TH's data, conniptions and brain dumps

[ThingyMajiggy]

Yeah I've made some stuff ups, the gap figures don't make sense to me. I have done if open > or < previous close, but need to modify it more as I think I've done the wrong parameters, as I said before this is just the stuff I'm TRYING to work on so don't go off my figures/findings, but more of it is learning excel and thinking straight about what I'm trying to calculate, can turn into a bit of Inception sometimes

 

[CanOz]

Yeah I've made some stuff ups, the gap figures don't make sense to me. I have done if open > or < previous close, but need to modify it more as I think I've done the wrong parameters, as I said before this is just the stuff I'm TRYING to work on so don't go off my figures/findings, but more of it is learning excel and thinking straight about what I'm trying to calculate, can turn into a bit of Inception sometimes

If you get sick of that i have an eLancer that is an absolute ace with Excel and he's very economically priced as well.

 

[ThingyMajiggy]

Have been fiddling around with some more stats for the DAX, I'm also doing some tutorials on Excel to hopefully make things a little easier and so I can do more stuff.

I went over the last 12 months hourly data and found that we had 249 gap opens, and that it only closes the gap in the first hour 31% of the time, which obviously means that 70% of the time it doesn't close the gap in the first hour, which lines up with what I've seen, tends to have a push the opposite way on open and just mess about until cash opens then it has 2 or 3 angry swings, settles and attempts to head toward gap close. This took forever, went through it all manually, had to find all the first hours bar data on thousands of rows, probably an easier way but I got there in the end!

Now I wouldn't mind finding out what happens in the first hour after a down/up day, say we have a nice trend days or strong moves at the ends of sessions, what tends to happen initially on the open the next day(short covering, profit taking etc.).

 

[Weatsop]

Hmmm. So based on those blogs...

Would a possible trade setup be to buy on a break of the Monday high with a stop at the Monday low and holding until the close on Friday?

Monday (by those figures) is the low-of-the-week one third of the time (146 out of 428). The other two thirds, the low is on another day. I doubt you could get a programmable system out of this (you'd need to look at the amount you'd get or lose on each week).

...but you could drill down into those 146 Mondays and see if there's more to see.

...and you could run the rest of the week with a slight bias towards staying above the Monday low. If it's gone up from Monday, each individual day has a fairly low chance of breaching Monday's low - even if the week is fairly likely to eventually. It gives you a sort of mini-trend to consider.

Don't look for a win, look for an edge.

 

[ThingyMajiggy]

Don't look for a win, look for an edge.

How did you find yours?

I wonder how much of an edge the likes of volume is, I know tech trades off volume a lot but I'm not sure if he's ever statistically tested it somehow.

Like I wonder if I kept watching and trading the markets, replaying it back at 10x speed and giving it everything, if I would eventually just naturally have an edge, or more "feel" for it and would be profitable, or if trades that are made need to be based on hard evidence(like stats etc.).

 

[Weatsop]

How did you find yours?

I wonder how much of an edge the likes of volume is, I know tech trades off volume a lot but I'm not sure if he's ever statistically tested it somehow.

Like I wonder if I kept watching and trading the markets, replaying it back at 10x speed and giving it everything, if I would eventually just naturally have an edge, or more "feel" for it and would be profitable, or if trades that are made need to be based on hard evidence(like stats etc.).

I'm not going to hijack TH's thread with my guff! I am literally the worst trader you'll ever talk to. That is, I have traded profitably, and expect to again, but right now I only have paper pips to boast about, and I'm really frighteningly ignorant about anything but my own little corner.

...but regarding voodoo indicators (like the numerology ones) - I like scalping down in the one-minutes because you don't need to put them on your chart. If the price does pile up against a line, you'll SEE it. Who gives a **** why it did, or if some old dood predicted it a thousand years ago? THERE IT IS. Piling up against a line. Why do you need an old dood to show it to you?

Tell me you can't see the line right across the top there:



(Not the dotted line, that's just the daily open - which, yeah, might be the reason it's boinging off - but who cares why?)

Edit: And what did it do?



Easy four pips. Someone better definitely could have got more.

I'll enter short a few pips down past the old top, or wait for a channel above that line and bracket it. Easy.

Edit 2: ok, well that was too perfect:



See how it slouched down to the line, then when it went through, it went hard. It's tried to get up past that line a few times and failed, now it's gone through but turned, so where is it going now?

Easy.

Screw indicators. Look at the price.


Way I see it, the price ignores the "technical" lines most of the time. But whether they do or not, you'll see it on the chart when it happens.

 

[Weatsop]

Sorry, TH. Said I wouldn't gunk up the thread, then did. Shutting up.

*(Also, for the record, I didn't actually enter the trades, since I was typing over here and I'm still dicking about with brokers. In reality I might have just been too chicken the whole move. Don't believe people on the internet!)

