my trading method is insufficient, which likelihood is supported by the fact my P&L trading short time frame spot Forex is oscillating around a fixed point at the moment

Tried to write the algorithms in the indicators as functions since functions will be required by a bot ("signal" in MC speak) but it turns out I don't know how to persist variables in MC PowerLanguage (requires global variables) except by defining them in the calling algorithm and passing them back and forth by reference--the way C does. If a 3rd party DLL is still required to implement global variables in MC don't want to go there right now. The function equivalents work, but are uglier than the indicators so not included.

The .PLA file is included for MC users and text for each indicator in a .ZIP for any who would rather view or convert to another language.

Attached Files
Register to download File Type: pla TDIndicators.pla (61.0 KB, 7 views)
Register to download File Type: zip TextVersions.zip (4.7 KB, 14 views)
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meant to attach the screenshot of the line output of the 4 indicators attached above, along with Data1, 2 and 3 (200-, 600- and 1800 tick charts), so here it is

Indicators are bottom 4 subplots in the image below. Green= buy, red = sell, yellow'orange = beware.


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Spent almost the whole day learning how to write signals in Multicharts, and transforming aspects of the 5 energies system into experimental signals. BTW, the screenshot in the previous post is in support of this work and designated as the strat workspace, not something a human would trade from

In other news I lost $600 cash (my daily limit) trading gold ETFs today. I tried 3 times to catch a falling knife when I know far better than that. I think I've resolved the issue but tomorrow will tell. In contrast currency trading is going swimmingly, averaging +$162/day over the last 5 days trading 1/2 contract (except when downshifting and stomping on the gas pedal--increasing to 1 or 2 lots--as required to pass a spot of bother), coincidentally since I switched to Multicharts on the cash currency account. Only one hiccup when TWS lost the connection with its servers just as the London market responded to something someone said around 4:30 AM local time (not at my best at that hour anyway) and dropped like a rock when I happened to be long EUR/USD. Unlike IB to drop the ball on tick volume--trust it was a one-time thing. Luckily the drop turned into enough of a downtrend to turn those frowns upside down.

Trading continues to sink in, slowly but surely. I continue to be reminded that even though we think we know a thing (e.g., placing an order will not cause the market to snap out its 10-pip range or come to its senses and start to move in the direction we want it to go) we very often in fact haven't learned that thing very well as evidenced by our actions, and will continue e.g. to place ill advised orders out of boredom, or irritation with the market, especially to place long orders (when every scrap of evidence before us proves beyond a shadow of a doubt price is dropping and will likely continue to drop) simply because we don't want to go short today, and not trading means we'd have make a start on the to-do list maintained by our significant other. Much work to do on ourselves as traders before we sleep.

The more I use Multicharts the more I like it. A little like doing that business trip in a Caddy when the office accountant told you all you could expense was a Neon.

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Today's chart


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Developing bots since I last posted, which means paper trading and coding.

Just discovered a new parameter I haven't grasped yet and hence haven't coded yet. When it is coded it will probably be called Trust. There is a randomness about price action (search for value) this AM that I don't recognize, hence don't trust, hence am not trading. Well ok, just now for a few bucks once price commits.

Trading the Pac Rim market this morning and looking at price vs the signals I use, and after 3 years trading EUR/USD exclusively, I'm still seeing price action I've never seen before. For the time being it remains inscrutable.

One can enter by peppering the market with orders, and with a long/short bias, but so far the fact remains I have no clue where the market will be when I wake up later this morning.

Someone is arguing with someone else about where the EUR should be right now. Can't begin to program a bot to handle domestic disputes. Shorts are winning at the moment. I can imagine someone shouting, "Well then what is it worth".

IMO I'd have to go to school 2 or 3 times to program a bot to capture this action. Leaving this at 1.2900 spot EUR/USD. Made a few shekels.while writing this.

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Believe the randomness ("Trust" issue) I ran into last post re EUR/USD was due to stop hunting, which like news can artificially bias price--one skilled trader with megabucks driving price to its likely conclusion by triggering stops. Maybe s/he has a big order to fill

ETA: in any event long on paper at 1.28965 assuming all the folks buddy took money from all night want their money back.

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Cocooning since the last post, paper trading CL to work the kinks out of a new "long/short/chop" MC PowerLanguage indicator based on Barry Burns 5 Energies system. As mentioned previously I hit my daily loss limit last week of October in an oil ETF with CL as the underlying and swear that is the first and last time that is going to happen . Shudder to consider the cost if I'd been trading the future directly.

The indicator should run with any instrument although I notice the sub-indicators it depends on react somewhat differently (more responsive?) to movements in CL than in spot currency, so some tuning parameters might be required. As usual the main issue remains detecting chop.

The plan is to turn the indicator into a function and wrap a signal (strategy) around it to turn it into a bot in order to see whether it will optimize, and perhaps deploy it if it's robust enough. The algorithms such as they are lend themselves to implementation with an AI technique but remains to be determined whether that would be overkill.

In any event and in actual fact the whole exercise is mainly intended to force me to learn something about CL before trading it in a cash account again

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Eur/Usd during election results (bot under test paper trading)


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Price emerging from congestion. See far right of the screen.


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More cocooning with the 5 energies bot preliminaries since the last post, hopefully a few useful results to share as they become available.

