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STF discretionary spot Forex system development journal


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STF discretionary spot Forex system development journal

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  #201 (permalink)
 cv2low 
CA
 
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Hi bnichols, just wanted to do more than click the "thanks" button which I've already done several times - utterly fascinating journal, most of it way over my head but stimulating none the less.

Hope you come back to NT soon so we can get your updated indicators!

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  #202 (permalink)
 bnichols 
Dartmouth NS
 
Experience: Intermediate
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@NW27: I finally bit the bullet, took your advice and installed TWS_KeepAlive.exe to prevent TWS shutting down. While I'm extremely wary of adding doodads to the trading system so far the benefits of this gadget vastly outweigh any downside

Thanks for the vote of confidence @cv2low. I suspect however some of the "fascination" factor right now stems from lack of focus due to sleep deprivation and the effect of toxic substances I consume in poisonous quantities to regulate (mostly avoid) sleep :-/

On that topic (sleep deprivation) the main disadvantage aside from what it does to our health may be that efficiency drops in proportion and it takes forever to get anything done. On the other hand the main benefit, such as it is, may be that the near dream world we live in tends to expose the inner workings of the mind, which might enhance creativity but if nothing else we get to observe quite clearly how trading alters the way our brains work. Assuming this close & objective look at the thoughts & feelings that occur when while we're making trading decisions is real (rather than hallucination ) IMO there is some evidence it may speed up the learning process.

On a practical note I'm still working on statistics for the scalping method and writing/debugging/improving indicators** and probably should mention am no longer trading spot EUR.USD exclusively. The reasons for branching out include the following:

1. IMO there is enough commonality in spot currency behaviour that experience with one carries over to another; and therefore,
2. if we're profitable in one we can be profitable in another; and,
3. more currencies means less time sitting on our hands, idle hands being the devil's plaything (i.e., less tendency to see setups that aren't there); and,
3. more currencies means more trade opportunities if we have a means to spot setups over a large number of them.

Therefore in addition to trying to come up with a way to spot setups over a large number of instruments at the moment I'm also trying to reduce the population of currency pairs under consideration from approximately 85 to a reasonable number, whatever that may be. This task is made easier by the fact that even though IB recognizes certain symbols (like AUD.CNH) it does not provide data. Otherwise the number will likely be reduced according to how actively traded they are, their volatility and the degree of correlation between them.

A main area of interest remains momentum, however we define it, since like most I depend on divergence to determine when trends are failing (to trade retraces and either full blown reversals or consolidation patterns). The reason for the interest is that it's not that "sometimes divergence doesn't work" but that momentum speaks a language that is more complex than I first thought.


**A new version of MC indicator TDWave is attached that does a better job of numbering waves in a complex retrace and fixes a potential bug. This version still does not label extrema in complex retraces ("ABC" patterns).

Edited to add a chart of AUD.JPY illustrating the wave numbering scheme as well as a couple of momentum based reversal scalps, last one (long--a "retrace of the retrace"--based on divergence in the short time frame 200 tick chart) still in progress when this screenshot was taken. [The last trade was soon stopped out but losses recouped in what was close to a revenge short trade entered with the assumption gravitation of the nearby floor trader pivot below was enough to overcome any upside momentum. The moral of that story is wait for divergence to actually complete :-/]


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  #203 (permalink)
 bnichols 
Dartmouth NS
 
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More on the topic of momentum. Either real money is pausing here before moving higher or it will revisit the pivot (yellow dashed line) via yesterday's high (magenta dashed line). I'm betting it revisits the pivot.

I like the fact IB goes into it's server reboot more or less like clockwork about now. It's like being in orbit on the far side of the moon, when communication stops.

Waiting for Houston to reconnect, the TV drama due mostly to the fact most folks have no concept of gravity or momentum.

Wishing I were an engineer at NASA right now.


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  #204 (permalink)
 bnichols 
Dartmouth NS
 
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While we wait for IB to come back up I have this image of IB drones scurrying but the question arises: if we can put a bot on Mars why do we still need to reboot servers here on earth, long after the accounting has been done? There are solutions, starting with firing your IT guy.

ETA: Sorry--forgot we're in the new age of Aquarius. Shouldn't say "fire". Let's retire the IT guy or doll and get with the program. Don't need another of IB's 18 hour "reboots" right now.

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  #205 (permalink)
 bnichols 
Dartmouth NS
 
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Restarting TWS seems to have resolved the issue. Perhaps there is more in heaven and earth after all than keeping that puppy alive all week with a point and click bot.

That said, back to the real issue. USD.JPY still has not collapsed.

ETA: ah there we go. So far no indication momentum trading has a downside.

