# Quest for a NEW predictive BUY signal indicator



## Rusty99 (3 April 2009)

Have you noticed that most of the technical indicators are very old, most being developed more than 20 years ago, and many 50 years ago, well before the age of computers. 

There are two issues here: 1. computers provide a fundamental shift in the way indicators can be developed. 2. Computers have fundamentally changed the way the entire market functions and behaves because computers provide instant information. 

If you look at the details of the derivation of the indicators that all of us use you will see that most are very primitive and simplistic, despite their widespread use. 

I have been looking for new modern indicators that provide better predictive power. My idea is to focus on parameters that change just before a stock starts a new surge. Sure there are many sudden announcements etc. that are unpredictable. But often there will be signals in the few days prior to a rise that are partially due to the way that the market behaves and the effect of some new activity or interest in the stock. I have been focusing on the following parameters used to provide a buy signal:

Increase/decrease in Volume
Close in the top half of the daily range
The size of the daily range
Gaps i.e. sudden increase in mean daily price compared with yesterday’s mean.

I have been developing an index that uses a combination of these parameters. So far the results look promising and the index gives a signal one to four days before the price surges. 

I would be interested on your comments about these and other signal parameters and new indicator methods that attempt to do the same thing.


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## beamstas (3 April 2009)

Let me save you alot of time right here and right now.

You will *never* find the holy grail.

Brad


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## jonnycage (3 April 2009)

lemme know how you go!  im always up for any insights,  back to the track for me, jokings

jc


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## Rusty99 (3 April 2009)

beamstas said:


> Let me save you alot of time right here and right now.
> 
> You will *never* find the holy grail.
> 
> Brad




How's your square wheels going?


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## tech/a (3 April 2009)

Been using VSA for years.
Franks Method also has great analytic value.
So to E/W.

It would take to long to type a response to this but if interested I have a thread on Radges forem showing how I use VSA and other analysis with charts and at times live examples.


http://www.thechartist.com.au/forum/ubbthreads.php?ubb=showflat&Number=80961&page=4


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## Boggo (3 April 2009)

I have a bit of time on my hands today now that lunch has been cancelled so I will bore you all to tears with a couple of trades.
Mainly this is for the benefit of those looking for 'that' magic indicator.

The price behaviour is really all that matters, indicators and volume etc are an indication of what may happen next with the price pattern.

Trade 1...
Below are two pics of EHL in Metastock, an interesting chart pattern that has potential. I want to find stocks with that type of pattern, how ?
In the past I have looked at these patterns and then spent a lot of time placing various indicators on the chart and then modifying the indicators so that I can create a scan that may pick up these patterns.

The chart pattern is what is important, the indicators can be used as a way of finding a chart pattern, that's what I am doing in this case.

The first chart is my scan result and the second chart displays all the modified indicators that result in the green arrows on the first chart and consequently the stock appears in the search.
(The last arrow, last night's, was a crossing of the Siroc)
There are numerous other inputs to the scan (vol etc) to eliminate the chaff.

I hope these are of some help in explaining that indicators are just a tool and used in conjunction with a pattern may result in some $$$.

(click to expand)


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## Boggo (3 April 2009)

Following on from my previous post.

Trade 2...
This again is pattern based using Elliott Wave instead of indicators.

In this case we have a potential 5 wave sequence playing out and if so then we should be nearing the end of wave 4.
The first chart shows that W.4 is in the right area.
The second chart shows the potential target area if a W.5 plays out and the third chart shows the entry (mine) and stop positions.

The volume that you now buy is based on the size of your capital and the percentage of it that you are going to risk between the entry and the stop if this pattern fails, and they do fail more often than reaching their target.

Thats where risk/reward and trailing the stop up to breakeven minimises the loss and allows you fight another day... any other way is gambling in my opinion.

(click to expand)


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## Stormin_Norman (3 April 2009)

i have found its all how you look at things.

what part of the story does an indicator tell?

what other indicator(s) could complete the story?

i dont think the wheel need re-inventing. just a new way to look at something.


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## Rusty99 (3 April 2009)

Stormin_Norman said:


> i have found its all how you look at things.
> 
> what part of the story does an indicator tell?
> 
> ...