What's interesting to me and hence what gives me the strength to persevere with what might seem arcane quant theory is that so far the tangents I take off on all seem to lead to the same ground. In that respect concepts I gained working some time ago with ARCH and GARCH models of financial time series in the R language pop up in the literature on the Hurst exponent (due to Harold Edwin Hurst (1880-1978) the British hydrologist and sometimes called the Hurst coefficient, which person not to be confused with J.M. Hurst, the stock market cycles researcher) and via the concepts of H.E. Hurst to concepts introduced by Mandelbrot (one and the same, who introduced fractals).

The commonality between ARCH, GARCH and the Hurst exponent is how far financial time series are random processes and whether & to what extent from time to time they may deviate from random processes, especially the extent to which a time series exhibits "memory" (i.e., the extent to which present events are a function of past events). For me (aside from determining my wife's mood) this translates immediately into a study of S/R levels. While it's one thing to know what S/R levels are and trade them manually, it turns out for me it's quite another to teach a bot to recognize them, and rules of thumb aside (e.g., "if it doesn't break after 3 attempts it's not going to"), especially to create an algorithm that returns the probability price will respect an S/R level.

The commonality between the Hurst exponent and the fractal dimension for the purpose here is defined mathematically as

D = 2 - H (equation 1)

where D is the fractal dimension and H is the Hurst exponent.

For completeness, in the limited reading I've done (reading list available but will have to make it available) at least one questionable source defines the relationship between fractal dimension and Hurst exponent as

D = 1 / H

just as some equally questionable sources derive fractal dimensions for financial time series as being < 1 (IMO this is impossible, signifying a result that despite its practical application to whatever the researchers are working on can't be defined as a fractal dimension as commonly accepted).

At the outset (once I got over the simple math relationship between the Hurst exponent and the fractal dimension) however it struck me the formula does not do justice to the practical difference between the 2 measures for hydrologists, financial market theoreticians and traders.

Traders toss the notion of fractal about as signifying a relative time frame, financial theoreticians consider the Hurst exponent a measure of market memory (or in terms of statistics, degree of heteroskedasticity) and hydrologists think of the Hurst exponent as a measure of indentedness or meandering (which calls to mind both the only paper by Einstein I read that made perfect sense, "On the Meandering of Rivers" and the coastline of Norway, still regarded by hydrologists as the best example of indentedness, claimed to be the invention of Slartibartfast in HitchHiker's Guide to the Galaxy, whom coincidentally I presently resemble.)

I plan to post some code snippets for utilities (e.g., like drawing stochastics based HH/HL/LL/LH lines on charts and 5 energies bot thought process indicators in MC PowerLanguage, which seems to me like pseudo language, so should be easy to transcribe to real programming languages) and the trading-platform-independent Visual Studio 2010 project files for the Hurst/Mandelbrot research once I get the bugs out of the VS 2010 project.

ETA: Between then and now we trade !

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Mostly as a note to myself and at the risk of putting the cart before the horse, this post will briefly describe how to install RDotNet for MS Windows. I (think I) want RDotNet because I've been using R to pre-whiten time series, in this case OHLC bar close prices, in the R/S analysis project mentioned in the last post and it would seem more convenient to invoke the required R routines from the main app if possible.

The 4 step RDotNet installation procedure is as follows:

1. If not already present install the binary for R on the development system. Choose the x64 version if the development system is 64 bit. The latest version (2.15.2 at time or writing) can be obtained from The R Project for Statistical Computing and the downloaded .exe file is simply run to install R. [R source is also available on the project site, although I've never tried to build it from scratch]

2. If newly installed, run R from the desktop icon (or otherwise) to test the installation, then exit.

3. Download the RDotNet R.DLL from R.NET - Home and place it on the development system, noting the path to the .DLL. [Source code for R.DLL is also available at the RDotNet site]

4. Write a "Hello World" app to test the configuration (example of an MS VS 2010 console app below, MS VS 2010 project attached as a .ZIP file)


 
Code
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using RDotNet;


namespace RDotNetTest
{
    class Program
    {
        static void Main(string[] args)
        {
            // Set the folder in which R.dll locates.
            string rhome = System.Environment.GetEnvironmentVariable("R_HOME");
            if (string.IsNullOrEmpty(rhome))
                rhome = @"C:\Program Files\R\R-2.15.2";

            System.Environment.SetEnvironmentVariable("R_HOME", rhome);
            System.Environment.SetEnvironmentVariable("PATH", System.Environment.GetEnvironmentVariable("PATH") + ";" + rhome + @"\bin\x64");
            REngine.SetDllDirectory(@"C:\Program Files\R\R-2.15.2\bin\x64");
            using (REngine engine = REngine.CreateInstance("RDotNet"))
            {
                // .NET Framework array to R vector.
                NumericVector group1 = engine.CreateNumericVector(new double[] { 30.02, 29.99, 30.11, 29.97, 30.01, 29.99 });
                engine.SetSymbol("group1", group1);
                // Direct parsing from R script.
                NumericVector group2 = engine.EagerEvaluate("group2 <- c(29.89, 29.93, 29.72, 29.98, 30.02, 29.98)").AsNumeric();

                // Test difference of mean (Student's t-test) and get the P-value.
                GenericVector testResult = engine.EagerEvaluate("t.test(group1, group2)").AsList();
                double p = testResult["p.value"].AsNumeric().First();

                Console.WriteLine("Group1: [{0}]", string.Join(", ", group1.Select(value => value.ToString())));
                Console.WriteLine("Group2: [{0}]", string.Join(", ", group2.Select(value => value.ToString())));
                Console.WriteLine("P-value = {0:0.000}", p);
            }
        }
    }
}
Notes:

1. The lines in the test app referring to the environment were necessary in my case because I don't have variable "RHOME" in the path for the console environment.

