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A Quant's perspective on building a trading system.

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  #1 (permalink)
 SodyTexas 
Austin TX
 
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This is my second attempt to a journal. My first one failed (because we just had a new baby that took up all my time). I hope you are understanding for the failed attempt and follow me along with this one. I have the time and motivation to see this one through.

My goal of this trading journal is to showcase how I a quantitative trader approaches the development of a trade system. I trade professionally (for a hedge fund) and am looking to possibly go out on my own or trade with another firm. That said, if you are interested in my methods feel free to contact me.

I find futures.io (formerly BMT) as a perfect place to start my journey because of the fantastic audience that only futures.io (formerly BMT) can supply. I encourage an open debate on my methods because I recognize that I do not have all the answers and can learn from other members on this forum.

I will be presenting the steps that I go through to build a system and show an example of a system going through the process. I apologize in advance because i will not be showing the signals for the system because I have tested portions of the system and believe that it could be one that I will use to manage money. My systems focus on managing risk first and reward second. I derived my system from a combination of work published by Ralph Vince, Van Tharp and Perry Kaufman. If you have not read any of these authors I strongly suggest that you do. If you are familiar with any or all these authors then I expect you to thoroughly enjoy my posts.

To get started I am attaching a flow chart that I have made to guide you through my process. I will post more about the methods I use tomorrow.

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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  #3 (permalink)
 SodyTexas 
Austin TX
 
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Looking at the flow chart one of the first items I note is a "Paradigm Shift". This is what I call a new way to trading; in actuality it is not new at all. It is some core beliefs that I use to design trading systems that I have collected them primarily from experience, Van Tharp, and Perry Kaufman.

To quickly summarize "The Paradigm Shift" it is a combination of using the popular R-Multiples and statistics to evaluate and use a trading system. They way I think of trading is the study of numbers to provide profit and control risk. Statistics is the study of numbers, and trading should be all about risk and reward.

A Good trading systems needs to be built on a solid foundation, this is my foundation.

See attachment

Next I will be talking about the sample data and how that should be broken up. Then we can get into the fun stuff..

Until then, 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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 Nicolas11 
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Hi,

This simply looks excellent reading. Thanks for sharing your approach.

Nicolas

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 SodyTexas 
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Nicolas11 View Post
Hi,

This simply looks excellent reading. Thanks for sharing your approach.

Nicolas

Thanks Nicolas, I hope you stick with my posts and follow along..

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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 cejstrup 
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SodyTexas View Post
Looking at the flow chart one of the first items I note is a "Paradigm Shift". This is what I call a new way to trading; in actuality it is not new at all. It is some core beliefs that I use to design trading systems that I have collected them primarily from experience, Van Tharp, and Perry Kaufman.

To quickly summarize "The Paradigm Shift" it is a combination of using the popular R-Multiples and statistics to evaluate and use a trading system. They way I think of trading is the study of numbers to provide profit and control risk. Statistics is the study of numbers, and trading should be all about risk and reward.

A Good trading systems needs to be built on a solid foundation, this is my foundation.

See attachment

Next I will be talking about the sample data and how that should be broken up. Then we can get into the fun stuff..

Until then, Cheers,

Sody

Thanks for sharing. I'm currently testing my own system and I can already see a lot of benefit from this

Subscribing to this thread

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 SodyTexas 
Austin TX
 
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cejstrup View Post
Thanks for sharing. I'm currently testing my own system and I can already see a lot of benefit from this

Subscribing to this thread

Awesome, I have a subscriber!

"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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 Nicolas11 
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Two!

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 SodyTexas 
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After a bit of pondering, I decided to be more transparent with this journal and change and open up the system to others including the rules, code, and indicators. Maybe, just maybe, I can get some great feedback on the system to make it great. I will not be using the system that I am building for the Hedge Fund for proprietary issues, however, I will shift gears to a personal system that I am designing.

First, let me talk about the goals of this "new" system. What I need is a system that can be implemented on a small amount of capital. Why? Because as I mentioned in my first post I have a new daughter, and I would like to get a head start on her financial stability. This I believe will benefit followers here at futures.io (formerly BMT) that may want to open a small account and follow along.



