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A Quant's perspective on building a trading system.


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A Quant's perspective on building a trading system.

  #21 (permalink)
Austin TX
 
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Broman View Post
As someone new to futures trading and absorbing as much as I can, I'm finding your information extremely interesting. Looking forward to watching you progress.

Thank you for sharing!

Glad to see someone new to futures. If you have any questions just let me know. THANK YOU for following along.

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #22 (permalink)
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Sounds interesting.

I guess I am five.

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  #23 (permalink)
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Ahren's Moving Average


@SodyTexas,

Interested in the Ahren's Moving Average. Wonder where I could find a NT7 version of the indicator? How is its performance like compare to Kaufmann Adaptive Moving Average?

Thanks in advance.

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  #24 (permalink)
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ckkoh View Post
@SodyTexas,

Interested in the Ahren's Moving Average. Wonder where I could find a NT7 version of the indicator? How is its performance like compare to Kaufmann Adaptive Moving Average?

Thanks in advance.

Aw yes, the Ahrens Moving Average. By far my favorite moving average, it tends to be much smoother than kaufmans. Perry Kaufman uses what he calls Alpha in the EMA formula to create his AMA (Aka, Kaufmans Moving Average). There have been a number of variations of the AMA by changing the the alpha in his formula to some other type of smoothing.If you are asking if this a variation of kaufmann's the answer is no. it is its own moving average, some may even call it a momentum moving average.

The original formula was invented by Richard Ahrens and published in Stock and Commodities Oct 2013. I have attached a XPS version of that article in this post so you can see how he derived the formula. The one I use is slightly different from Ahrens. In Ahren's calculation he uses the open and the close in his formula. But, I like to take out as much variance as I can when trading intra-bar so I use the same formula but based on the high and low of the bar. Variance of the indicator itself, better explained by how much the indicator moves on the bar when calculate on bar close is false. That way the only time the AhrensMA will change is when the bar is either making new highs or new lows. Using it on PnF adds another step for smoothing because depending if we are drawing X's or O's the moving average will only be affected by either new highs (X's) or new lows(O's). So in this case the AhrensMA is about as smooth as one could need in PnF and the variance of the moving average is low making more accurate crosses.

Attached is the indicator code by me with my variation. I hope you like it, it is very smooth and a much better calculation then a zero lag.

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #25 (permalink)
Austin TX
 
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SodyTexas View Post
Aw yes, the Ahrens Moving Average. By far my favorite moving average, it tends to be much smoother than kaufmans. Perry Kaufman uses what he calls Alpha in the EMA formula to create his AMA (Aka, Kaufmans Moving Average). There have been a number of variations of the AMA by changing the the alpha in his formula to some other type of smoothing.If you are asking if this a variation of kaufmann's the answer is no. it is its own moving average, some may even call it a momentum moving average.

The original formula was invented by Richard Ahrens and published in Stock and Commodities Oct 2013. I have attached a XPS version of that article in this post so you can see how he derived the formula. The one I use is slightly different from Ahrens. In Ahren's calculation he uses the open and the close in his formula. But, I like to take out as much variance as I can when trading intra-bar so I use the same formula but based on the high and low of the bar. Variance of the indicator itself, better explained by how much the indicator moves on the bar when calculate on bar close is false. That way the only time the AhrensMA will change is when the bar is either making new highs or new lows. Using it on PnF adds another step for smoothing because depending if we are drawing X's or O's the moving average will only be affected by either new highs (X's) or new lows(O's). So in this case the AhrensMA is about as smooth as one could need in PnF and the variance of the moving average is low making more accurate crosses.

Attached is the indicator code by me with my variation. I hope you like it, it is very smooth and a much better calculation then a zero lag.


The XPS of Ahrens did not upload, so let me attach the PDF of the OCT 2013 S&C. I also added it to the elite members section for indicators. Actually, all the indicators in this system are coded by me and i will be sharing them all.. Open transparency = collaboration. I still need to cover how I break up sampling data, and include the other indicators such as the ichimoku cloud with added fibonacci cushion, which i will do soon.

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."

Last edited by Big Mike; August 23rd, 2014 at 03:05 PM. Reason: copyright attachment removed
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  #26 (permalink)
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SodyTexas View Post
The XPS of Ahrens did not upload, so let me attach the PDF of the OCT 2013 S&C. I also added it to the elite members section for indicators. Actually, all the indicators in this system are coded by me and i will be sharing them all.. Open transparency = collaboration. I still need to cover how I break up sampling data, and include the other indicators such as the ichimoku cloud with added fibonacci cushion, which i will do soon.

Have you thought of creating a Bollinger band or Keltner channel using the Ahrens moving average?

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  #27 (permalink)
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RickW00716 View Post
Have you thought of creating a Bollinger band or Keltner channel using the Ahrens moving average?

I have made the AhrensBB but not the keltner channel. might be a fun side project. Attached is the AhrensBB. I will also, post it in the elite indicator section.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #28 (permalink)
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@SodyTexas your strategy development flow chart is great. Nice work.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #29 (permalink)
Austin TX
 
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liquidcci View Post
@SodyTexas your strategy development flow chart is great. Nice work.

Thanks, stay tuned I will be going through the entire flow chart with code and examples on this journal!

Sody,

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #30 (permalink)
Austin TX
 
Experience: Advanced
Platform: Ninjatrader, Python, & R
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Posts: 328 since Sep 2013
Thanks: 100 given, 893 received

My version of the Ichimoku Cloud


Ok, lets talk about the next indicator, the SoderstromCloud. It is the Ichimoku Cloud with both the Senkou Span A and B but it add something unique to the mix.

If you do the math on the Snekou Span B it is always the 50% line in the Fibonacci retracement looking back the standard 52 periods of Ichimoku; and acts as either support or resistance. Many times you will see price peak out of this line and retrace back true it causing a false signal.



But what I did to add cushioning by expanding the Senkou Span B to the next nearest Fibonacci line. I am not a complete believer in Fibonacci, but because many traders are I think it becomes a self-fulfilling S&R. Logically, to me if I was going to fatten the Senkou Span B line (needed for proper position sizing using Van Tharps R-multiples) the next Fibonacci retracements makes sense.

Attached is the indicator, like before I will also post it in the elite indicator section.

Cheers, Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Attached Files
Register to download File Type: zip SoderstromsCloud.zip (5.9 KB, 367 views)

Last edited by SodyTexas; August 18th, 2014 at 01:47 PM.
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