I use a suite of indicators to screen/scan for likely stocks to invest in.
I use a suite of indicators to closely examine the selected stocks for likely buy and sell signals, as well as the price candle chart etc. This issue is about whether there is scope for new modern indicators that may be more atune to the 21st century behaviour and patterns of the stock market. Though I know little about VSA ( I'm learning), what I am suggesting is an indicator based on similar principles - volume, price range, position of the close and gaps. The idea is that these parameters are likely to change in the days prior to a surge and that these signs can be built into an indicator as a buy signal. This is a new round wheel. I have recently looked at the formulae for the indicators I have been relying on and was quite shocked at their age and how primitive they are ->>>  Model T Fords. Computers have changed the market behaviour and trading patterns but we are still reliant on pre-computer indicators and methods.


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## James Austin (3 April 2009)

Stormin_Norman said:


> i have found its all how you look at things.
> just a new way to look at something.





ie, "experience" is the indicator you are looking for


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## Cartman (3 April 2009)

Stormin_Norman said:


> i have found its all how you look at things.
> 
> what part of the story does an indicator tell?
> 
> what other indicator(s) could complete the story?




:iagree: ---- pretty much sums it up, although U and I are looking at FX, which may be a bit more conducive to typical T/A  Norm 



Rusty99 said:


> I use a suite of indicators to screen/scan for likely stocks to invest in.
> I use a suite of indicators to closely examine the selected stocks for likely buy and sell signals, as well as the price candle chart etc.




What do u mean by closely Rus?  --- do you use a lower time frame with your scanning for entries---- ie Hourly vs EOD  etc ?  --- just curious.




Rusty99 said:


> . Though I know little about VSA ( I'm learning), what I am suggesting is an indicator based on similar principles - volume, price range, position of the close and gaps. The idea is that these parameters are likely to change in the days prior to a surge and that these signs can be built into an indicator as a buy signal. This is a new round wheel.




stocks are not my forte, but VSA coupled with price action/position  seems very valid, because its 'current' information,  at *any* time frame -- i speak with no experience in that regard though (Tech -- others ?) 




Rusty99 said:


> .  I have recently looked at the formulae for the indicators I have been relying on and was quite shocked at their age and *how primitive they are* ->>>  Model T Fords. Computers have changed the market behaviour and trading patterns but we are still reliant on pre-computer indicators and methods.




has human behaviour changed over the last few years? ---- a "primitive" indicator seems perfect for a primitive beast 

Momentum may be the only indicator which will do what you are looking for Rus ----- 

Why?  because Momentum will be dropping often b4 price does (or rising etc etc) ----- ie when Momentum diverges or "leads" price --- that is the only  'indication' you need (in my humble opinion)  ------  cheers.


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## Rusty99 (3 April 2009)

Thanks for your comments *cartman*, I would like to comment briefly on

*Momentum may be the only indicator which will do what you are looking for Rus -----* 

I use MACD etc.  BUT it is sobering to realise that

*
Momentum is simply *

*Closing Price [today] - Closing Price [n days ago]  That’s it!!!!!*

It is a following parameter that exaggerates the trend over a set period of time.

It is critically dependent on the value of n  - 5 days, 7 days, 10 days, 21 days.

Example

Closing Price - Closing price [5 days ago]
	5 day Momentum Indicator

[Closing price CP]
1	52.00	-	-
2	51.00	-	-
3	51.50	-	-
4	48.50	-	-
5	53.00	- ...CP 5 days AGO....momentum
6	53.50 .......52.00	..............1.50
7	53.50	 .......51.00	..............2.50
8	54.00	 .......51.50	..............2.50
9	54.00	........48.50	..............5.50 (spike error)
10	55.00	 .......53.00	..............2.00

Perhaps our *ignorance is bliss* and better maybe we don't know or understand fully about the derivation of the tools we use. 

I for one was ignorant about their simplicity. Knowing more worries me - that I have been misusing the signals as trends likely to continue.

Cheers,


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## Cartman (3 April 2009)

Rusty99 said:


> Thanks for your comments *cartman*, I would like to comment briefly on
> 
> *Momentum may be the only indicator which will do what you are looking for Rus -----*
> 
> ...