What I did was open her a UGMA account with FXCM, a Forex broker. The reason I went with Forex and not futures is because of the ability to trade a very small account with micro lots (usually 1000 lot position). This will allow me to start trading on a small amount ($50.00 - $1000.00)of capital; perfect for her. I will be adding a small amount to the account monthly until she is 18.

My hope is to have the account grow to a size large enough that I can move it to futures with proper risk management. Until then micro lots in FX will allow me to still use the principals of risk management that I will be talking about here.

The system itself is a spin-off of the popular Ichimuko indicators on a PnF (Point and Figure) chart. The plan here is to create a system with a t-score of 2.80 of higher.

As true with my flow chart, my objectives are:

Return: 90%
Ruin: 30%
ideal t-score: 2.80
Time-frame: 1000 trades


The initial base system will include the ichimuko cloud adjusted with some Fibonacci numbers, a smooth moving average opposed to the ichimuko moving average, and a MaxMin breakout set at the ichimuko standard of 52 bars. I use PnF a bit different then most traders, as I do not use it to trade catapults but to filter out noise. This is great to adjust time to nothing but price action.

Here is an example of what I plan to achieve:



The code for the initial system is not written yet, so in the next week I will complete the base system and post it here.

I hope you appreciate the choice to open up the project to everyone, and I look forward to any feedback.

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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 SodyTexas 
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Nicolas11 View Post
Two!

I'm famous!!!

"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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 bobwest 
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SodyTexas View Post
Awesome, I have a subscriber!


Nicolas11 View Post
Two!


SodyTexas View Post
I'm famous!!!

Three!



Bob.

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 SodyTexas 
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bobwest View Post
Three!



Bob.

Welcome to the club Bob, glad to have ya!

"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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 Itchymoku 
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cejstrup View Post
Thanks for sharing. I'm currently testing my own system and I can already see a lot of benefit from this

Subscribing to this thread


Nicolas11 View Post
Two!


bobwest View Post
Three!



Bob.

four!

R.I.P. Joseph Bach (Itchymoku), 1987-2018.
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 SodyTexas 
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Itchymoku View Post
four!

Thanks Ichy, I'm still waiting for you to drop by for some BBQ here in Austin..

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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 bajabaja 
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First documents of this topic were very interesting and well made. Definetely subscribing this thread, thanks for sharing!

-baja

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 Broman 
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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!

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FalseProphets
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Glad that you are venturing into speculation from the world of mostly sell-side financial advising. I wish you luck as many have gone back to that world after trying their hand in trading. Decent money can still be made with a suit and tie behind a desk with the Financial Advisor title. You just have to be better in Sales than Finance, unfortunately.
Will you be keeping your SEC registration current or giving it up permanently?
Also, a little surprised that you are looking at forex through the world of retail indicators. I thought you would bring a more trained, value based approach to markets.
(Nice Visio work, by the way)

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Limitless100
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I'm very interested in following your future posts in this thread! Consider me subscribed as well! Everything sounds great thus far.

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 ckkoh 
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Very interesting. Looking forward to following your future post. Always keen to understand how quant trader approaches the development of a trading strategy.

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 SodyTexas 
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FalseProphets View Post
Glad that you are venturing into speculation from the world of mostly sell-side financial advising. I wish you luck as many have gone back to that world after trying their hand in trading. Decent money can still be made with a suit and tie behind a desk with the Financial Advisor title. You just have to be better in Sales than Finance, unfortunately.
Will you be keeping your SEC registration current or giving it up permanently?
Also, a little surprised that you are looking at forex through the world of retail indicators. I thought you would bring a more trained, value based approach to markets.
(Nice Visio work, by the way)

You have looked at my Linkedin profile I am guessing. The Fund I am working for will not be holding my SEC licenses and with no broker dealer to park them, I am letting them expire. Thanks, going to the buy side has always been a dream; and today I no longer wear a suit and tie, but, shorts and sandals.

When looking at "retail" indicators (as you will learn from me) I do not put a lot of weight in the indicator itself and they will not be the focus of my strategy. Most indicators are correlated anyways telling someone what has happened and not will happen. The term quant in the title might be a bit skewed as I shifted from a system that I was using for the fund (One that I can not explain further, except that it is heavy in linear regression and non linear polynomials) to one that is simple for the use in a retail account for my daughter that I have no issue sharing the code for. So the trade off is simple, either share the code completely or have the discussion wrapped in mystery. Transparency was the reason I decided to shift gears.

