STF discretionary spot Forex system development journal - Trading Journals | futures io social day trading
futures io futures trading


STF discretionary spot Forex system development journal
Updated: Views / Replies:26,547 / 292
Created: by bnichols Attachments:180

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 180  
 
Thread Tools Search this Thread
 

STF discretionary spot Forex system development journal

  #221 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

While methodology discussed in this journal is restricted to short time frame spot currency I use other methods in other time frames on other instruments and often compare what is going on e.g. in daily charts to what is happening at the 200 tick level. Tonight for example I thought it was interesting to see AUDUSD pause at 88 rather than 90 (where I expected it to pause), which happens to coincide with Ichimoku Senkou Span B on the daily chart.

Not so much easily amused as trying to avoid clicking buttons while waiting for the last target in an AUDUSD trade to be hit

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #222 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

While it might not be news to some, stumbled across an interesting artifact of IB historical data while testing a quick and dirty bar timing indicator with spot currency tick data in MC; namely "flat" spots that occur at random on different spot currency charts at the same time (haven't confirmed it in data for other instruments fed from IB), where bar duration (in seconds/bar) suddenly becomes more or less equal to the tick size of the bar (e.g., 200 seconds for 200 tick data) and can stay that way apparently for days.

The fact tick bar duration does not flatten for IQFeed data for the same instrument and time period rules out a nefarious plot by some agency to manipulate the currency markets (yes.....I confess that occurred to me in the first WTF??? moments )

Seconds per bar indicator applied to IB feed EUR.USD 200 tick data shown in the bottom panel of the chart below. [The spike in the indicator around midnight of each day due to the fact at the moment the indicator ignores days when calculating time differences.]

I notice after the fact that while I've been messing with this EUR.USD has been on a 40 pip tear


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #223 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received


Wither goest JPY before the close of trading later today?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #224 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

Compared to a number of other futures.io (formerly BMT) journals this one reminds me of a remark made by a science celebrity in the introduction to his autobiography, the English translation of which is


Quoting 
"Is this supposed to be an obituary?" the astonished reader will likely ask. I would like to reply: essentially yes. For the essential in the being of a man of my type lies precisely in what he thinks and how he thinks, not in what he does or suffers. Consequently, the obituary can limit itself in the main to the communicating of thoughts which have played a considerable role in my endeavors.

With that observation in mind, as one who will not without conscious effort see a thing sitting in plain view that I don't expect to see interesting how we tend to appreciate things for the most part only when preconditioned to appreciate them--Marshall McLuhan's insistence "the medium is the message" aside, a tendency exploited via media by anyone with an agenda to sell the agenda, advertisers to generate sales, government to engineer consent, and so on. Simply put we're more receptive to an idea we've encountered before, the principle that has transformed media into a wasteland of commercial & ideological tripe, incessant bombardment by jingles, sound bites and bon mots parroted by a parade of beautiful con artists through our livingrooms elbowing out friends and family and wisdom of ages gathering dust on bookshelves, a barrage of information in the war for hearts, minds and wallets serving the same purpose as x-ray pin-down in nuclear war (don't give the target a chance to launch a defense; or in this case to form an independent thought).

This tendency was a factor in the rise of the Interwebz and inevitable "social" phenomenon (won't say "craze" since I'm trying to put a positive spin on this)--clustering of "like mindedness", where "like mindedness" means a pattern of serendipitous associations occasioned by the hyperlink characteristic of the Interwebz. Bizarre, far-flung and tenuous ideas that might otherwise rattle freely around in our heads caught in this sticky web of associations, in no case necessarily an embodiment of truth but nevertheless embodying our worldview.

All of that no more than a lame excuse to explain why I'm off on yet another tangent (and to bookmark the links to revisit later) this time apparently triggered by a reference to a video posted by @j4mes in this post. documenting the not-so-convincing soul searching of Wall Street quants who feel some responsibility for the effect of their work on markets, in particular the physicist's world view vs the economist's and the impact of simplifying assumptions made when conceiving a theory.