G'day Rus ---- ps   i like the way U think BTW -----

When i say Momentum --- i am not strictly speaking of the "Indicator" Momentum --- if u get my drift  ---

Momentum *can* be calculated by "Indicators", thats true, ---- but that would be  too easy wouldnt it   ---

Its the quest of "calculating" the 'important' Momentum that will give you the answer to your questions --------- 

TH does it with his understanding of DOM for the Index ----- ( *way* (repeat --- WAY) out of my league , but considering im only trading bucket shops, im happy with my progress ---------- i dont profess to know anything special, but *Momentum relative to Time relative to the instrument* you are trading is all you need to know -----

if i was trading stocks, id only trade 2 or 3 and concentrate on their behaviour ------ cause you would get to see how the 'smart money' works them over ----- 

in essence, that is all trading is about  for us small guys ---- work out how the big guys are operating ---- whether it be through VSA, E/W, Momentum, or whatever ------ the big boys run the market --- the little guys have to learn how to work out where the big guys are heading (at a given point of time)

ps im on my meds, so take it with a grain of salt


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## James Austin (3 April 2009)

Cartman said:


> ps im on my meds,





what??


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## pilbara (3 April 2009)

Rusty99 said:


> Computers have changed the market behaviour and trading patterns but we are still reliant on pre-computer indicators and methods.



what are some typical market behaviour changes due to computers? Maybe look at the cascading stop runs which are a consequence of electronic trading.


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## Cartman (3 April 2009)

James Austin said:


> what??





lol ---- "medication" ---- sorry James ----,  im  'americanised'


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## Stormin_Norman (3 April 2009)

why complicate things?


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## nomore4s (4 April 2009)

Rusty99 said:


> Perhaps our *ignorance is bliss* and better maybe we don't know or understand fully about the derivation of the tools we use.
> 
> I for one was ignorant about their simplicity. Knowing more worries me - that I have been misusing the signals as trends likely to continue.




Rusty most good traders who have been trading for a while understand what these indicators are and how they are constructed. And that's why very few actually use them.
Some of the elite traders like FrankD construct thier own indicators(if you can call his pivot points an indicator) and system, I think Nick Radge also uses some custom indicators to determine divergence but reliance on these indicators in minimal at best.

I'm not sure what stage you are at but IMO you are better off developing a complete system and method using an arm of T/A or mixture of them - essentially learn to read a chart. The system also needs to include trade management & money management methods, entry & exit rules etc, etc.

You will find there is no such thing as a magic indicator and you will chase your tail trying to build the perfect indicator forever. Smarter people then you & me have tried

Good luck



Stormin_Norman said:


> why complicate things?




Exactly.


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## Rusty99 (4 April 2009)

Stormin_Norman said:


> why complicate things?




AS my Gold Coast Mate used to say:

*You can't stop progress*

The aim is to simplify changes in the 4 parameters mentioned into a signal.
This is simpler than looking at the chart and examining how they are changing and their interaction. 

Also the aim is to use the indicator as a stock scanner/filter which is simpler.

So why not simply 4 parameters into a single one with enhanced power.


Cheers,


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## inenigma (4 April 2009)

James Austin said:


> ie, "experience" is the indicator you are looking for




Yeah.  Only problem with "experience" is that it doesn't come quick enough.


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## tech/a (4 April 2009)

*There is some leading stuff out there*.

People are re inventing the wheel constantly.
Ive found many from googling all sorts of key words.
This one came up on "volume" it doesnt take long to work out what he is doing. I'm having a version (More wheel inventing) coded up myself for metastock.

http://www.marketvolume.com/sbv/prolonged_trends.asp

Perhaps we could start a thread on *NEW* Technical ideas we find.


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## sails (4 April 2009)

tech/a said:


> *There is some leading stuff out there*.
> 
> People are re inventing the wheel constantly.
> Ive found many from googling all sorts of key words.
> ...




If anyone is able to code this for AmiBroker, could you let me know as I would really like to try it out!


Tech, I used to get Market Volume emails a few years ago, but I don't think they did the Aussie market.  It was what initially got me interested in volume analysis, but had trouble making sense of it in the beginning and don't really feel I have got a good handle on it yet.  Thanks for the reminder of their site.  I checked out your thread on Nick's site yesterday and you have explained it well - thanks.

I think we need to be alert in finding anything that can enhance trading results.  With increased technology, I think there are opportunities to find different ways of doing things than ever before.


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## nomore4s (4 April 2009)

sails said:


> If anyone is able to code this for AmiBroker, could you let me know as I would really like to try it out!