The point of this journal is to move a trader retail or otherwise from relying on indicators alone to spend most of there time with the risk management and position sizing part of trading. The part of trading that seems to be shrouded in mystery for most traders. Agree? Disagree?

Forex seems like a fun project, also, I needed a instrument that fund does not trade in. So the choice in Forex does seem strange and off topic. But, it is the safest for me to talk about without competing with my employer. Also, the fact that I do need something for a small account for my daughters UGMA account it seems like a good choice.

That said I have no idea how the system will perform before hand on Forex.. This may just be a epic fail and you are all along for the ride.

Thanks for following along, and I look forward to your input 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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 SodyTexas 
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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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Gill1
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Sounds interesting.

I guess I am five.

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 ckkoh 
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@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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 SodyTexas 
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@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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 SodyTexas 
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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."
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  #26 (permalink)
 RickW00716 
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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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 SodyTexas 
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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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 liquidcci 
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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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 SodyTexas 
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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,

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 SodyTexas 
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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."
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 RickW00716 
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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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Limitless100
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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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 sptrader 
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Has anyone coded the "Ahrens Moving Average" for Multicharts - Tradestation ?

(or post the formula )..

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 SodyTexas 
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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.

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 SodyTexas 
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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,.

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

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 NJAMC 
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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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 SodyTexas 
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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?

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Limitless100
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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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 SodyTexas 
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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

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Limitless100
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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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 Don Laing 
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Excellent - looking forward to developments

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 SodyTexas 
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Limitless100 View Post
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.

C++ is very similar to the C# syntax, you wont be able to access the Ninjatrader base code and dll's but the math and logic should be very easy for you to pick up.

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 ratfink 
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SodyTexas View Post
C++ is very similar to the C# syntax, you wont be able to access the Ninjatrader base code and dll's but the math and logic should be very easy for you to pick up.

Couldn't disagree more.

C++ is duck ugly, but then I'm biased. Cheers.

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 SodyTexas 
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ratfink View Post
Couldn't disagree more.

C++ is duck ugly, but then I'm biased. Cheers.

I don't disagree, but the way I look at it, if he uses C++ daily, picking out a indicator's formula should be quite easy in C#.

Maybe i'm missing the boat.

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 ratfink 
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SodyTexas View Post
I don't disagree, but the way I look at it, if he uses C++ daily, picking out a indicator's formula should be quite easy in C#.

Maybe i'm missing the boat.

No you're dead on, I'd count myself smarter than I am if I could use C++ safely, but I'm not and I wouldn't want to try, I just wish Stoustrup hadn't been either. I think we used to say 'blow your foot off with C, but whole leg off with C++' or something like that. Cheers.

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 SodyTexas 
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ratfink View Post
No you're dead on, I'd count myself smarter than I am if I could use C++ safely, but I'm not and I wouldn't want to try, I just wish Stoustrup hadn't been either. I think we used to say 'blow your foot off with C, but whole leg off with C++' or something like that. Cheers.

whole leg off with C++, I may have to quote your saying someday with that.. Very Funny,

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 bizman70 
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Looks good, can u share your ideas for trading , entry, exit and stops



SodyTexas View Post
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


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 bobwest 
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ratfink View Post
No you're dead on, I'd count myself smarter than I am if I could use C++ safely, but I'm not and I wouldn't want to try, I just wish Stoustrup hadn't been either. I think we used to say 'blow your foot off with C, but whole leg off with C++' or something like that. Cheers.

I find it quite easy to blow my whole head off just with C.

I'm with you about Stroustrup.

I recall a statement way back in K&R to the effect that C is based on the idea of "trust the programmer." I thought to myself, "Huh??? That means me. Who are they kidding???"

(Inside jokes, normal people can just ignore, and no doubt will.)

Bob.

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 Don Laing 
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bizman70 View Post
Looks good, can u share your ideas for trading , entry, exit and stops

I agree -- How do we use it?

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 SodyTexas 
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bizman70 View Post
Looks good, can u share your ideas for trading , entry, exit and stops

I believe that is the entire point of this journal.. "How I build a trading system" Patience young grasshopper.

