Quest for a NEW predictive BUY signal indicator

[tech/a]

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.

 

[sails]

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.

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.

 

[nomore4s]

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/

 

[sails]

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...

 

[MS+Tradesim]

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:

 

[CanOz]

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

 

[MS+Tradesim]

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)

 

[MS+Tradesim]

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)

 

[MS+Tradesim]

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.

 

[Cartman]

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

 

[Rusty99]

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,

 

[James Austin]

Oh, what the hell...

What the heck!

oh, stuff it!!


heads = long

tails = short

smashed furniture = stop loss

 

[MS+Tradesim]

oh, stuff it!!


heads = long

tails = short

smashed furniture = stop loss

Sounds like a plan.

 

[sails]

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

NICE entries MS!

Cheers,

CanOz

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.

 

[beamstas]

oh, stuff it!!


heads = long

tails = short

smashed furniture = stop loss

LOL LOL

 

[Timmy]

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.

 

[tech/a]

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

tails = short

smashed furniture = stop loss

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.

 

[nunthewiser]

!




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.

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

 

[CanOz]

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

 

[pilbara]

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.