I set out this morning to clarify some aspect of EasyLanguage to complete the daily activity stats algorithm (what aspect now slips my mind) and in the process stumbled across this page on the topic of EasyLanguage algorithmic trading, which branches off via hyperlinks in a number of fascinating directions including papers on precisely the kind of issues raised by the quants in the video

Reply With Quote
 
  #225 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

Obama is among us.

Reply With Quote
 
  #226 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

While you are still connected to the Interwebz as you know it, it's gone.

There is no more free speech in the Interwebz connected to the US.

Reply With Quote
 
  #227 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

The reason I like random entry when testing a new strategy is it focuses us first on money management and second on order entry. Once those are in place we proceed to the nuts and bolt. Since there always seem to be a few left over.

Reply With Quote
 
  #228 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received


bnichols View Post
Compared to a number of other futures.io (formerly BMT) journals this one reminds me of a remark made by a science celebrity in the introduction to his autobiography, the English translation of which is



With that observation in mind, as one who will not without conscious effort see a thing sitting in plain view that I don't expect to see interesting how we tend to appreciate things for the most part only when preconditioned to appreciate them--Marshall McLuhan's insistence "the medium is the message" aside, a tendency exploited via media by anyone with an agenda to sell the agenda, advertisers to generate sales, government to engineer consent, and so on. Simply put we're more receptive to an idea we've encountered before, the principle that has transformed media into a wasteland of commercial & ideological tripe, incessant bombardment by jingles, sound bites and bon mots parroted by a parade of beautiful con artists through our livingrooms elbowing out friends and family and wisdom of ages gathering dust on bookshelves, a barrage of information in the war for hearts, minds and wallets serving the same purpose as x-ray pin-down in nuclear war (don't give the target a chance to launch a defense; or in this case to form an independent thought).

This tendency was a factor in the rise of the Interwebz and inevitable "social" phenomenon (won't say "craze" since I'm trying to put a positive spin on this)--clustering of "like mindedness", where "like mindedness" means a pattern of serendipitous associations occasioned by the hyperlink characteristic of the Interwebz. Bizarre, far-flung and tenuous ideas that might otherwise rattle freely around in our heads caught in this sticky web of associations, in no case necessarily an embodiment of truth but nevertheless embodying our worldview.

All of that no more than a lame excuse to explain why I'm off on yet another tangent (and to bookmark the links to revisit later) this time apparently triggered by a reference to a video posted by @j4mes in this post. documenting the not-so-convincing soul searching of Wall Street quants who feel some responsibility for the effect of their work on markets, in particular the physicist's world view vs the economist's and the impact of simplifying assumptions made when conceiving a theory.

I set out this morning to clarify some aspect of EasyLanguage to complete the daily activity stats algorithm (what aspect now slips my mind) and in the process stumbled across this page on the topic of EasyLanguage algorithmic trading, which branches off via hyperlinks in a number of fascinating directions including papers on precisely the kind of issues raised by the quants in the video

All this amounts to is an experience of "push" versus "pull", concepts important in the early days of the info age but likely long forgotten.

Reply With Quote
 
  #229 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received

In the process of watching a random entry bot running on 2 different JPY quote currency pairs (EUR and AUD) decimating a paper account during forward testing. Painful to watch so trying to find something else to do, even though there is no substitute for experiencing what academics call the "efficient market" in action. The decimation is also called "downdraw". This bot has positive expectancy and there is no better education in account size than watching positive expectancy in action.

Reply With Quote
 
  #230 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received


Preamble

I spent a lot of time doing research over the holidays and in the process slipped back into a polyphasic sleep pattern (interspersing a few minutes or a few or 20 hours of work with a few minutes to a few hours of sleep, as opposed to monophasic sleep--getting the necessary amount of sleep in one stretch) and was reminded that for me napping and working to the exclusion of all else inevitably becomes my undoing. The associated mental state may encourage lateral thinking for a while but after a number of weeks there is a point at which lateral thinking turns into an inability to pursue any given idea to its outcome--which is necessary to get anything done--and reality starts to unravel. Above all one should plan to return to regular patterns before the hallucinations start .

In any event mixed results of the last few weeks remind me of the "many failures" quote attributed to Edison who is famous for his napping among other things:


Quoting 
"I have not failed [fill in a number] times. I have successfully found [fill in the same number] ways that will not work."