Kaveman should be able to code it up for you. I think he posts on here sometimes.

http://www.aflwriting.com/


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## sails (4 April 2009)

nomore4s said:


> Kaveman should be able to code it up for you. I think he posts on here sometimes.
> 
> http://www.aflwriting.com/




Thanks - I remember him posting some time ago on the AB thread.  But I'm not exactly sure what goes into the code at this stage...


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## MS+Tradesim (4 April 2009)

Rusty,

Keep doing what you're doing. You won't find a 100% accurate indicator because at the end of the day, it is people who move markets and people can and will do unpredictable things. But your research will allow you to find exploitable edges. *That* is worth the effort.

For example, I developed my own indicator which I have facetiously called the Holy Grail. When it works, it works. When it doesn't, I know very quickly. I live trade with it.

Examples from LGL. Long/short entries are shown. Exits are not shown:


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## CanOz (4 April 2009)

sails said:


> Thanks - I remember him posting some time ago on the AB thread.  But I'm not exactly sure what goes into the code at this stage...




I have some code being written at the moment Sails, PM me if you want his email address.

NICE entries MS!

Cheers,


CanOz


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## MS+Tradesim (4 April 2009)

Oh, what the hell...

Here's something for nothing. The following MS code replicates my indicator very closely. I'm not going to divulge the exact workings, but any competent coder will be able to tweak from this to get their own workable ideas:

*Long*:

Ref(Stoch(3,2) < 10 AND L < Ref(LLV(L,100),-1),-1) 
AND C > Ref(C,-1) AND C < Ref(H,-1) AND 
V > Mov(V,50,E) AND OBV() > Ref(OBV(),-1)


*Short*

Ref(Stoch(3,2) > 80 AND H > Ref(HHV(H,20),-1),-1) 
AND C < Ref(C,-1) AND V > Mov(V,50,E) AND
OBV() < Ref(OBV(),-1) AND Ref(OBV(),-1) > Ref(OBV(),-2)


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## MS+Tradesim (4 April 2009)

And backtest results from a sample application:


*Trade Parameters and Preferences*

Trade Parameters                                            
Initial Capital:                                            $25,000.00                    
Portfolio Limit:                                            50.00%                        
Maximum number of open positions:                         5                             
Default Position Size Model:                             Equal Percent Units           
Trade Size (% of total cap):                                20.00%                        
Pyramid profits:                                            Yes                           
Automatically use Initial Margin from database:         Yes                           


*Trade Summary* 
Earliest Entry Date in the Trade Database:            4/01/2008                     
Latest Entry Date in the Trade Database:             3/04/2009                     
Earliest Exit Date in the Trade Database:             8/01/2008                     
Latest Exit Date in the Trade Database:                3/04/2009                     

Start Trade Entry Date:                                     4/01/2008                     
Stop Trade Entry Date:                                      3/04/2009                     
First Entry Date:                                           4/01/2008                     
Last Entry Date:                                            27/03/2009                    
First Exit Date:                                            8/01/2008                     
Last Exit Date:                                             31/03/2009                    

Total Trading duration:                                     452 days                      

*Profit Summary* 
Profit Status:                                              PROFITABLE                    
Starting Capital:                                           $25,000.00                    
Finishing Capital:                                          $83,427.45                    
Maximum Equity/(Date-Time):                     $60,274.45 (3/03/2009)        
Minimum Equity/(Date-Time):                        -$328.19 (22/01/2008)         
Gross Trade Profit:                                 $80,353.82 (321.42%)          
Gross Trade Loss:                            -$21,926.37 (-87.71%)         
Total Net Profit:                              $58,427.45 (233.71%)          
Average Profit per Trade:                            $321.03                       
Profit Factor:                                              3.6647                        
Profit Index:                                               72.71%                        
Total Transaction Cost:                                     $2,185.81                     
Daily Compound Interest Rate:                           0.2670%                       
Annualized Compound Interest Rate:                  164.6257%                     

*Trade Statistics       * 
Trades Processed:                                           195                           
Trades Taken:                                               182                           
Partial Trades Taken:                                       0                             
Trades Rejected:                                            13                            
Winning Trades:                                             110 (60.44%)                  
Losing Trades:                                              72 (39.56%)                   
Breakeven Trades:                                           0 (0.00%)                     