2. Add R.dll as a reference in the test project file before compiling

3. Usual Disclaimer re the attachment to this post: While the system on which the project was created has no network connection and is scanned routinely for malware (implying the .ZIP file & contents were likely originally malware-free) all bets are off once it transits the Interwebz. Rather than bother with e.g. PGP signing (cumbersome and IMO overkill in this case) recommend scanning the .ZIP file before opening.

4. I will probably post the R/S analysis code as is (before interfacing it to R) as an MS VS 2010 project in the next day or 2, delay because the GUI needs to be more user friendly, along with a few notes about the concepts involved and how to use the program.

Attached Files
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I've attached the latest version ("0.9.0") of a platform to study Hurst exponents as an MS VS 2010 project file ("HurstExponent.zip"). The file ("Form1.cs") containing the meat and potatoes (the algorithms) can be extracted by itself from the project .ZIP file if desired.

A data file (text format) containing 235 EUR.USD close prices in the required format (referred to below) is attached for testing, if desired. Note that the data has NOT been prewhitened (see McKenzie's paper attached for a discussion). This is not a show stopper for testing purposes.

I've also attached a copy of 2 articles (apparently in the public domain) that explain the concepts, the first of which IMO is one of the better written papers on the topic (Michael D. McKenzie, “Non-Periodic Australian Stock Market Cycles: Evidence from Rescaled Range Analysis”, The Economic Record, 2001, vol. 77, issue 239, pages 393-406) based on Mandelbrot's "classical" R/S statistic. The 2nd article is Chapter 6 excerpted from "A Non-Random Walk Down Wall Street". Andrew W. Lo & A. Craig MacKinlay, Princeton University Press, 2001 (entire book in PDF format available apparently for free at Contents for Lo & MacKinlay: A Non-Random Walk Down Wall Street)

The 2nd article modifies the classical definition of the R/S statistic, which modification I may incorporate into a later version of the program.

What the HurstExponent program does

The program uses R/S analysis to calculate the Hurst exponent, fractal dimension, V-statistic and R/S expected values (for a random walk with the same sample size and time scales) associated with either a user-supplied time series or a pseudo random sequence generated by the program itself.

Basic R/S ("Range/Standard Deviation") approach is summarized in this excerpt from the attached book chapter by Lo et al.:




Why Do It

Traders sometimes use the term "fractal" when talking about time frames, including Barry Burns (author of the 5 energies system). Since like a lot of traders I use 3 time frame charts (short, medium and long) defined by 200-, 600- and 1800-tick bars (multiples of 3) I wondered

1. whether they are in fact fractals as BB implies;
2. if so, are there any fractal properties that can be exploited in a strategy beyond the (non fractal) conventional use (i.e., seeing the bigger/smaller picture bracketing the setup chart);
3. in any event, is there anything magic about multiples of 3 and in general is there any basis for a better choice of bar interval multiple among the 3 charts; and,
4. is there anything fractal in the related bot thought pattern (red/green/blue/yellow beaded experimental indicator at the bottom of the following screenshot. Multicharts indicator to be published in a later post.)



As mentioned in a previous post fractal dimension is simply related to the Hurst exponent and R/S analysis is a means to calculate the Hurst exponent as well as a number of other interesting and potentially useful statistics, so in the first instance the answer to "Why Do It" is to study the fractal properties of financial time series for fun and profit.

That said, first results suggest that 200-, 600- and 1800-tick chart samples of EUR.USD close prices over the limited time frames I use exhibit only very slight fractal behaviour and probably should not be called fractals. This probably applies to the bot thought process as well. We will therefore likely need some other way of modelling what different time frames tell us.

However, R/S analysis of the data itself (in particular the V Statistic) does indicate price action deviates significantly from random behaviour, which may startle some academics (believers in market efficiency) but comes as no surprise to traders. The question remains the usual therefore, not so much "why do it" as "can a quantitative study of this deviation via R/S analysis improve a trader's edge?"

Program Operation

The R/S analyzer program interface is shown below after it first opens. At this point the user has 2 options as suggested by the instructions on the top/left of the GUI:

1. Open a file containing a time series via "File > Open..." and analyze it (file format described in the last section, "Input File Format"); or,
2. Generate a pseudo random sequence and analyze that.



The random sequence is controlled by 2 parameters, namely

1. Length (default value 262144, or 2^18); and,
2. Repetition Factor (default value 1).

The Length parameter is just the maximum potential number of samples in the pseudo random sequence to be analyzed. The Repetition Factor tells the program to construct such a sequence comprising <Length> samples by repeating the same random sub-sequence <Repetition Factor> times. (The length of the unique sub-sequence is therefore <Length> / <Repetition Factor> samples).

The program actually uses a length somewhat less (but no more than 10% less) than the specified maximum potential length to maximize the number of divisors of the sequence length, for reasons mentioned in McKenzie's paper. Input data may also be truncated according to the same algorithm.


