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UrmaBlume
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Posts posted by UrmaBlume
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Tams & UmaBlumeYou surf on the same wave !
This is a very smart view of what is behind the volume transaction
Thanks for the kind words.
Nice dog, here is a shot of mine.
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I can't say I know much of what Brownsfan has taught or passed along, but I have certainly benefited from how UB has pushed the envelope in trying to understand the markets today. In fact he's done the very thing which Kevin Koy only wished were possible in his day. Check out pg. 14 of his book "Markets 101". In it he wished he could have created a "spectrum of timeframes" by which to read the markets.UB did just that in order to understand market bias, not bad if you ask me! And just in case you're wondering who Kevin Koy is he co-wrote Steidlmayers greatest work in my opinion "Markets and Market Logic" well worth a read.
Thanks for the very kind words.
I remember our phone conversations and am very glad you found them to be of value.
Kevin was still working with Peter when I first started studying their work. Peter was always the brains of the partnership and I remember Kevin as a prissy little thing that rumor has blew out their trading account while Peter was out of town and that broke up their partnership.
Later when I spent those weeks at Peter's ranch in Butte Meadows, Kevin was nowhere around, the breakup was kind of nasty with Kevin, in my opinion, acting like a little girl scorned.
About that same time Jim Dalton started his writing and giving sminars on the profile and I thought then and still do that Dalton did a better job of explaining the profile and its use but that if you could get around Peter's unique way of expressing himself, that he was the man for the nuances in his theory.
That was over 25 years ago and at the time very exciting work and very much the state of the art. I believe it was about then that Peter was chairman of CBOT so when we made trips to Chicago to work with him it always included an inside look at the floor and some great drinking and war stories with some of the floor/pit traders.
Now almost all of the technical development work we do at the small, private, closed hedge fund that I founded and now manage is based on the theory I learned from those guys waaaay back then. The theory is great and has legs with regard to time but the profile itself cost me a lot of money until I started to develop certain technologies, some of which I have demonstrated here.
At the time I was working for Boyd Jefferies, the founder of Jefferies & Co, after Boyd made me an offer I couldn't refuse to leave a small retail NASD Broker/Dealer that I had founded in Hawaii Kai on Oahu. I got to Hawaii on the boat shown below which was paid for by trading the brand new, very high premiumed options on the then brand new CBOE - long before any index options or index futures.
Any way, thanks again for the kind words and the trip down memory lane. Give me a Skype sometime and catch me up with what you have been doing.
cheers
UB
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While I don't doubt your success and have nothing against you, brownsfan, let's be honest...blotter snapshots like that are fairly easy to manipulate...Right on Wizard. Most everybody has excel and can create the same buschwa. You are kinder than me, I call his "blotter" BS.
I have talked to this guy on the phone and regardless of his many years and thousands of content free posts I found his market and technical understanding to be very dated, based on no original method, concept or technology and generally at or below novice level. Hence he brags about "CandleStick Corner."
Candlesticks - now that's some heavy stuff. And all of this in a thread on retail FX trading, LOL.
cheers
UB
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Candle Stick corner - now that's a real contribution and some real state of the art stuff, LOL.
Like I said - not one piece of original work anywhere. Just a lot of noise about other peoples work.
Sure you have made a lot of posts, over 4,000 of them and you made them for free. How could you charge and who would pay you for other people's work?
I have hundreds of requests to buy my indicators and one of them is from you. You have none becasue you have nothing to show that is your own = pretender without portfolio.
The more you post the more you lower the intellectual common denominator on this board.
Candlestick corner, LOL, I am surprised Golldman is not all over you for your ground breaking work.
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To the right of the last bar on this chart from this morning you will see three numbers.
The bar is an 8,000 contract bar of ES. The middle number says that the bar is 16% complete and the red number says that so far the volume in the bar is 35.7% selling and the blue says that so far the volume in the bar is 64.3% buying.
The bottom chart shows net trade for the session (it zeros itself at the beginning and the end of the day session so you can see separate nets for both day and nite session) in this case the market had just sold off from a positive 8k to a negative 2k.
