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Back in business
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Back in business

  #31 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received

After a good night & a good walk

I maybe though I was immune to most of the psychological short fall that you could encounter in trading. Obviously I was wrong. I have been greatly perturbed by just a change of trading platform. But after a good walk and a short night : back in business.

I found a way to paint my bar based on the condition of my indicator (i know it the basis for most of you but for me with no programming skills I was happy of that and I never managed to do it with NT)with the painting I did no longer need any indicators (it was my goal since the beginning).

I let you have a look. It is very exciting (at least for me....). As you can see it's not too bad for such a simple trading system.

In green BUY in purple SELL. Change of color equal reverse position.

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #32 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received

Same system on a longer time frame, as you can see it managed to capture most of the action with no too big loss but the price for that is of course to have to sacrifice a good part of the range of the trend.
It never buy at the low or sell at the high but instead buy around 80% of the low and sell around 80% of the high. Which is in my opinion already quite exciting.

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I must add something very important : this system may look to good to be true but it works only under 1 condition and it is not a light one, to be profitable you must enter the market at the change of color. Of course if you look at it after you may find better entry point or avoid bad one but as you know there is no 'printing money' machine that works in any market. So it means lot and lot of work. It means managing you frustration of having missed a trend, it means avoid the temptation to enter after it start. It is not a system for everyone, it is not a system for someone who want to trade part-time. And in fact I believe that people who claim that they work 2 hours per day and make 100K a month are BS (or genius but I never encounter one...).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.

Last edited by Okina; October 21st, 2015 at 01:17 PM.
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  #33 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received


If there is some people who works with QTrader or IC I can post the code. As you will see it is less than 10 line of code. It is the beauty of CQG platform for me. No need to learn a programming language. It is basically the same kind of formulas that you can find in excel.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #34 (permalink)
Elite Member
Rochester, NY/USA
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: es
 
Posts: 5 since Nov 2011
Thanks: 3 given, 0 received

Okina, yes I am interested in seeing the code. Could you please post the code.

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  #35 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #36 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
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rkost View Post
Okina, yes I am interested in seeing the code. Could you please post the code.

I know it is possible to export the file but I did not yet find so I will post the code here :

First indicator that you need is the CMO :

SU:= Sum( IF( Close(@) > Close(@)[-1], Close(@)- Close(@)[-1], 0) ,Psum);
SD:= Sum( IF( Close(@) < Close(@)[-1], Close(@)[-1]- Close(@), 0) ,Psum);
(SU-SD)/(SU+SD)*100

Psum is the Parameter for the lenght of the CMO.


After you need to create the VMA and to use the CMO inside :

PriceX:= If(Price=1, Open(@), If(Price=2, High(@), If(Price=3, Low(@), If(Price=4, Close(@), If(Price=5, Avg(@), If(Price=6, HLC3(@), If(Price=7, Mid(@),Close(@))))))));

alpha:=(2/(1+Period));
volat:=Abs(CMO.c1^(PriceX,CMOPeriod))/100;

VMA:=(alpha*volat*PriceX)+((1-(alpha*volat))*VMA[-1]);

(alpha*volat*PriceX)+((1-(alpha*volat))*VMA[-1])

Paremeters are Period for the period of the VMA, CMOPeriod for the period of the CMO and Price to setup if you want to calculate the VMA on the high low close etc...

After that you have to create 4 conditions :

First condition the buy signal :

High(@)>High(@)[-1]
AND
High(@)[-1]>High(@)[-2]
AND
Low(@)>Low(@)[-1]
AND
Low(@)[-1]>Low(@)[-2]
AND
Close(@)>Open(@)
AND
Low(@)[-2]>VMA.vma^(@[-2],Period,PeriodVol,4)
and
Close(@)[-1]>Open(@)[-1]
AND
Close(@)[-2]>Open(@)[-2]

Second condition the Sell signal :

High(@)<High(@)[-1]
AND
High(@)[-1]<High(@)[-2]
AND
Low(@)<Low(@)[-1]
AND
Low(@)[-1]<Low(@)[-2]
AND
Close(@)<Open(@)
and
Close(@)[-1]<Open(@)[-1]
and
Close(@)[-2]<Open(@)[-2]
AND
High(@)[-2]<VMA.vma^(@[-2],Period,PeriodVol,4)

for this condition the parameters are period for the period of the vma and periodvol for the period of the CMO.

With this 2 conditions you can now create 2 color bar conditions :

Color bar for buy signal

SetRst(B.VMA_3_BARS_UP(@,PERIOD,CMO_PERIOD),B.VMA_3_BARS_DOWN(@,PERIOD,CMO_PERIOD))

Color bar for sell signal

SetRst(B.VMA_3_BARS_DOWN(@,PERIOD,CMO_PERIOD),B.VMA_3_BARS_UP(@,PERIOD,CMO_PERIOD))

here the parameter are the same period for period of the vma and cmo_period for period of the cmo. VMA_3_BARS_UP and DOWN are the name of the first 2 conditions (the buy and the sell one) of course you can use any name you want.

That's it that's all. It took me 2 day to figure out how to do that but for the average programmer it will only take I think 10 min.

For those that have never used CQG this the beauty of the thing here you see 100% of the code. You want to plot something you just have to enter the formula that you want to plot in almost natural language (no variables to declare to check etc..) after you chose the color and type of curve just by right click on the chart. You want to plot a cmo you click on custom studies and you write in dialogue box : (SU-SD)/(SU+SD)*100 and it is finish it will plot the cmo. When you know what your are doing it takes you 10s. (I'm here to trade not to learn C and I have no background in programming)

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.

Last edited by Okina; October 22nd, 2015 at 12:37 AM.
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  #37 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received

you can also use this condition to create a market monitor of the different futures you are following and the conditions could be calculated on any time or range frame and be plotted in a kind a spreadsheet :

As you can see I check the validity of my condition on 5 and 2 range bar and 2 and 5 min but I can add as many has I want.

Green ligh means buy condition true, red light mean sell condition true.

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #38 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received

QUESTION

I would like to know if any of you have any prior experience with DeMark studies ?

I know they are widely used in the industry (I think 25K subscriber for bloomberg ?) and I start to look at them and I've liked this approach.

Thanks in advance for your insights or opinions.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #39 (permalink)
Elite Member
London, England
 
Futures Experience: Beginner
Platform: NT, TOS, MT4
Broker/Data: TOS, CQG (NT), FXCM
Favorite Futures: ES, 6E
 
chr1s's Avatar
 
Posts: 439 since Sep 2014
Thanks: 1,673 given, 651 received

Hi @Okina, how is your trading/journey going?

All the best,
Chris

sent from phone

Consistency over time
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  #40 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received



chr1s View Post
Hi @Okina, how is your trading/journey going?

All the best,
Chris

sent from phone

Who can do bad with that kind of market

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But on the other hand I'm not satisfied with my "system" in the sense that it is not a system. There is no real exit rules or trade management rules in its current form. What it does is just underlining strong impulses in the direction of the main trend but there is no quantification of the strength of the trend.
I've backtested it over long period and I wasn't surprised to see that without any exit rules other than the opposite entry rule the "system" is a consistent loser since such trend like the one above is more the exception than the rule. On the other hand I've run an other kind of tests and I may have something useful. I've notice that when I trade this "system" and when I do not have so strong trend I base my decisions not only on the signal but also on the slope of the trend. But I do it a complete discretionary manner so I'm working on quantifying this observation.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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