Plot Windows

In what follows "N" is the length of the sub-window dividing the longer sequence according to the method, and Log(N) its natural logarithm.

After analysis the top plot window shows 4 statistics:

1. Log(R/S) vs Log(N) (black)
2. Regression line (blue) fitted to Log(R/S) vs Log(N) values (slope of the line is overall H parameter for the sequence)
3. V-Statistic (red), slope of which indicates tendency to persistence (positive slope) or anti-persistence (negative slope) of the data [see papers attached for discussion of persistence]
4. Expectancy (green), the expected Log(R/S) value if the sequence were perfectly random.

Depending on which button ("Plot Data" or "Plot H") to the left of the bottom plot window was clicked last, after each analysis the bottom plot window shows either the input sequence-vs-sample number or the instantaneous Hurst Exponent-vs-Log(N)

The following screenshots show Analyzer output for

1. 235 daily close prices for EUR.USD (stats in the top plot window, data in the second window)
2. same as the first screenshot except instantaneous H values plotted in the second window (selected by clicking "Plot H")
3. a pseudo random sequence 262144 samples in length with no deliberate repetition (i.e., Repetition Interval = 1)
4. similar to the 3rd screenshot except Repetition Interval set to 1000 (i.e., the sequence comprises approximately 1000 identical sub-sequences of length 262 samples

1. Eur.Usd daily data showing stats & price data



2. Eur.Usd daily data showing stats & Hurst exponent



3. Pseudo random sequence, no repetition



4. Repeating pseudo random sequence comprising 1000 random sequence 262 samples long




Saving Results

While there are methods to save results in the program none is enabled in this initial release.

Input File Format

The time series is input as 4 columns of floating point numbers in comma-separated-value format (i.e., as a CSV file). At the moment the program assumes the data to be analyzed is in the 4th column of the file, meaning the first 3 columns can contain dummy data, since they are not used. The columns were originally intended to contain the following info:

Column 1: Bar Interval (ticks in my case, written as a decimal number; e.g., 5400.00)
Column 2: Date (in Multicharts native format written as a decimal number; i.e., "1YYMMDD.00")
Column 3: Time (written as a decimal number; i.e., "HHMM.00"
Column 4: Price (e.g., the close)

For example,

 
Code
5400.00,1120704.00,1853.00,1.251800
5400.00,1120704.00,2013.00,1.252650
5400.00,1120704.00,2129.00,1.253550
5400.00,1120704.00,2247.00,1.252700
5400.00,1120705.00,   8.00,1.253100
5400.00,1120705.00, 131.00,1.252300
5400.00,1120705.00, 247.00,1.252900
...

Attached Thumbnails
STF discretionary spot Forex system development journal-mckenzie.pdf   STF discretionary spot Forex system development journal-rescaledrangestatistic.pdf  
Attached Files
Register to download File Type: zip HurstExponent.zip (543.6 KB, 17 views)
Register to download File Type: csv Price_1.csv (8.5 KB, 10 views)
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Micheal McKenzie, gentleman and scholar, Professor and Chair of Discipline at Sydney Business school in Australia (author of the first paper mentioned in the last post) was good enough to send me the data I asked for to reproduce his results.

It turns out Dr. McKenzie's data illuminated a glaring error in the program which has been corrected but has yet to be posted. Anyone who has downloaded the code, possibly @serac and @mokodo may therefore want to hold off using it until the corrections have been published here.

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An MS VS 2010 project containing the corrected program is attached, along with a version of the daily All Ordinaries data set kindly provided by Dr. McKenzie as mentioned in the last post and used to benchmark the program.

When the benchmark data set is loaded it is prewhitened according to the autoregression filter described in Dr. McKenzie's paper (equation 9 in the paper, parameter values given on page 12) and results so far appear to be reasonably close to what he obtained. I should add that while Michael McKenzie provided the data this is not to suggest he knows of or endorses what I've done with it.

As an aside I stumbled across a commercial product yesterday at Hurst Exponent And Value At Risk that claims to implement R/S analysis (among other statistical analyses) in Excel for purposes mentioned on the web page. I have no affiliation with this site and this is not a recommendation; just to say among the claims is the suggestion R/S analysis might provide a means to distinguish between trend and chop--at least in retrospect.

Attached Files
Register to download File Type: zip HurstExponent.zip (547.4 KB, 16 views)
Register to download File Type: csv All Ords Data Daily Only.csv (109.4 KB, 5 views)
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In other news, I've managed to reduce the balance of my IB paper account to less than half while experimenting with new volume profile and cumulative delta features of MC 8.5 beta. While blowing up a paper account experimenting may be forgivable there are signs fooling around has had an impact on my still fragile self discipline so will likely spend the rest of the week paper trading (what is mainly) BB's 5 energies system to rebuild the account and to regain my composure.

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For completeness here is an experimental MC PowerLanguage/Easylanguage indicator that implements the same basic Hurst exponent algorithm as the main project (MC .PLA file attached, code embedded in the post).

The indicator calculates R/S values for 3 user-specified time scales, fits a linear regression line to the ratio log(R/S)/log(N) (where N=samples/time scale) and plots the slope of the line (i.e., the Hurst exponent) as well as individual/intermediate Hurst exponents inferred for each time scale if desired.