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:confused:Not even sure where to begin with this... Good luck to you and anyone that learns from the guy that just got taught.Those who can trade, those who can't create new magical indicators. LOL
Not to belabor punctuation but wouldn't that be better said:
"Those who can, trade and those who can't create new magical indicators. LOL." Plus in your case I might add "and those who can do neither, knock those who can do both."
Browns, you have made over four thousand posts, over eleven hundred per year and not once have you ever posted any original technical material - and yet, you knock those that do? LOL.
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Hello EveryoneI was recently referred to a man here in Toronto that has been a professional FX Trader for the last 3 years full time.I actually went over to his home and met his family and saw his workstation and saw his monthly PnL Statements.With a 20,000 FX account he has averaged $4000 per month for the last 3 years pretty consistently.He was referred to me by a personal friend that took his training 3 months ago and was thrilled with the results.I worked out a deal with him for training and I asked him if he would mind if I found a partner to share the cost with and he said he didn't mind at all, so long as I teach them separately from our time.What I am looking for is for someone to share the cost $2000 of the $6000 Training fee and I will teach you everything that he teaches me.His training is 2 nights a week for 2 hours for 4 weeks total.So 16 hrs.Once he teaches me I will get on the phone / computer and teach you everything that I learned during the session.If anyone is interested please pm me and let me know.So he has made 250% per year for 3 years and hasn't figured out how to leverage that to more than $48k per year. Sure. And you are going to teach anybody anything in 16 hours? Sure.
ANYBODY with those kind of results could EASILY leverage that to 7 figures a year.
Here fishy, fishy. No wonder 95% go broke and go broke very fast.
Ghost of Livermore? LOL.
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Can you point to any links of what these promises are? I don't even know what TS data time stamp resolution is.It does amuse me as a jaded Ninja user that TS 9 sounds like it will be out just in time to send them back to the drawing board with this insanely delayed Ninja 7 release.
From what I hear N7 is a bust in many, many ways as it relates to its promises.
You can do a search but here is a link to a press relase about their new backtesting facility and if you look around I have posted more on this update.
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Any word if there will be a better way to demo TS 9?Of course there is the base clients, but for someone like me who didn't get started until all the "tradestation killers" started rolling out with simple almost full working demo versions with min commitment..the idea of parking a min account to demo software just seems absurd.
I'm all ears on TS 9...having started later though from when it was undisputed king its always felt so closed off.
We are in the process of installing the TS 9.0 Beta on several of our machines for testing.
The promises of TS 9.0 are very grand indeed and if it lives up to them it will be a game changer for retail packages. The only bad news is that it will be sometime longer before we see improvement with the time stamp issue for charts.
The rest of it, objects, smart order objects, classes, access to different data streams all sounds really great and I will report on how we find these new improvements.
cheers
UB
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OK, I'm at a loss on this one and am hoping someone has encountered the same problem. I cannot verify any new strategies on Tradestation. When I am done with a particular strategy and click 'verify', nothing happens. No syntax errors, no notifications, nothing. Obviously I cannot test any non-verified strategies, so I'm at a standstill. Anyone experience this, or is it just an ID10T error? thanks:angry:The new development enviornment definitely needs a bit more work.
For me I can't even open the enviornment without first going to right click on a chart and then formate analysis technique and then open an existing, already compiled study and after that I can open, write, save as and compile as needed.
If there are errors in the code your must have the output window open to see the line number of the errors that might be causing the compile to fail.
If all the promises of TS 9.0 are fulfilled this TS will change from "an also ran" to king of the retail platforms.
If support can't help you and you would like me to walk you through a compile, I am usually up on Skype.
Good Luck
UB
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There is an update coming from TS that will make order placement and modification much more precise:
Important news for TradeStation Open Platform Developers
Traders in today’s volatile markets demand access and the ability to instantly act on information. Imagine being able to automatically monitor market depth and be alerted, or even place a trade, the moment your rule or trigger is met. Or having your trading platform monitor your open positions, and continuously perform risk assessments, so that in a fast market downturn, or upturn, the appropriate action will automatically be taken.
Introducing TradeStation 9.0 Beta, powered by EasyLanguage. We’ve extended our award winning ability to analyze bar and quote data by giving traders like you the ability to react to market depth, account, position, and order updates, the instant they occur.