Have to wonder if his "number of ways that will not work" would have been reduced, and hence might have wasted less time, if he slept normal hours

The following summarizes results of the last couple of weeks, such as they are.

Pair Study Population

A "shorter" list of a dozen spot currency pairs was compiled from dozens available based on importance as a major pair, activity, whether the base or quote currency contributes to the USD index, or "all of the above". The list comprises the following (in no particular order):

1. EUR/USD
2. GBP/USD
3. USD/JPY
4. EUR/GBP
5. USD/CHF
6. AUD/USD
7. NZD/USD
8. EUR/JPY
9. AUD/JPY
10. USD/CAD
11. USD/SEK
12. SEK/JPY

As might be expected a number of these are fairly well correlated, especially pairs involving JPY presumably because of its popularity as a carry currency. My favourites so far include EUR.JPY and AUD.JPY because of their relatively high level of activity and relatively large price movements.

Statistics

An activity baseline for each pair for the last 90-120 days of 2012 was established by counting 200 tick bars and recording price extrema in each 30 minute bracket of the (approximately 24 hour) trading day. Here "price extrema in each 30 minute bracket" is no more than the difference between high and low price of a 30 minute bar. The results for each pair were visualized using plots like the one in the figures below for AUD.USD price extrema and bar count:

AUD.USD Price Movement per 30 minute time bracket
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


AUD.USD Activity measured by 200 Tick bars per 30 minute time bracket
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


In each plot the curve labelled "Maximum Price Diff" or "Maximum Bars" refers to the maximum value attained in the corresponding 30 minute bracket for all days over the period analyzed. On a frequency (or probability density, "PD") plot of values in a given bracket this maximum value would correspond to the point on the extreme right of the PD.

While I plotted PDFs (probability density functions) for a number of brackets and instruments and any of them would illustrate the last statement, unfortunately none is handy; rather than break to look for one and risk getting distracted by something else and not returning to this journal update any time soon may add later.

In any case the maximum, standard deviation, median and mean suggest pretty much all there is to see in the bracket PDFs. The difference between the median and mean in general indicates the distribution of price extrema in each bracket is heavily skewed toward smaller extremes, as expected, with the maximum values well beyond e.g. Chauvenet's Criterion for outlier removal. Consequently I spent some time pondering how to deal with the stats since first, a lot of stats metrics assume a normal distribution and second, as I may have mentioned elsewhere on the topic of outlier removal, one trader's outlier is another trader's meat and potatoes especially if the tails tend to be "fat".

In the future, rather than coerce price PDFs into something resembling a normal distribution e.g. by applying a nonlinear function (logs, square root) to the values, instead plan to use "5 number summary" (descriptions in terms of the min, max, median and quartiles) if the need arises. The standard deviation therefore in the meantime should be taken with a grain of salt.

These stats may say when to expect most bang for the buck (i.e., the most price excursion in the least amount of time, no surprise generally during the European session and especially its overlap with the US session) but nothing about direction of any trade. Since (to paraphrase Al Brooks) there is a bear case and a bull case at every moment, so direction in any bracket likely can't be abstracted--remains entirely a function of a given trader's time frame and method.

Bots

With that in mind I next developed a couple of simple strategies to experiment with bracket based stats, including a random entry bot to provide a baseline and another based on a number of popular bull/bear reversal candlestick patterns. IMO this kind of bot isn't entirely without merit since one of mine (loosely stats based, that trades opening range breakouts for commodity ETFs) has been chugging along more or less profitably since inspired back in the day by Market Profile's 80% rule.

All I want to say about these 2 bots at the moment is that the random entry bot performs more or less as expected, which is to say might even be profitable over the long haul with appropriate money management, but promises to be useful when the time comes to explain why candlestick reversal pattern bot profitability appears to be sensitive to instrument. That is, initial results show the candle bot is overall profitable for most pairs, unprofitable.for others but in at least one case (GBP.USD) remarkably unprofitable in that it's the only bot/instrument combo I can recall whose fortunes reverse to the point of being viable when signals are reversed.