Cheers,

Sody

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 SodyTexas 
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Thought I would give a quick update, and you all know that the trade system is coming along great. I should have it complete by Monday (give or take a day).

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 RickW00716 
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SodyTexas View Post
Thought I would give a quick update, and you all know that the trade system is coming along great. I should have it complete by Monday (give or take a day).

very interested to see what you've come up with

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RickW00716 View Post
very interested to see what you've come up with

Hopefully its not to hard to follow.. But if I post a system with my name associated to it I'm going to make sure it is good.

It will be worth the wait.

Cheers,

Sody

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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.

It is not clear to me -- Is this publication freely available by the source? If it is not freely available, it needs to be removed immediately from futures.io (formerly BMT) as we don't allow copyrighted works (pirated material). Please reply ASAP.

Mike

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 SodyTexas 
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Big Mike View Post
It is not clear to me -- Is this publication freely available by the source? If it is not freely available, it needs to be removed immediately from futures.io (formerly BMT) as we don't allow copyrighted works (pirated material). Please reply ASAP.

Mike

Am not sure or not if it available freely or not. Please remove immediately. I have a subscription to S&C and I know they have some articles freely available. But I am not sure if this is one of them.

I will do more research and make sure it is before reposting.

Thanks Mike

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 RickW00716 
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SodyTexas View Post
Hopefully its not to hard to follow.. But if I post a system with my name associated to it I'm going to make sure it is good.

It will be worth the wait.

Cheers,

Sody

will your system be for intraday trading or will it be something that can be used on all timeframes?

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 SodyTexas 
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artemiso View Post
@Limitless100

I guess you meant this?

Firstly, it sounds to me that you're using managed C++, which loses important benefits of the language without gaining anything. To be fair, my opinion is not so useful. I'm generally agnostic to the programming language. I have memory-hungry applications that would cost more in server power/computation time than developer salaries, so C# is not my weapon of choice. At the same time, I have many more lines of Fortran in production mode than C++, so I'm not the best person to defend C++ either.

Hand-holding: C# .NET does a fair job of trying to hand-hold mediocre developers, e.g. it doesn't support multiple inheritance through classes; point-and-click UI builder in VS for writing industrial strength GUIs; I would also rather C++ has an immutable string library and think C# has the better default here. Microsoft steals good ideas every now and then (parametric polymorphism in 2.0, lambda expressions in 3.0), and I like the language direction. But I think choosing C# .NET over C++ because of anxieties over memory management is an uninformed decision.

It's a commonly-perpetuated myth that memory management is difficult in C++, and that you hardly need to worry about that in C# .NET/C++. I don't think that's the case - I don't want to get into this fight because everyone has written pages of arguments about this, but I can say that in the C# .NET programs that I've written for financial applications, I spent a lot more time making sure every object either lived forever or died immediately before it got promoted to generation 1/2. If you don't understand the purpose of this though, I'd honestly think you're better served with Java/C# .NET for now.

The practice of writing good code in C++ is mostly similar to that in C#. Prefer static dispatch over dynamic dispatch (C# .NET 4.0), maintain modular abstractions etc., so at the end of the day, the onus is still on the developer and has nothing to do with the technical merits of either language.

Concurrency: I don't know what others think but if you're going to make a living with this, you're going to have multiple cores on multiple machines. A reasonable way to parallelize your workload across multiple machines is to fork multiple processes and have them communicate via message passing. As far as I know, there's high-performance messaging middleware with efficient C++ interfaces, but not so much .NET interfaces. (I would probably recommend Solace if you were working with .NET.)

Containers: C++'s STL containers are powerful and useful for what you're trying to do and have no practical equivalents in C#. An interview question I would give to a potential developer is to name/think of an application of a standard C++ container in a financial setting - if you don't know the answer, chances are that you're better off with C# .NET/Java.

Libraries and third party integration: There isn't even a serious numerical library or market access API with C# bindings (Lime/WEX, maybe). You could pay for Extreme Optimization's MKL wrappers, I suppose.

Low-level facilities: You should make up your mind - you probably picked C++ initially because of what you've heard about its performance (I think this is misguided), but you're going to have a hard time doing any meaningful performance measurement in C# without access to low-level facilities - so perhaps performance isn't really a concern for you after all?