We are very pleased to offer you an opportunity to be part of a dynamic group of developers to preview the new TradeStation 9.0 Beta and provide valuable feedback to help shape the future of our development platform. For developers like you, TradeStation 9.0 will offer many features you’ve requested over the past couple of years, including Object Oriented EasyLanguage, an enhanced TradeStation Development Environment, and dozens of other features requested on the TradeStation Enhancement Suggestions Forum.
Below is a list of some of the enhancements that will be included:
• A set of easy-to-use components that can be dragged and dropped from the TradeStation Development Environment’s new ToolBox into your EasyLanguage analysis technique. You can interact with these components using the new Property Editor, without writing a line of code.
These components include:
• MarketDepth - allowing you to easily access and monitor valuable real-time market depth data.
• Quotes - you can now request and monitor any number of quotes, for any symbol, from within your analysis technique.
• Orders and Positions – useful to keep track of changes to any position or order that you have, and to take action, the moment a change occurs.
• PriceDataStream – you can now programmatically request price data for any symbol, using any interval, in RadarScreen and Charting.
• Workbook – with this component you can interact with Microsoft Excel to perform additional analysis and charting.
• Simple and complex orders can be placed from any analysis technique and can be monitored, and instantly acted on, the instant a change occurs.
• EasyLanguage 9.0 is completely backward compatibility with prior versions. We’ve worked hard to ensure that existing code will continue to run with absolutely no changes.
• Dozens of other feature requests from the TradeStation Enhancement Forums have been implemented.
• EasyLanguage has embraced object-oriented features and syntax that many developers are already familiar with.
• Easylanguage now support local methods. Similar to EasyLanguage Functions, they can be used to improve code readability and simplify code structure. Additionally, local methods execute faster than existing EasyLanguage Functions and support recursive calling.
• Exception handling including new try, catch, finally, and throw keywords.
• The new EasyLanguage Class Library which will initially ship with a rich set of over 100 classes. The classes include:
• Collections that can be used to create, store, retrieve, and manipulate sets of object. These include dictionary, queue, stack, and vector.
• Classes to create, read, parse, write, and save documents in the Extensible Markup Language format.
• Timer and StopWatch classes to that allow code to be executed at predetermined interval.
• Strategy classes to let developers override the assumptions we make when filling your strategy orders.
• Enumerations
• Ability to programmatically start and stop calculations.
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UrmaI think that in one of your posts you mentioned that you use JMA for smoothing. Do you use this MA to filter the data of your indicators before modeling ie volume or others for your regression models?Also, do you have an opinion on the use of wavelet algorithms for smoothing data sets for use in NN?Trust all is well RANGERA year or two ago we developed our own smoothing which tests much closer to the mean than JMA. It involves serial exponential smoothing, much like the Hull, and we have not used the JMA since. We also use a regression curve for smoothing.
We have fooled around with wave & wavelet utilities in the past and even bought the Gista Caterpillar from the Russians but currently use none of them for anything.
cheers
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One Sunday morning in December of 1984 as I was eating my breakfast and reading Barrons, I came accross an article about the Bhopal disaster.
The price of Union Carbide stock had tanked and it was in all the financial news.
Instead of entertaining the thought of shorting Union Carbide, I rather cold heartedly began to consider what was the capital loss and how much would it cost to pay the liability from killing over 2,500 Indians. I put the cost per person at between 250 - 500k. The market had penalized Union Carbide far more than that, many times more than that in fact.
On Monday I loaded all of my clients and myself up with calls on Union Carbide stock. I mean really loaded up. Within a week the stock started to run, we rolled up through 3 strike prices and I made over 100k on commissions alone, not counting my own position.
Kind of cold, but it was smart, it worked and I made some great dough. That trade was probably the only trade I have ever made in my life that was based on fundamentals and not technicals.
UB
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We put regression bands around indicators as well as price - as per the chart below.
We use various indications to determine bias and then trade these bands as discussed here
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One issue with the search engine is that the last time I tried it, it would not produce results older than 1 year.
