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STF discretionary spot Forex system development journal

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  #191 (permalink)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
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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)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
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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)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
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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)
 NW27 
Newcastle, Australia
 
Experience: Intermediate
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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)
 bnichols 
Dartmouth NS
 
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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)
 NW27 
Newcastle, Australia
 
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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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  #197 (permalink)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
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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)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
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Posts: 638 since Feb 2010
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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
Register to download File Type: pla TDWave.pla (27.1 KB, 12 views)
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  #199 (permalink)
 NW27 
Newcastle, Australia
 
Experience: Intermediate
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Broker: IB
Trading: SPI,FTSE100, 6E, 6A
 
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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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  #200 (permalink)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
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Broker: IB / IQFeed / Kids
Trading: Forex, stocks
 
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Posts: 638 since Feb 2010
Thanks: 64 given, 460 received



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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