Largest Winning Trade/(Date-Time):          $4,378.00 (3/09/2008)         
Largest Losing Trade/(Date-Time):            -$2,932.00 (29/04/2008)       
Average Winning Trade:                              $730.49                       
Average Losing Trade:                               -$304.53                      
Average Win/Average Loss:                        2.3987                        

Consecutive Trade Statistics                                
Maximum consecutive winning trades:                     11                            
Maximum consecutive losing trades:                        6                             
Average consecutive winning trades:                     2.75                          
Average consecutive losing trades:                       1.85                          

Relative Drawdown                                           
Maximum Dollar Drawdown/(Date-Time):       $3,510.00 (26/03/2009)        
Maximum Percentage Drawdown/(Date-Time):  8.9420% (29/04/2008)          

Absolute (Peak-to-Valley) Dollar Drawdown                   
Maximum Dollar Drawdown:            $5,116.00 (6.0000%)           
Capital Peak/(Date-Time):              $85,268.45 (3/03/2009)        
Capital Valley/(Date-Time):        $80,152.45 (26/03/2009)       

Absolute (Peak-to-Valley) Percent Drawdown                  
Maximum Percentage Drawdown:    8.9420% ($3,498.00)           
Capital Peak/(Date-Time):          $39,120.44 (29/04/2008)       
Capital Valley/(Date-Time):     $35,622.44 (29/04/2008)


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## MS+Tradesim (4 April 2009)

Monte Carlo Report:

*Simulation Stats * 
Number of trade simulations:                                20000                         
Trades processed per simulation:                            195                           
Maximum Number of Trades Executed:                    182                           
Average Number of Trades Executed:                     182                           
Minimum Number of Trades Executed:                     181                           
Standard Deviation:                                         0.26                          

*Profit Stats* 
Maximum Profit:                               $67,071.59 (268.29%)          
Average Profit:                 $56,253.49 (225.01%)          
Minimum Profit:                                  $46,107.79 (184.43%)          
Standard Deviation:                            $3,011.45 (12.05%)            
Probability of Profit:                         100.00%                       
Probability of Loss:                            0.00%                         

*Percent Winning Trade Stats* 
Maximum percentage of winning trades:               61.54%                        
Average percentage of winning trades:           60.79%                        
Minimum percentage of winning trades:      60.44%                        
Standard Deviation:                                 0.34%                         

*Percent Losing Trade Stats  * 
Maximum percentage of losing trades:              39.56%                        
Average percentage of losing Trades:             39.21%                        
Minimum percentage of losing trades:              38.46%                        
Standard Deviation:                                         0.34%                         

*Average Relative Dollar Drawdown Stats    * 
Maximum of the Average Relative Dollar Drawdown:  $251.52                      
Average of the Average Relative Dollar Drawdown:  $246.52                       
Minimum of the Average Relative Dollar Drawdown:   $215.02                       
Standard Deviation:                                         $10.16                        

*Average Relative Percent Drawdown Stats   * 
Maximum of the Average Relative Percent Drawdown:   0.5129%                       
Average of the Average Relative Percent Drawdown:  0.4551%                       
Minimum of the Average Relative Percent Drawdown:  0.3479%                       
Standard Deviation:                                         0.0277%                       

*Maximum Peak-to-Valley Dollar Drawdown Stats  * 
Maximum Absolute Dollar Drawdown:                     $5,116.00                     
Average Absolute Dollar Drawdown:                      $5,116.00                     
Minimum Absolute Dollar Drawdown:                      $5,116.00                     
Standard Deviation:                                         $0.00                         

*Maximum Peak-to-Valley Percent Drawdown Stats * 
Maximum Absolute Percent Drawdown:                10.0591%                      
Average Absolute Percent Drawdown:               8.8243%                       
Minimum Absolute Percent Drawdown:             5.4476%                       
Standard Deviation:                                         0.8811%


**** _Disclaimer: The careful reader will note that exits have not been disclosed. Can't give away all my secrets, plus the majority of traders would be very uncomfortable with the way I exit so it's irrelevant anyway. Figure out your own._


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## Cartman (4 April 2009)

pilbara said:


> what are some typical market behaviour changes due to computers? Maybe look at the *cascading stop runs* which are a consequence of electronic trading.