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  #206 (permalink)
 bnichols 
Dartmouth NS
 
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Enjoyed a productive dialogue over several hours (including lunch!) today with my youngest son about the work, topics including the state of the work, factors involved in the transition from manual to automated trading, models/roles/limitations of artificial intelligence (mainly neural nets), potential further work on K-Means clusters (hypothesis essentially to what extent & by what means retail traders can profit from K-Means analysis by trading currency pairs and commodities as if a relatively gigantic range trade, essentially to rescue previous work from its one banal conclusion so far: namely, buy low/sell high), the basis (psychological or otherwise) for S/R levels, principles of trend and momentum trading, and particle oscillators. We also spent some time looking at NT Market Replay on his laptop using his Gain connection, which finally explained a couple of frustrations I have with it (frustrations with NT Market replay and as usual Gain historical data blows IB out of the water ). I think we both learn as much as we teach in these chats.

Focus for the time being is development of the MACD wave counter (MACD our analogue for momentum), IMO necessary for retrace/reversal trading, likely nothing to publish in the next few days, narrowing the field of currency pairs for activity/range stats on the back burner.

Somewhat trading related I spent the evening (which included supper!) assisting my oldest son who was hell bent on organizing my workshop, not only to make room to store our our motorcycles for the winter but hopefully to instill in his old man some degree of self discipline outside the trading room. In that respect at least it seems the child is the father of the man.

Edited to add: This post doesn't mention my daughters and on the topic of happiness, which comes up from time to time in discussions about the goal of trading, I want to debate (which is to say refute) a claim I read some time ago the jist of which was that in order to live life fully we would have to endure 5 or 6 lifetimes. I suspect the author of that sentiment was merely experiencing the regret of not enjoying the benefit in the here and now of making kids, and who so far may not have been lucky enough to enjoy his or own time alive to the fullest, and moreover suffers the additional setback of not sharing the expression of his or her genes (so far our only hope of immortality) with his or her offspring. My experience is our kids seem to manifest ourselves, via our genes and by the way we ourselves manifested our ancestral genes (how we raised the kids--the nature/nurture debate), in ways literally we have only dreamt about, as our ancestors dreamt, for better or worse. Consciousness--being alive in the moment in the material world versus a ghost in the first person inhabiting our own dreams or inhabiting our genetic legacy, whether a butterfly or a man (the butterfly or a man debate)--after much research IMO is vastly overrated. All of our lives lived simply when the kids show up.

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  #207 (permalink)
 Poocher 
Los Angeles
 
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bnichols, I agree with cv2low, thanks for sharing your journey.

But instead of NJ it would be way better for ya to head over to Sierra charts so I could get your awesome charts.

Kidding really, just trying to tell you that your posts are appreciated and your charts enjoyed.

Take care!

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  #208 (permalink)
 bnichols 
Dartmouth NS
 
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Thanks @Poocher. You made me laugh. Not very often I head for bed content.

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  #209 (permalink)
 bnichols 
Dartmouth NS
 
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As I confessed to @PandaWarrior the last trade on Friday was a complete bust. It was initiated and managed by a bot I put in charge on the 200 tick chart to capture a (what I thought was inevitable) Friday afternoon reversal while I ran errands. Perhaps if I'd glanced at the higher time frame charts I might have noticed there was absolutely no sign a reversal was going to happen, that what the 200 tick chart was indicating was merely a pause while the market caught up to itself While as is the way of the market it rewarded my hubris with a kick in the pants I'm grateful it was only a kick in the pants and for being provided the learning opportunity

Failed reversal trade (one mistake was using the STF chart for the setup)

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  #210 (permalink)
 bnichols 
Dartmouth NS
 
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After battling with the MACD wave counter for the last few days and trading very little am taking some time off to catch up on sleep and recreate, which means reviewing a number of trading techniques I rarely use, like candlestick patterns, Ichimoku, Fib, trend lines & regression channels, measured moves via Fib extensions. Noticed a couple of Gann indicators in the MC library but so far haven't messed with them.

The Ichimoku indicator I'm using was provided by @Ykarius in this post.

Musing over charts now so cluttered with indicators that price is almost obliterated @Fat Tails' opinion of lines on charts comes to mind. Indeed, if we draw enough lines we can see patterns everywhere :-/

As an aside, as far as I know MC can draw objects like lines and text only on charts (and subcharts) that contain an instrument; which is to say it can't draw objects on indicator-only panels. Therefore to annotate the MACD wave counting indicator with numbers & divergence lines corresponding to divergence lines on the price chart I resorted to the following fiddle (not original):

1. Insert a copy of the instrument as a subchart of the main chart
2. Make the instrument in the subchart invisible by changing the style to "Dot on close", dot color the same as the background ("Hiding" doesn't cut the mustard apparently because "hiding" makes the instrument inaccessible in what follows)
3. Hardwire the Y scale of the subchart to something appropriate to MACD
4. Apply the MACD wave counter indicator to the (invisible) instrument and overlay in the subchart.
5. Hardwire the wave counter scale to the values chosen in step 3, above.

[The MACD wave counter (not yet fully debugged) draws both the regular "TDMACD" indicator as well as the wave numbers and divergence patterns]

While this trick works swimmingly with bounded oscillators like stochastics, as one might imagine hardwired scaling is a bit of a pain with unbounded indicators.

Edited to add: this issue (apparently can't draw on non-instrument subcharts) is not a show stopper because the wave counter is conceived primarily as a bot input rather than for manual trading.

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