Notes:
1. the number of time scales was intended to be variable, whence the main loop ("for Value1 = 1 to nTs begin")
2. this code has not yet been gone over with a fine tooth comb for bugs--corrections welcome.
3. the issue remains that time scale standard deviation can be zero, more frequently for small time scales, which will cause the indicator to blow up since error checking is not done in the experimental implementation published here.

TDHurst indicator

 
Code
inputs: ts1(5),ts2(10),ts3(20),plotT1(false),plotT2(false),plotT3(false),plotHe(true),t1Color(red),t2Color(green),t3Color(blue),heColor(yellow);
variables:
	nTs(3),
	thisMean(0),
	thisBar(0),
	thisIdx(0),
	thisSumDifference(0),
	thisMax(0),
	thisMin(0),
	thisSumDifferenceSquared(0),
	R(0),
	S(0),
	t1H(0),
	t2H(0),
	t3H(0),
	logT1RS(0),
	logT2RS(0),
	logT3RS(0),
	logT1(0),
	logT2(0),
	logT3(0),
	hE(0)
	;
Arrays:
	     t1.Array[](0),t2.Array[](0),t3.Array[](0)
	     ;
	     
once begin 
   Array_SetMaxIndex(t1.Array, ts1+1);
   Array_SetMaxIndex(t2.Array, ts2+1);
   Array_SetMaxIndex(t3.Array, ts3+1);
end;   
	
	if currentBar > ts3+1 then begin
	
		for Value1 = 1 to nTs begin
			if Value1 = 1 then begin
				Value2 = ts1;
				for thisBar = 1 To Value2 begin
					t1.Array[thisBar-1] = Close[thisBar]-Close[thisBar-1];
				end;
				thisMean = 0;
				for thisBar = 0 To Value2-1 begin
					thisMean = thisMean + t1.Array[thisBar];
				end;
				thisMean = thisMean/Value2;
				//Print(D," ",T," t1 Mean ",thisMean:1:7);
				Value4 = 0;
				thisSumDifference = 0;
				thisSumDifferenceSquared = 0;
				for thisBar = 0 To Value2-1 begin
					//Print(" thisBar ",thisBar," of ",Value2-1);
					Value3 = t1.Array[thisBar] - thisMean;
					thisSumDifference = thisSumDifference + Value3;
					thisSumDifferenceSquared = thisSumDifferenceSquared + Value3 * Value3;
					if thisBar = 0 then begin
						thisMax = thisSumDifference;
						thisMin = thisMax;
					end
					else begin
						if thisSumDifference > thisMax then
							thisMax = thisSumDifference;
						if thisSumDifference < thisMin then
							thisMin = thisSumDifference;
					end;
					
				end;
				R = thisMax - thisMin;
				S = SquareRoot(thisSumDifferenceSquared/Value2);
				Value3 = R/S;
				logT1RS = Log(Value3);
				logT1 = Log(Value2);
				t1H = logT1RS/logT1;
				//Print(" t1H ",t1H);
				
			end
				
			else if Value1 = 2 then begin
				//Print(" ts2 ");
				Value2 = ts2;
				for thisBar = 1 To Value2 begin
					t2.Array[thisBar-1] = Close[thisBar]-Close[thisBar-1];
				end;
				thisMean = 0;
				for thisBar = 0 To Value2-1 begin
					thisMean = thisMean + t2.Array[thisBar];
				end;
				thisMean = thisMean/Value2;
				//(D," ",T," t2 Mean ",thisMean:1:7);
				Value4 = 0;
				thisSumDifference = 0;
				thisSumDifferenceSquared = 0;
				for thisBar = 0 To Value2-1 begin
					//Print(" thisBar ",thisBar," of ",Value2-1);
					Value3 = t2.Array[thisBar] - thisMean;
					thisSumDifference = thisSumDifference + Value3;
					thisSumDifferenceSquared = thisSumDifferenceSquared + Value3 * Value3;
					if thisBar = 0 then begin
						thisMax = thisSumDifference;
						thisMin = thisMax;
					end
					else begin
						if thisSumDifference > thisMax then
							thisMax = thisSumDifference;
						if thisSumDifference < thisMin then
							thisMin = thisSumDifference;
					end;
					
				end;
				R = thisMax - thisMin;
				S = SquareRoot(thisSumDifferenceSquared/Value2);
				Value3 = R/S;
				logT2RS = Log(Value3);
				logT2 = Log(Value2);
				t2H = logT2RS/logT2;
				//Print(" t2H ",t2H);
			end
			else begin
				//Print(" ts3 ");
				Value2 = ts3;
				for thisBar = 1 To Value2 begin
					t3.Array[thisBar-1] = Close[thisBar]-Close[thisBar-1];
				end;
				thisMean = 0;
				for thisBar = 0 To Value2-1 begin
					thisMean = thisMean + t3.Array[thisBar];
				end;
				thisMean = thisMean/Value2;
				//Print(D," ",T," t3 Mean ",thisMean:1:7);
				Value4 = 0;
				thisSumDifference = 0;
				thisSumDifferenceSquared = 0;
				for thisBar = 0 To Value2-1 begin
					//Print(" thisBar ",thisBar," of ",Value2-1);
					Value3 = t3.Array[thisBar] - thisMean;
					thisSumDifference = thisSumDifference + Value3;
					thisSumDifferenceSquared = thisSumDifferenceSquared + Value3 * Value3;
					if thisBar = 0 then begin
						thisMax = thisSumDifference;
						thisMin = thisMax;
					end
					else begin
						if thisSumDifference > thisMax then
							thisMax = thisSumDifference;
						if thisSumDifference < thisMin then
							thisMin = thisSumDifference;
					end;
					