 

been doing quite a bit of testing on those myself Pilb (FX)  ----- i call them spike plays, but probably better called something like "ballz on the line trades"  lol  ---- lot of merit in them, and a lot less risk than they first appear if looked for at the '*optimum*' time of a cycle though ---- scaling entry to give the $risk/trade some breathing space is a definite must from my testing so far  (some of it live, but mostly Sim), otherwise one bad trade can give you some serious grief


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## Rusty99 (4 April 2009)

What the heck!

Here is the dream - preliminary charts of the indicator - very early days!!!

Red is indicator  - green arrow are the buy signals

Sure there are some false signals but the signal appears to surge a day or so before the price surges. 

Much work to do but I think it shows promise.










Cheers,


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## James Austin (4 April 2009)

MS+Tradesim said:


> Oh, what the hell...







Rusty99 said:


> What the heck!





oh, stuff it!!


heads = long

tails = short

smashed furniture = stop loss


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## MS+Tradesim (4 April 2009)

James Austin said:


> oh, stuff it!!
> 
> 
> heads = long
> ...




Sounds like a plan.


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## sails (4 April 2009)

CanOz said:


> I have some code being written at the moment Sails, PM me if you want his email address.
> 
> NICE entries MS!
> 
> ...




Thanks CanOz - but I'm not sure what I actually need coded yet!  I have joined up with Market Volume again and will do some reading to see if I can come up with something specific.


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## beamstas (4 April 2009)

James Austin said:


> oh, stuff it!!
> 
> 
> heads = long
> ...




LOL LOL


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## Timmy (4 April 2009)

Nice thread Rusty.

Bit of a tangent, but have you thought about looking at the data/accessing the data in a different way?  It looks like the work being done on this thread is with daily OHLCV data, what about using intra-day data instead of/in addition to?

Also, there are many softwares from around the globe that will present the price and volume data in alternative ways (given an appropriate data feed).  Constant Capped Volume bars, Range bars, Price/Volume breakout bars, Market Profile, Volume Profile, Volume ‘delta’, Point & Figure, Tick bars … the list goes on.  And someone has already mentioned use of the DOM instead of charts.


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## tech/a (4 April 2009)

> Bit of a tangent, but have you thought about looking at the data/accessing the data in a different way?




Trading EOD?
Take signals off a 2 day chart or 3--never thought of that did you!
A weekly chart is just a 5 day chart!




> oh, stuff it!!
> 
> 
> heads = long
> ...




Or if your a *Gann *analysts
Wait for 3 heads to come up then check that Jupiter and Mars are aligned and go long if it doesnt happen then wait for 2 heads 3 tails and Pluto to be up Uranus then go short---you get the idea.


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## nunthewiser (4 April 2009)

tech/a said:


> !
> 
> 
> 
> ...





LOL sounds like SOME of the EW analysis posted around the joint


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## CanOz (4 April 2009)

Thats a sweet little system there MS. I like the win rate and the DD stats. Easy to trade, it looks anyway.

Must be a great job to be able to have the time to codeand come up with all kinds of systems. I think it would be a great team activity too, you know, a few experieiced traders sitting around brainstorming ideas systems, then deisgning and testing them.

One day i'll be coding my own in AB.

Cheers,


CanOz


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## pilbara (4 April 2009)

Cartman said:


> been doing quite a bit of testing on those myself Pilb (FX)  ----- i call them spike plays



I like FX because it is a zero sum game, where short and long positions are generally in balance. Compare this to stocks which has a huge bias towards long positions (short selling can sometimes be banned).  In stocks this makes the cascades from stop losses much stronger falling knives.  In FX you don't have that problem and can get good reversals off spikes.


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## CanOz (4 April 2009)

pilbara said:


> I like FX because it is a zero sum game, where short and long positions are generally in balance. Compare this to stocks which has a huge bias towards long positions (short selling can sometimes be banned).  In stocks this makes the cascades from stop losses much stronger falling knives.  In FX you don't have that problem and can get good reversals off spikes.




Tradeguider calls them Uptrusts and Tests. The EUR on the NFP ann was a classic the other night. Spiked up, the uptrust got sold into then it reversed, got bought up, reversed and carried on.

CanOz


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## MRC & Co (4 April 2009)

Nice thread.

Cheers.

Sorry, don't use any indicators so can't contribute, but a good read.


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## CanOz (4 April 2009)

MS+Tradesim said:


> Oh, what the hell...
> 
> Here's something for nothing. The following MS code replicates my indicator very closely. I'm not going to divulge the exact workings, but any competent coder will be able to tweak from this to get their own workable ideas:
> 
> ...




