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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.

  #31 (permalink)
Richmond Virginia
 
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SodyTexas View Post
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

thanks, I'll check this out

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  #32 (permalink)
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I'm having trouble viewing the attached file code. It won't open on my computer, what type of program do I need to open the file? Also, I'm on my Mac right now which could be an issue,.

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  #33 (permalink)
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Has anyone coded the "Ahrens Moving Average" for Multicharts - Tradestation ?

(or post the formula )..

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  #34 (permalink)
Austin TX
 
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sptrader View Post
Has anyone coded the "Ahrens Moving Average" for Multicharts - Tradestation ?

(or post the formula )..

Formula is in the 2013 OCT issue of Stocks and Commodities.

"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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  #35 (permalink)
Austin TX
 
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Limitless100 View Post
I'm having trouble viewing the attached file code. It won't open on my computer, what type of program do I need to open the file? Also, I'm on my Mac right now which could be an issue,.

Which code are you having issue with? If you are using a make, what are you trying to open it with?

"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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  #36 (permalink)
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Flow Chart

Hi @SodyTexas,

I have a question about your development flow chart. You have t-score listed there as well as t-value. Is that the Student T test value?

This looks like it will be a great thread!

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  #37 (permalink)
Austin TX
 
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NJAMC View Post
Hi @SodyTexas,

I have a question about your development flow chart. You have t-score listed there as well as t-value. Is that the Student T test value?

This looks like it will be a great thread!

Great question, they are two different items in statistics.

T - Score (aka T-statistic) = (Sample Mean - Hypothesized Sample Mean) / (Sample Standard Deviation / Square root of the sample size)

You can reference the second attachment called "the paradigm shift" on how to look at this with a trading system. Or do some research on Van Tharp's SQN, but keep in mind he uses 100 instead of the square root of sample size.

The Students T Distribution, does have a t-score associated with it for hypothesis testing. But, a Student's t Distribution is a distribution curve usually used on hypothesis testing with a sample size of less than 30. It is basically a normal distribution curve with thicker tails and lower peak. The higher the sample size is the more "normal" a Students T Distribution approaches. Frankly, there is a high level of sampling error when only dealing with a small number of trades. Since I am hoping that any test we run has much more trades than 30 the Student T test would not be used.

I might have a typo on the flow chart as I compare t-score with a critical t value (might be what I meant). The critical t-value is the point that you want the t-score to be above, otherwise the system performance might have been caused from just luck and should not have any statistical confidence around the results. I can't seem to find where it says t value, only Critical (t) value; am I missing it?

"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 SodyTexas; August 18th, 2014 at 05:08 PM.
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  #38 (permalink)
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SodyTexas View Post
Which code are you having issue with? If you are using a make, what are you trying to open it with?

On the previous page you attached AhrensBB and Soderstroms cloud files. I'm not quite sure what type of file it is. I was assuming it was a file containing your code for those specific indicators, so mostly plain text, when I tried to open it nothing seemed to happen. It would clone itself into another ZIP file with an added extension CPGZ.

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  #39 (permalink)
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Limitless100 View Post
On the previous page you attached AhrensBB and Soderstroms cloud files. I'm not quite sure what type of file it is. I was assuming it was a file containing your code for those specific indicators, so mostly plain text, when I tried to open it nothing seemed to happen. It would clone itself into another ZIP file with an added extension CPGZ.

I apologize, I failed to mention that I am using Ninjatrader for the trading system and indicators. These are .CS files (C#) that Ninatrader uses. They can be opened with Ninjatrader of my recommendation Visual Studio..

When using a MAC look into a program called XCode, it will be able to open a .CS file as well.

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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  #40 (permalink)
New York, New York
 
 
Posts: 97 since May 2014
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SodyTexas View Post
I apologize, I failed to mention that I am using Ninjatrader for the trading system and indicators. These are .CS files (C#) that Ninatrader uses. They can be opened with Ninjatrader of my recommendation Visual Studio..

When using a MAC look into a program called XCode, it will be able to open a .CS file as well.

Cheers,

Sody

Great I code in C++ and use visual studio. Would I be able to open to C# file on visual studio and convert to c++?

I have a windows PC and Laptop for work, the mac is just a knock around computer haha.

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