				end;
				R = thisMax - thisMin;
				S = SquareRoot(thisSumDifferenceSquared/Value2);
				Value3 = R/S;
				logT3RS = Log(Value3);
				logT3 = Log(Value2);
				t3H = logT3RS/logT3;
				//Print(" t3H ",t3H);
			end;	
			
		end;
// do linear regression on 3 R/S vs time scale points
		Value1 = (logT1+logT2+logT3)/nTs; // xAvg
		Value2 = (logT1RS+logT2RS+logT3RS)/nTs; // yAvg;
		Value3 = (logT1-Value1)*(logT1RS-Value2) + (logT2-Value1)*(logT2RS-Value2) + (logT3-Value1)*(logT3RS-Value2);
		Value4 = (logT1-Value1)*(logT1-Value1) + (logT2-Value1)*(logT2-Value1) + (logT3-Value1)*(logT3-Value1);
		hE = Value3/Value4;
		
		if plotT1 then begin
			Plot1(t1H,"t1H");
			setPlotColor(1,t1Color);
		end;
		if plotT2 then begin
			Plot2(t2H,"t2H");
			setPlotColor(2,t2Color);
		end;
		if plotT3 then begin
			Plot3(t3H,"t3H");
			setPlotColor(3,t3Color);
		end;
		if plotHe then begin
			Plot4(hE,"hE");
			setPlotColor(4,hEColor);
		end;
		Plot5(.5,"mid");
		setPlotColor(5,RGB(128,128,128));
		
		
	end;
Hurs

Attached Files
Register to download File Type: pla TDHurst.pla (15.5 KB, 12 views)
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  #187 (permalink)
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As planned trading 1/2 lot spot EUR/USD on paper most of the evening to rebuild the account and to commune with my inner trader, which mostly means playing Spider Solitaire and writing indicators while watching out of the corner of my eye for price to make a move. Managed to capture half of the transition from 00 to 50 between 22:30 and 23:15 EST after missing the start of it (too intent on Spider Solitaire at the time, which underscores the fact that self discipline has suffered lately).

Noting a couple of counter trend patterns on the 600 tick chart more often lately that I want to learn how to trade (1. retrace back to 50 after an abrupt downtrend from 00, possibly a bear flag, and 2. subsequent sawtooth possibly due to HFT program trading) between the vertical cyan lines in the following screenshot.



Up $166 on paper at time of writing

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  #188 (permalink)
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Still rebuilding my paper account trading spot EUR/USD and USD/JPY, last night for the most part scalping for 8 ticks or so using relatively large order sizes, rather than sitting around waiting for the long bomb (20-40 ticks) to set up. This means more frequent trades and higher commission costs, but allows me to squeeze up to 200 ticks (say) out of a session like last night with only a 80 or 100 tick range since we're trading events that occur within +/- 0.5 standard deviations of what I suspect approximates a normal distribution (of bar lengths) over time.

I have yet to write the scalping strategy into my trading plan or try to optimize it probably because I'm still a slave to indicators and what I call scalping is likely more along the lines of what Al Brooks advocates. In any event it's practically effortless, almost painless, consistently profitable and may be the direction in which my trading is evolving.

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  #189 (permalink)
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Hi,
From memory, you are using IB?
Do you have one account you are using for futures and forex?

Im interested in your scalping technique.

Regards,
Neil.

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  #190 (permalink)
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NW27 View Post
Hi,
From memory, you are using IB?
Do you have one account you are using for futures and forex?

Im interested in your scalping technique.

Regards,
Neil.

Yes--IB. One account for everything.

My present focus is quantifying the scalping technique and plan to publish as results become available, stats hopefully on the weekend. As you know a formal strategy depends on grasping what stats are telling us, so a method and an automated strategy are a while yet Suspect I need to finish reading Al Brooks latest 3 volumes

Cheers,
Brian

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  #191 (permalink)
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Still pondering scalping statistics in an effort to quantify the method, writing the occasional (MC) indicator to test ideas.

If stats are useful at all in trading IMO they may be useful only for ball-parking targets and stops, not for generating signals--except perhaps for "DO NOT TRADE" signals.

The first screenshot below shows a frequency plot of unsigned price excursion between slow stochastics(3,5,2) %D turning points for a month of EUR.USD 600 tick data. Annotations point out excursions associated with local frequency peaks, FWIW some of which also tend to show up in Murrey Math NT indicator. The cumulative frequency plot shows 50% occurs at approximately 13 pips for this data set.

[These price excursions linked to stochastic cycles are indicated by horizontal orange lines at price highs and lows in the charts shown in the 3rd screenshot below. The excursion itself (in pips) is also marked on the charts in the 3rd screenshot by cyan numbers above and below the peaks and troughs.]

The second screenshot shows a frequency distribution of the same data with sign preserved, hence bimodal around zero (i.e., the plot indicates whether price moved up or down during the excursion).