More Research

One apparently blind alley I traversed subsequently also had to do with candle patterns. I wondered what has been forgotten about the other patterns if time has reduced candle pattern trading to e.g., the 10 most popular? Moreover, what do stats say about every possible 2- or 3-candle pattern occurring in any time frame chart of any instrument in terms of the ability of these patterns to predict the next candle?

Perhaps the first question to arise (aside from "who in their right mind would do this", since I can't claim to have been in perfect control of my faculties at the time) is how to go about determining in one's lifetime how well the 100's of thousands of 2- or 3-candle patterns available to us predict the next candle given that it's relatively simple to reduce a chart to a data file that can be input into an analysis program.

Inspired by @NJAMC's latest work with SVM I decided to

1. write an indicator to dump charts to disk as 2 candle pairs;
2. write a program to preprocess the 2 candle pairs into one 32x32 bit image of the pair and a classifier indicative of the direction of the 3rd (predicted) candle; and,
3. run the images through a slightly modified version César Souza's SVM based handwriting analysis program.

The upshot of that so far is all I've proved is what César mysteriously warns, that training classifiers "...may take a (very) significant amount of time...". Training on 500 candle pair images took a few minutes and produced disappointing results. Since training on 1000 images took 5-10 minutes and did somewhat better I decided to see what analysis of 10,000 images would produce. Unfortunately the program has been running for 4 days now, no telling when processing will be complete.

While waiting for the 10,000 pair analysis to run I wrote an indicator to dump OHLC sequences keyed to Zig Zag function extrema, which since Zig Zag identifies pivots with swings of one's choosing I find a handy, automatic way to generate large numbers of input vectors and output goals (e.g. "associate this OHLC sequence or this sequence of indicator values with bullish/bearish conditions, buy/sell/don't trade signals") for training pattern recognition machines.

This last endeavour treads ground covered at the beginning of this journal in the work on classification by K-Means clustering and lately by NJAMC in his work with SVMs. It's worth revisiting at least to test the hypothesis that the mixed results I obtained were due to shortcomings in the implementation (software engineering) rather than because it's an unworkable concept. Lastly, I'm revisiting the work in MC since so far MC seems to better support rapid prototyping of what I want to as trader, even if MC.Net and NT may better support what I want to as a programmer.

Trading

Discretionary trading STF spot currency results have improved over last year in the first couple of weeks of this one--at least since I've begun to repair my sleeping habits--mainly because when price starts to move the first thing I ask myself is whether I'm fit to trade and absolutely do not touch the keyboard if the honest answer is no. I miss a lot of opportunities when groggy--too often lately it seems--but more importantly lose far less often. I still find the way trading acumen increases remarkable--as inexorably slow as the process seems it does occur even if I'm at a loss to pinpoint any one change that made a difference. I suspect this may be due to the fact that while I may think I know something about trading, what matters is whether the knowledge has become intuitive (new pathways in the brain created?). Until that point "what we know" is at the whim of emotional and physical condition.

A second factor may be I'm paying more and more attention to price action guided by Al Brooks' books and webinars, although it seems we don't appreciate a trading tip (aren't able to use it) until we've reached a prerequisite level of awareness. For example, in his webinar on Monday Al distinguished between "stop order markets" and "limit order markets" and a light bulb seem to turn on above my head (e.g., it seemed I finally had some grasp of candlestick reversal patterns), and I've been able to apply that bit of info since the webinar.

Code

All of the experimental code referred to above was done in MC PowerLanguage and will be posted once it has been cleaned up a little.

Reply With Quote
The following 2 users say Thank You to bnichols for this post:

Reply



futures io > > > STF discretionary spot Forex system development journal

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Building a PC for Discretionary/Automated Trading and Strategy Development nlhaines Tech Support 50 January 13th, 2017 06:18 PM
ECN Spot Forex Broker tderrick Currency Futures 31 November 16th, 2012 11:19 AM
How to Optimize a discretionary system AresBowman NinjaTrader 4 August 26th, 2011 06:14 AM
Forex Spot with Divergence Spanky Traders Hideout 7 December 28th, 2009 11:44 AM


All times are GMT -4. The time now is 06:32 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-12 in 0.20 seconds with 20 queries on phoenix via your IP 54.145.51.250