 

[fiftyeight]

Enjoying the posts Thingy.

I thought people did this kind of testing with amibroker? Is there a reason why you and TH use excel?

 

[ThingyMajiggy]

Enjoying the posts Thingy.

I thought people did this kind of testing with amibroker? Is there a reason why you and TH use excel?

Thanks, would be good to have more discussion on edges and finding them, as I don't really know poo from clay, but I'm trying.

As far as why Excel, it opens everything, is easy to use, plenty of help out there and most platforms export to it with ease. Plus Amibroker annoys me, I sometimes use Python to programmatically find stuff. I know TH has found a lot of useful stuff in Excel, so that was another reason I just went with Excel, it works and it's easy...ish Pretty handy program to be sufficient in.

 

[Trembling Hand]

Enjoying the posts Thingy.

I thought people did this kind of testing with amibroker? Is there a reason why you and TH use excel?

Its very easy to use to find simple stats. You can bang together a spreadsheet in 5 minutes that only has a few simple formulas so is robust and not likely to get you false data. Actually I also use MS Access a fair bit when I go to intraday bars as I find it easy to put together queries that are time based rather than a huge spreadsheet than gets boggy.

 

[fiftyeight]

Good stuff, might as well learn on something I have access to rather than spending more $$$

I have a few simple ideas that I want to play with, so when I get from holidays ill see if I can finally contribute something to ASF instead of all take take take

 

[Trembling Hand]

Everyone should read this,

http://traderfeed.blogspot.com.au/2014/10/the-real-source-of-trading-success.html

Of the traders I worked with a decade ago, fewer than 5% are currently trading and experiencing success. In each case, they are doing something very different from what the standard trading books describe. They have found sources of "edge" in markets that they have made their own, and they have been consistent in exploiting those edges.

 

[rb250660]

Everyone should read this

Great little article. Most people are going to struggle with achieving the concept.

 

[John Swift]

Everyone should read this,

http://traderfeed.blogspot.com.au/2014/10/the-real-source-of-trading-success.html

Thanks for the article. Very interesting. How would you personally charaacterise or describe the edge you have in the market TH?

 

[Trembling Hand]

Thanks for the article. Very interesting. How would you personally charaacterise or describe the edge you have in the market TH?

Probably this,

doing something very different from what the standard trading books describe.

 

[dlineinvestor]

"Everyone should read this,
http://traderfeed.blogspot.com.au/20...g-success.html" TY TH


"Rb250660
Great little article. Most people are going to struggle with achieving the concept"
"You think ?"

This is the best part:
One trader, for example, came up with an ingenious method for identifying when trading in a particular asset was becoming highly crowded. He then looked for indications of loss of price momentum and took the other side of the crowded trade, benefiting from the herd running for the doors. A big part of his edge was that, if he didn't find the right patterns of crowding, he did not trade. He only played the game when the odds were on his side.

So ..... for any retail trader, they are doomed .... unless they find / develop that edge !
The question is: "How are they going to find and develop this edge when they do not have the ability themselves?" They don't have the ability because they come from another world the "trading book world. A world where they do not have financial trading experience.

The real and only hurdle; they need to find the right person or group or anything outside what they are currently doing to get that edge.

Trading especially futures is a deeply emotional and solitude trade ... a complex chess game with high stakes.
That's why any of the top 5% that have made wont just share with you. Can you blame them, he has paid dearly for it. Years of stress, failures, doubt, self sacrifice, thousands lost. Yet he still managed to persevere and inch toward his goal of becoming consistent. I know OF such a person, he is "good he is "consistent, but he won't give me many clues and he won't give me straight answers to my questions.

The push continues.

 

[tech/a]

I know OF such a person, he is "good he is "consistent, but he won't give me many clues and he won't give me straight answers to my questions.

Could be T/H and it could be a few others here.

Truth is there are no straight answers to the same question raised time and time again.
That's why answers appear cryptic.
When you find your own setups and see your own faces in the crowd you cant show someone how you trade them to a consistent profit, purely because each time may have subtle differences.
The experience of seeing something building from past experience cant be just passed on.

But T/H has said many times that its screen time.
AND That's what it is.

 

[dlineinvestor]

Hey Tech ..
Not talking about anyone on forums, someone I've known over 4 years purely through trading.
Cheers,

 

[tech/a]

Hey Tech ..
Not talking about anyone on forums, someone I've known over 4 years purely through trading.
Cheers,

Nor am I.
I saw it as a generic "Quote" so gave a generic reply.

This bit anyway.

Could be T/H and it could be a few others here

 

[fiftyeight]

Any ideas on where I can the get data to do this stuff? Are you getting it off of TWS or NT? I have tried googleing but I just keep coming up with indicators and back testing a system