Such a simple study may give some idea how often price might move by a given amount but bias introduced by particular extraneous factors can't be inferred from it; e.g., it is not possible to know for sure the cause of sub 7.5 pip excursions, whether due to price pausing at S/R levels or chop at certain times of day, in advance of news or otherwise lack of presence of a major player with an agenda, say. In real life the context would have to be identified to have some idea what part of the frequency distribution we are traversing.

1. Frequency plot of maximum price excursion between slow stochastics(3,5,2) %D turning points for a month of EUR.USD 600 tick data


2. Same data, signed (bimodal) distribution


I ran a quick test on the patterns generated by the TDStochsRatio indicator (which was written to illustrate aspects of Barry Burns' 5 energies system but which is turning into a catch-all test platform rather than a useful indicator) to see if they cluster sufficiently to generate buy/sell signals for the scalping project. It turns out the patterns do not cluster, at least not as constructed and configured presently (see the red/green/blue/white/black beads in the bottom 3 panels of the first screenshot below). This is not too surprising since the indicator is a blunt tool, intended to picture any long/short bias. Like most (all?) such indicators by the time the onset of long/short conditions is confirmed it's too late to be of use in setups.

3. TDStochsRatio tool in 200-, 600- and 1800- tick time frames (bottom 3 panels)


Finally, I dusted off the MC Hurst Exponent indicator (fixed the issue with vanishing standard deviation causing the R/S function to blow up, appearing in the 2nd panel in the chart window screenshot below) to see if any ideas might spring to mind by staring at it--not much to show for it so far. The indicator operates on price returns (first differences of bar close price), which by definition are rather noisy, so it might be interesting to apply it to stochastic excursions (which are of more interest to me at the moment).

In the screenshot below the true Hurst exponent ("slope of the line") for 3 time periods (user/optimizer selectable) is plotted in yellow.

The red, green and blue lines are "instantaneous values" of the Hurst exponent calculated for each time period corresponding to each of 3 points used to perform the linear regression (draw the line).

4. Hurst exponent indicator (2nd panel)



To help visualize what the Hurst indicator is showing,

-- it is essentially the ratio of a range function of the returns (i.e., where returns are just differences between successive bar close values) in a given time period and a variability function of the returns over the same period, normalized (divided by) the time period where for this purpose the "time period" is just the number of returns in question.

-- The "range function of the returns" ("Range" or "R", the numerator in the ratio) is the difference between the maximum and minimum values of the cumulative sum of the differences between successive returns and their mean value over the period. If it helps, while the final value in any cumulative sum of (value - mean) is zero as is easily proved, by the same token logically therefore except in trivial cases it does have both a positive maximum and negative minimum value at some point.

-- The "variability function of the returns" is just the standard deviation ("S", square root of sum of squares of differences between returns and mean normalized by the number of returns in the period).

-- Hurst theorized that for different time periods this ratio (more precisely, the quotient of the natural log of the ratio R/S divided by the natural log of the time period (measured in samples); and still more precisely, the slope of a line through log(R/S) / log(T) for each T (time period)) said something about "how random" the sequence of returns was.

-- For a purely random sequence the Hurst exponent approaches a value of 0.5. For a sequence that trends in one direction or another more than expected of a random sequence the Hurst exponent tends toward a value between 0.5 and 1.0.

-- For a sequence that trends less (reverses toward the mean more often than we would expect of a random sequence) the Hurst exponent tends to be less than 0.5.

-- As shown by Mandelbrot the Hurst exponent H is simply related to the fractal dimension D as D = 2 - H.

-- Finally, I find it keeps the brain young to pour a glass of wine and visualize the equations while comparing indicator variation with price variation. [Note that after several glasses of wine however we're reduced to contemplating the pretty colours].

For the record the latest version of both TDHurst and TDStochasticsRatio are attached as MC .PLA files and as text files. TDHurst algorithms are being embedded in TDStochasticsRatio to operate on stochs excursions available in the latter but the work is not complete in the version of TDStochasticsRatio attached here. While functional the indicators are mostly intended for programmers looking for code snippets.

If anything comes of them I may (try to) convert to NT C#.

Attached Files
Register to download File Type: txt TDHurst.txt (6.3 KB, 10 views)
Register to download File Type: txt TDShochasticsRatio.txt (22.6 KB, 9 views)
Register to download File Type: pla TDHurst_StochsRatio_Suite.pla (82.0 KB, 13 views)
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  #192 (permalink)
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Still trying to quantify a scalping method, over the last few days reviewed details of BB's 5 energies system as it can be applied to STF charts (i.e., using short time frame for setup/entry and medium time frame for confirmation) by switching my manual trading setup to match.

In the process I compared BB's approach to a few other popular systems (reading articles & postings, watching videos).

Interestingly these 2 activities--switching to STF setup from MTF setup and spending time with other systems--destabilized my trading for several days. Found it rather startling to look at the chart(s) and have no clue what was happening. Appears my game is still somewhat finely balanced. In any event recovered toward the end of the week and now working with the STF (200-tick) setup chart, 600-tick for confirmation for spot Forex.