MATLAB/R: My most serious problem with using array-oriented languages such as MATLAB/R/numPy is that it accustoms you to manipulate and analyze data in a very rigid, flat and uniform manner - it's a round hole and your market data is like a square peg that doesn't fit in it very well. For example, there's no clean way of processing sub-tuples containing both strings and integers in an array-oriented language. I personally like MATLAB over R/numPy because of its cleaner documentation and the proprietary package distribution model. Think of it as an iPhone. There are many good apps for the iPhone because it's a single spec with tightly-controlled, proprietary distribution; Android apps have to deal with different technical specs, screen sizes etc. Performance-wise, MATLAB's parallel processing model is also more convenient than R/numPy, and similarly, most CPU-bound operations are highly-optimized Fortran/C routines anyway.

Basically, I did have a happier experience developing in Fortran and C++ than C#; Fortran and C++ have been more productive and have offered better development tools. To give you an idea, my best times-to-market were about 2 days in Fortran, C++ and Python vs 2 weeks in C#. Your mileage may vary.

Wow Fortran over C#.. How dare you sir.. And to insult numPy as well; let's leave Python out of it. The fact is simple. Fortran and C++ is still relevant to UHFT because of the speed. This journal thankfully is not about HFT and not all quant trading is HFT.

Unless we are here to compare how many Cuda's we have stacked for our parallel processes I'm going to try and move past this code talk.

I apologize if joking about C++ offended you. C# in this case is a necessity to ninjatrader, personally, my trading stack outside of Ninja and beyond the scope of this journal is Python.



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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 artemiso 
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SodyTexas View Post
Wow Fortran over C#.. How dare you sir.. And to insult numPy as well; let's leave Python out of it. The fact is simple. Fortran and C++ is still relevant to UHFT because of the speed. This journal thankfully is not about HFT and not all quant trading is HFT.

Just to emphasize: I prefer these languages over C# because of their ease of development and availability of tools, and I didn't mention that speed was a deciding factor.


SodyTexas View Post
I apologize if joking about C++ offended you. C# in this case is a necessity to ninjatrader, personally, my trading stack outside of Ninja and beyond the scope of this journal is Python.

Oh no, no offense taken at all. @Limitless100 just wanted to hear my thoughts on C++, MATLAB, R and C# in reference to what you had mentioned.

Python is my go-to language for almost anything that takes less than 40 lines to express. But to wrap up on my point to @Limitless100 that I prefer to be language-agnostic, take this for example: How would I write a Python script that recursively checks if Quantopian's Zipline is a poorly-written library only designed for single-core processing at the application level? I can do this very quickly in Perl, but not Python:

 
Code
#!/bin/sh
grep -r multiprocessing zipline/ | perl -e 'while(<>){}; print $.,"\n";'

Every language has its elegant side, I'd learn many and choose whatever makes you feel comfortable and productive.

Anyway, I agree that we should move past a debate about programming languages.

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 fourtiwinks 
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@artemiso,

You have always made excellent and informative posts, but sad to see that you usually delete them.. sigh..

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 SodyTexas 
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artemiso View Post
Just to emphasize: I prefer these languages over C# because of their ease of development and availability of tools, and I didn't mention that speed was a deciding factor.

Just added my two cents, that I see value in C++ and Fortran when it comes to speed. But (at least for me) I find C# easier to code in than C++ (Fortran I have very little experience) . Completely, agree that the language depends on the project your working on.

Thanks for your input to my 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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Limitless100
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artemiso View Post
I guess you meant this?

Firstly, it sounds to me that you're using managed C++, which loses important benefits of the language without gaining anything. To be fair, my opinion is not so useful. I'm generally agnostic to the programming language. I have memory-hungry applications that would cost more in server power/computation time than developer salaries, so C# is not my weapon of choice. At the same time, I have many more lines of Fortran in production mode than C++, so I'm not the best person to defend C++ either.

I have been using unmanaged code in C++.

Quoting 



Hand-holding: C# .NET does a fair job of trying to hand-hold mediocre developers, e.g. it doesn't support multiple inheritance through classes; point-and-click UI builder in VS for writing industrial strength GUIs; I would also rather C++ has an immutable string library and think C# has the better default here. Microsoft steals good ideas every now and then (parametric polymorphism in 2.0, lambda expressions in 3.0), and I like the language direction. But I think choosing C# .NET over C++ because of anxieties over memory management is an uninformed decision.