Been playing around with this, i should be able to post code for a scan in Amibroker tomorrow morning sometime. 

I like it, its looking for trend ending volume in extreme overbought/oversold conditions. Well done MS, good thinking there. Seems to hold up well in choppy conditions.

Some ideas for trailing stops, countbacks, EMA X, ATR?

Initial stop could be the high/low that triggered the entry.



Cheers,


CanOz


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## pilbara (4 April 2009)

CanOz said:


> The EUR on the NFP ann was a classic the other night. Spiked up, the uptrust got sold into then it reversed, got bought up, reversed and carried on.



Trading the news is difficult.  I'm used to trading stocks not FX, so I could handle the first upthrust, but then my talent ran out after that!  

Before the announcement (at 23:00 AEDT) the price was creeping down to a recent low, so I was fairly sure the first move for the ann would be up and I went long with three separate entries.  Then bought in again on the first retrace.  The first top spike in the 1:3470's was fleeting but I thought it would test it again, and I closed my positions when the momentum slowed the second time.

After that it was clearly going down but I didn't really know how to trade it, so I stopped trying after a little while.  Trading is easier in hindsight lol


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## CanOz (5 April 2009)

Much easier on the sim too. I went long as you did and got thrashed out when it retraced. Thinking, "crap i should have faded that" i waited until the selling stopped and the stopping volume showed up, went long and i'm still in the position, ON THE SIM!


FX Is just entertainment for me for the next few years. To me as a discretionary market its just too hard. Mechanically i can see some potential.

Cheers,


CanOz


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## Bobby (5 April 2009)

Cartman said:


> When i say Momentum --- i am not strictly speaking of the "Indicator" Momentum --- if u get my drift  ---




Yes I know what your eluding to    
 Vicarious same..


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## Rusty99 (5 April 2009)

“Predictive” – Possible???

My use of the term relates to the idea that in many cases there will be signs in the data prior to the surge, that the stock is about to surge. 

This is apart from the unexpected changes due to announcements etc, etc and the general chaos.

To quote from Incredible Charts

_"Twiggs Money Flow warns of breakouts and provides useful trend confirmation. It is based on the observation that buying support is normally signaled by:
•	increased volume and
•	frequent closes in the top half of the daily range."_

But do these parameters signify more than a trend confirmation???




Note: The image is an ideal selection to illustrate the concept - not an ideal buy signal. Its just an example that shows the concept. 

Referring to the image the closing price occurs in the lower half of the range as the stock price falls. 
But in the three days prior to the surge the closing price moves up the range. 

There are also changes in the relative volume (not shown) and in the total range (the relative size of the bar) + gaps, etc. 

My draft indicator picks up the trend in these parameters and surges upward for 3 days prior to the price increase. 

(Of course nothing is perfect blah, blah and you would use other info etc.). 

The dream is that this is a general pattern that reflects modern market behaviour and patterns. 
(VSA looks at similar patterns, though I have little experience with VSA).

An indicator that detects signals of a price rise in the days prior to the surge is “predictive” or that is the dream anyway.

PS  Thanks to everyone who has contributed ideas, comments and observations, all which have been very useful and just what I was after in submitting the post.


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## Frank D (5 April 2009)

Rusty99,

That indicator looks like a 'Slatyer Crossover' probably set @ 3 13 or you might have tweaked it slightly.

IF it's not the exact indicator then it's something similar

It might help 'time' entries better in the right market conditions, but I'm not a fan of it.

If it works for you then good, but i'll give you a few more months and 
you'll start introducing other indicators overlayed over this indicator 
because of all the false signals.


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## Rusty99 (5 April 2009)

Frank D said:


> Rusty99,
> 
> That indicator looks like a 'Slatyer Crossover' probably set @ 3 13 or you might have tweaked it slightly.
> 
> ...




Of course I use multiple indices and other data - I'll check out the slayer ?


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## CanOz (5 April 2009)

MS+Tradesim said:


> Oh, what the hell...
> 
> Here's something for nothing. The following MS code replicates my indicator very closely. I'm not going to divulge the exact workings, but any competent coder will be able to tweak from this to get their own workable ideas:
> 
> ...