Have been spending more time in chat room 1 when trading, which is where some of the record (such as it is) of last week's trading resides (i.e., in the chat log). Being pretty much a recluse surprised to find I enjoy trading in a room with others, as virtual as it may be. Not much different than the fantasy world we live in when trading I suppose, except the characters taking the opposite side of the trade (often enough ) presumably exist and the back talk is due to an actual mind outside of my own, explaining their motives and thereby (and mainly) teaching me about their systems. Overall quite educational. BTW IMO retailers sharing strategies moment by moment confers no advantage to anyone since we are all merely piggy backing on what the Real Money is doing.

ETA: As mentioned I might in the chat logs am working on a indicator based on BB's 5 energies to generate signals for the scalping method, so no doubt a strategy is not far behind. However, I've been working on the same thing for years, the stumbling block at this point the wave counter. Don't know why but that thing (the wave counter) intimidates me, sucks the creative energy out of me, puts me back in Computer Science 101 sitting on a hard chair in a cramped desk in an airless & windowless room listening to a boring prof talk about sorting algorithms. Gag me with a spoon. That said, this time that sucker is going down.

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  #193 (permalink)
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When the revolution comes TWS need to shut down will be first against the wall.


]

If and if that makes no sense then here's some more Zoolander


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  #194 (permalink)
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Hi,
I leave my MC and IB running all week, collecting tick and minute data. MC gets a bit sluggish towards the and enjoys a restart but IB is fine.

Regards,
Neil.

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  #195 (permalink)
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NW27 View Post
Hi,
I leave my MC and IB running all week, collecting tick and minute data. MC gets a bit sluggish towards the and enjoys a restart but IB is fine.

Regards,
Neil.


Rgr. No complaint about the loss of connectivity between midnight and 1 AM ET weekdays and weekends?

Should say I'm used to it but after 845 mornings of the same thing I'm started to lose it. Probably ought to change my hours. Suppose doing the same thing that often with no change in the outcome verges on insanity, as they say.

Brian

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  #196 (permalink)
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bnichols View Post
Rgr. No complaint about the loss of connectivity between midnight and 1 AM ET weekdays and weekends?

Should say I'm used to it but after 845 mornings of the same thing I'm started to lose it. Probably ought to change my hours. Suppose doing the same thing that often with no change in the outcome verges on insanity, as they say.

Brian

Well I should say that IB also gets a restart on the weekend because I tend to reboot my PC.
But what I was implying was that it runs 24/5 (Mon..Fri) without a restart.
I use a script that interacts with the daily time out box and changes it from AM to PM and visa versa, every 12 hours. This keeps IB going all week.

Neil.

P.S.
I also use MC and I'm looking at a short term system using a 5min/tick chart for trading the EUR/USD.

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NW27 View Post
Well I should say that IB also gets a restart on the weekend because I tend to reboot my PC.
But what I was implying was that it runs 24/5 (Mon..Fri) without a restart.
I use a script that interacts with the daily time out box and changes it from AM to PM and visa versa, every 12 hours. This keeps IB going all week.

Neil.

P.S.
I also use MC and I'm looking at a short term system using a 5min/tick chart for trading the EUR/USD.

Aha. I used a hack to the TWS configuration file on my last trading computer that kept it alive all week (changed the logout time to some big number with a lot of 4's and 9's).

I suppose my point is we should not be required to interact with TWS until we need that puppy to sleep.

Any moment Mike is going to say "Use Gateway"

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  #198 (permalink)
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NW27 View Post
Well I should say that IB also gets a restart on the weekend because I tend to reboot my PC.
But what I was implying was that it runs 24/5 (Mon..Fri) without a restart.
I use a script that interacts with the daily time out box and changes it from AM to PM and visa versa, every 12 hours. This keeps IB going all week.

Neil.

P.S.
I also use MC and I'm looking at a short term system using a 5min/tick chart for trading the EUR/USD.

Re your PS. I'm having good luck short time frame trading with Tog Dog Trading system--not an endorsement, just meets my particular needs at the moment--IMO no better than any other system one learns as the back of one's hand--and an acknowledgement that until further notice any system I come up with will be influenced by BB's method. Took me 2 or 3 years to learn it so determined to convert it an art form (as Marshall McLuhan said is the fate of all tech) by converting to a bot. Beware Top Dog's spam has gotten worse lately.

P.S. I've replicated most of his indicators, the hardest for me (price wave counter) attached but incomplete--does not do ABC continuation yet but just an accounting issue. MACD wave counter somewhat different algorithm still in process.

Attached Files
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bnichols View Post
Any moment Mike is going to say "Use Gateway"

Do you know how to use the Gateway and how to connect it with MC?

Neil.

P.S.
Do you have a link for the Top Dog system?
Allowing the circumnavigation of the spam

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NW27 View Post
Do you know how to use the Gateway and how to connect it with MC?

Neil.

P.S.
Do you have a link for the Top Dog system?
Allowing the circumnavigation of the spam

To be honest I've configured Gateway with MC but no luck getting it to connect yet. Perhaps we can keep each other posted !

Hate to repeat it because Barry Burns has a well earned reputation as a spam artist but here it is

Edited to add: IMO he's nailed the fundamentals of technical trading as it was prior to market profile and cumulative delta, so his method levels the playing field for spot currency (where there is no trade info available). I find I'm trading while others are busy trying to interpret the 6e (Euro future) CD profile.

I guess what Barry taught me is the right sort of ignorance is bliss.

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