It's a commonly-perpetuated myth that memory management is difficult in C++, and that you hardly need to worry about that in C# .NET/C++. I don't think that's the case - I don't want to get into this fight because everyone has written pages of arguments about this, but I can say that in the C# .NET programs that I've written for financial applications, I spent a lot more time making sure every object either lived forever or died immediately before it got promoted to generation 1/2. If you don't understand the purpose of this though, I'd honestly think you're better served with Java/C# .NET for now.

The practice of writing good code in C++ is mostly similar to that in C#. Prefer static dispatch over dynamic dispatch (C# .NET 4.0), maintain modular abstractions etc., so at the end of the day, the onus is still on the developer and has nothing to do with the technical merits of either language.

Thank you for the above comparisons, I also agree with the last statement regarding the developer having the final word over which language is best for them.

Quoting 

Concurrency: I don't know what others think but if you're going to make a living with this, you're going to have multiple cores on multiple machines. A reasonable way to parallelize your workload across multiple machines is to fork multiple processes and have them communicate via message passing. As far as I know, there's high-performance messaging middleware with efficient C++ interfaces, but not so much .NET interfaces. (I would probably recommend Solace if you were working with .NET.)

Absolutely.


Quoting 

Containers: C++'s STL containers are powerful and useful for what you're trying to do and have no practical equivalents in C#. An interview question I would give to a potential developer is to name/think of an application of a standard C++ container in a financial setting - if you don't know the answer, chances are that you're better off with C# .NET/Java.

Libraries and third party integration: There isn't even a serious numerical library or market access API with C# bindings (Lime/WEX, maybe). You could pay for Extreme Optimization's MKL wrappers, I suppose.

Low-level facilities: You should make up your mind - you probably picked C++ initially because of what you've heard about its performance (I think this is misguided), but you're going to have a hard time doing any meaningful performance measurement in C# without access to low-level facilities - so perhaps performance isn't really a concern for you after all?

I don't believe I'm following this last portion above. I was under the impression C++ did have access to low level facilities? Could you @artemiso or someone else elaborate on this portion.

Quoting 


MATLAB/R: My most serious problem with using array-oriented languages such as MATLAB/R/numPy is that it accustoms you to manipulate and analyze data in a very rigid, flat and uniform manner - it's a round hole and your market data is like a square peg that doesn't fit in it very well. For example, there's no clean way of processing sub-tuples containing both strings and integers in an array-oriented language. I personally like MATLAB over R/numPy because of its cleaner documentation and the proprietary package distribution model. Think of it as an iPhone. There are many good apps for the iPhone because it's a single spec with tightly-controlled, proprietary distribution; Android apps have to deal with different technical specs, screen sizes etc. Performance-wise, MATLAB's parallel processing model is also more convenient than R/numPy, and similarly, most CPU-bound operations are highly-optimized Fortran/C routines anyway.

I appreciate you opinion on this matter, thanks. It seems that MATLAB, in your opinion, provides additional benefit in exchange for a small expense. I believe there may even be an offer for a free download through university, which I recently discovered.

Quoting 

Basically, I did have a happier experience developing in Fortran and C++ than C#; Fortran and C++ have been more productive and have offered better development tools. To give you an idea, my best times-to-market were about 2 days in Fortran, C++ and Python vs 2 weeks in C#. Your mileage may vary.

Just to emphasize: I prefer these languages over C# because of their ease of development and availability of tools, and I didn't mention that speed was a deciding factor.



Oh no, no offense taken at all. @Limitless100 just wanted to hear my thoughts on C++, MATLAB, R and C# in reference to what you had mentioned.

Python is my go-to language for almost anything that takes less than 40 lines to express. But to wrap up on my point to @Limitless100 that I prefer to be language-agnostic, take this for example: How would I write a Python script that recursively checks if Quantopian's Zipline is a poorly-written library only designed for single-core processing at the application level? I can do this very quickly in Perl, but not Python:

 
Code
#!/bin/sh
grep -r multiprocessing zipline/ | perl -e 'while(<>){}; print $.,"\n";'

Every language has its elegant side, I'd learn many and choose whatever makes you feel comfortable and productive.