Here is the Ami code for the long side:



> Buy = 	Ref( StochK( 3, 2 ) < 10 AND Low < Ref( LLV(  Low , 100 ), -1) ,-1 )
> AND Close > Ref( Close , -1 )
> AND Close < Ref( High , -1 )
> AND Volume > EMA(  Volume , 50 )
> AND OBV() > Ref( OBV() , -1 );





Now for the short side.

CanOz


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## CanOz (5 April 2009)

MS+Tradesim said:


> Rusty,
> 
> Keep doing what you're doing. You won't find a 100% accurate indicator because at the end of the day, it is people who move markets and people can and will do unpredictable things. But your research will allow you to find exploitable edges. *That* is worth the effort.
> 
> ...




Here is the code in Amibroker:


> Buy = 	Ref( StochK( 3, 2 ) < 10 AND Low < Ref( LLV(  Low , 100 ), -1) ,-1 )
> AND Close > Ref( Close , -1 )
> AND Close < Ref( High , -1 )
> AND Volume > EMA(  Volume , 50 )
> ...




and the chart.....


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## MS+Tradesim (5 April 2009)

Hey Can,

Hope it's useful to you.


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## tech/a (5 April 2009)

M/S some of the code seems incorrect---you've done this on purpose.

Post ed
Sorry my fault cut off the cut and paste too quickly.


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## CanOz (5 April 2009)

MS+Tradesim said:


> Hey Can,
> 
> Hope it's useful to you.




LOL, yeah right!

I'm playing with a volume filter now and scanning US stock, so its fun anyway!

Just thinking of how to enter, where to out the initial stop, and how to trail a stop.

The volume filter makes a big difference on the US stocks, too many false signals on lower volume stocks without it.

Cheers,


CanOz


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## MS+Tradesim (5 April 2009)

tech/a said:


> M/S some of the code seems incorrect---you've done this on purpose.




What do you think is incorrect?



CanOz said:


> The volume filter makes a big difference on the US stocks, too many false signals on lower volume stocks without it.




Yes. I use a volume filter as well.


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## CanOz (5 April 2009)

MS/Tech - You want to get out of this quickly if you're wrong, right? I'm thinking an entry on the next open, with an initial stop of the previous bars high or low. Got to think of a trailing stop now.

CanOz


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## MS+Tradesim (5 April 2009)

CanOz said:


> MS/Tech - You want to get out of this quickly if you're wrong, right?




Yes. The high/low of the setup bar can be a good reference point. 

The setup bar is the first line of the short/long signals. The remainder of the code for each side is the trigger bar. I enter on the close of the trigger bar.

Only difference is I use my own indicator instead of the stoch. But the difference in live trading is fairly minimal. I've used the stoch live as well.


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## CanOz (5 April 2009)

MS+Tradesim said:


> Yes. The high/low of the setup bar can be a good reference point.
> 
> The setup bar is the first line of the short/long signals. The remainder of the code for each side is the trigger bar. I enter on the close of the trigger bar.
> 
> Only difference is I use my own indicator instead of the stoch. But the difference in live trading is fairly minimal. I've used the stoch live as well.




Cool, thanks for the help MS, i think i'll use a 25 EMA cross for the trailing stop initially, just to test. That's if i can get a system written around it today.

Cheers,


CanOz


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## tech/a (5 April 2009)

tech/a said:


> Post ed
> Sorry my fault cut off the cut and paste too quickly.






MS+Tradesim said:


> What do you think is incorrect?





Sorry See quote above.


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## MS+Tradesim (5 April 2009)

tech/a said:


> Sorry See quote above.




Oh ok. Sorry, I didn't understand at first. Cheers. 

Edit: Can,

I should say that the high/low of either the setup or trigger bar can be used as a reference. Whichever is the higher/lower. Of course, one can do whatever. Everyone trades differently which is also why I haven't indicated how I exit. The entries are what they are and can be adapted to different styles.


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## Cartman (6 April 2009)

MS+Tradesim said:


> Everyone trades differently which is also why I haven't indicated how I exit. The entries are what they are and can be adapted to different styles.




G'day to u as well MS ---- epistemology ---- most people think its having one beer too many eh !! :bloated:  ----- 

Hey Rus --- still interested in whether u have tried yr indicators on a short time frame, and how they perform ---


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## Johno (9 April 2009)

If  you see a "TOOT TOOT" on any of the individual stock threads, thats a pretty good buy indicator.....


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