Anyway, I agree that we should move past a debate about programming languages.

I greatly appreciate your experienced insight @artemiso
I did not expect such a comprehensive and detailed answer. The information you have provided has helped to clear my mind and fortify my choices. I also agree with the last lines 100%, I have experimented with various languages already and I like C++ the most, it comes down to personal preference and what you can personally do the most with.

I apologize for bringing up an un-relevant programming topic in your thread OP! I am done now, just wanted to thank Artemiso.

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 DarkPoolTrading 
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fourtiwinks View Post
@artemiso,

You have always made excellent and informative posts, but sad to see that you usually delete them.. sigh..

Agreed, I too enjoy his posts but find the constant need to delete them curious. In any case, everyone who is subscribed to the threads gets artemiso's replies via email even if he delete's them as per his modus operandi.

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 Ganymed 
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Five

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 TheWizard 
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SIX

After all, it's what you learn AFTER you know it all, that counts!
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 artemiso 
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fourtiwinks View Post
@artemiso,

You have always made excellent and informative posts, but sad to see that you usually delete them.. sigh..


DarkPoolTrading View Post
Agreed, I too enjoy his posts but find the constant need to delete them curious. In any case, everyone who is subscribed to the threads gets artemiso's replies via email even if he delete's them as per his modus operandi.

Sorry, I didn't mean to flood the thread and someone else has already quoted my post anyway.

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 artemiso 
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Limitless100 View Post
I don't believe I'm following this last portion above. I was under the impression C++ did have access to low level facilities? Could you @artemiso or someone else elaborate on this portion.

Yeah, there's a lot you actually can't do in C# .NET without interop; some of these are Windows limitations, I'm not sure if the same extends to Mono (never tried). I was saying, if you're debating between the two at all, then probably performance doesn't matter that much to you as you think.


Quoting 
I apologize for bringing up an un-relevant programming topic in your thread OP! I am done now, just wanted to thank Artemiso.

You're welcome and good luck as always.

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Limitless100
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artemiso View Post
Yeah, there's a lot you actually can't do in C# .NET without interop; some of these are Windows limitations, I'm not sure if the same extends to Mono (never tried). I was saying, if you're debating between the two at all, then probably performance doesn't matter that much to you as you think.



You're welcome and good luck as always.

Okay that is what I thought you were referencing. I have been under the impression that C++ was the more wise choice for what I desire, which is why I chose it and am sticking with it. I simply wanted an educated opinion to shed additional light on the topic, which you did, thanks again.

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 gers569 
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Thank you for sharing your wealth of knowledge looking forward to taking in as much as I can.

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 romus 
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SodyTexas View Post
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


@SodyTexas
I have installed your indicator and only get a cloud visible.
How do I get other components?
Cheers,
romus

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 SodyTexas 
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romus View Post
@SodyTexas
I have installed your indicator and only get a cloud visible.
How do I get other components?
Cheers,
romus

The other are the Ahrens indicator

"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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 johnedoe 
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Posts: 18 since Sep 2014

I find this journal interesting but I would like to see more about the trade aspects and less on the programing language aspect which is WAY over my head..... Sorry but I am just a simple trader and am interested in the core concepts of your method.





"Everything should be made as simple as possible, but not simpler."
Albert Einstein

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 SodyTexas 
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johnedoe View Post
I find this journal interesting but I would like to see more about the trade aspects and less on the programing language aspect which is WAY over my head..... Sorry but I am just a simple trader and am interested in the core concepts of your method.





"Everything should be made as simple as possible, but not simpler."
Albert Einstein

Agreed, that's why I stopped. Seems like people where more interested on debating about computer languages than theory.

I have not made up my mind if I'm going to continue this thread or not.

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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 johnedoe 
Eugene, Or. USA
 
 
Posts: 18 since Sep 2014

Don't stop.... lets just get on with the trade aspect of your idea.
It is easy to get sidetracked in life.... We tend to make things far more complicated than they really need to be and swinging into the programing is just another detour on the road to simplicity.

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 tihfa 
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please continue... I am also interested in concepts not so much particular language implementation....looking forward to continued discussion...

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 tabrun 
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please continue.............drop this programming stuff ...... and focus on trading please

tabrun

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