Thanks for the attention to these details, makes for a better community.
cheers
UB
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Hi UrmaI reviewed the resources provided by you in your posting; some are very interesting including the article "Is MARS better than Neural Networks". The article was within my technical range of understanding and I enjoyed the conclusions which are straight foward. Why did you select MARS vs NN?It appears from your work that you use Tradestation. Perhaps the justification for using MARS vs a NN is because the output is a linear approximation that can used in TS signals rather than the blackbox? It appears that model development using MARS plainly requires more work and expertise - advanced users only? Please comment.
On your website I read something about normalization of inputs; I rechecked the site and couldn't find the sentence again but anyway, it would be interesting to understand how you normalize inputs such as volume; balance of trade. Can you share this information with us?@BLOWFISH - same comment about normalizing goes to you.Thanks all for your VERY VALUABLE input.
Ranger,
Thank you for the kind words.
I am constantly amazed at what a small percentage of supposedly educated and power traders have any meaningful experience with these " intelligent power tools" of data processing.
As to the selection of MARS vs NN, we are versed in both but with out level of experience find MARS easier to use and the models easier to deploy. Of note is that the selection of NN or MARS is not nearly so important as the engineering of the preprocessing of the inputs and targets.
Of note also is that these projects involve several technologies other than just the tools that build the models. We use genetic survival of the fittest code that we have written in house to aid in input selction and preprocessing as well as decision trees and rules generators to help us get more value from the model's output.
As to preprocessing and normalization, depending on the project, the input data must be scaled to the targets, outliers in training data considered and sometimes removed, input data must be carefully weighed and selected based on its relevance to the target. As to normalization we have several criteria. For volume and volatility based inputs one our more important considerations is that the data be normalized for time of day.
This link describes an application that demonstrates both preprocessing and the ouput from intelligent agents. The price specific Trade Points that you see on the app are the output of such agents while such indicators as the percentage of commercial presence and commercial bias are time of day normalized inputs.
cheers
UB
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The most effective models we have built come from a cascade of technologies. An example of such a cascade would be a model developed by first optimizing input preprocessing and input selection with genetic algorithms.
Then input data is used to develop a model using technologies that develop their models through what is called feed back mathematics, machine learning. Neural Networks and certain regression packages are used for this phase. Genetic algorithms can be used in this process to select and optimize such parameters and the number of nodes in middle layers of NNs and the transfer fuctions that weigh and pass the data between them. Our most used inter-nodal transfer function is the long-tailed sigmoid.
After the model is developed its output can be further optimized using decision trees or rules generators.
This site is a good place to find articles on and vedors of such tools. Every year that have a competition that ranks tools according to class.
For genetic optimizations we have written our own.
For the modeling process we like MARS® (Multivariate Adaptive Regression Splines) from Salford Systems in San Diego. We have built an application that converts the final MARS function to Trade Station's Easy Language so that we can deploy these models so that they can make their predictions in real time with just a cut and paste.
For rules generation we use CART, again from Salford Systems described on their website as "a robust, easy-to-use decision tree that automatically sifts large, complex databases, searching for and isolating significant patterns and relationships." We also use WizWhy from WizSoft. WizWhy cost around $4k and has served us very well.
Our process is described here which is an update and rewrite of this thread here on TL.
Good Luck with your project
cheers
UB
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What they said.
It does indeed need help.
In addition I can seem to get the engine to produce results from more than a year back.
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The review lost my attention when it indicated that the book was based on the sameO, sameO.
"Yu illustrates how to combine the best chart patterns with candlesticks, Bollinger bands, stochastics"
Candlesticks, Bollinger Bands, Stochastics - Interesting, Hardly, New, Not, State of the art, not even near. Breakthrough, LOL. Worth $150, not.
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that's not my point... I am not suggesting MC.I am saying, if TS goes multi-thread...
your codes/dlls might encounter the same problem some people had when they tried to use them in MC.
If the update fulfills its promise we would consider redoing some dlls and other code a very cheap price to pay compared with having to redo everything.
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if that is true... then you might have a handful converting your codes.many dlls written for TradeStation
do not run well in MultiCharts...
especially those doing sub-minute analysis
because multi-thread can cause timing issues.
We don't care about MC. If we have to leave TS it won't be for MC which my guy pronounces as fatally flawed - his opinion and only as it relates to certain of our very specific needs.
If the TS 9 fails to fulfill its promise we will most probably move to Neo-Ticker for our automated systems and leave our point and click traders in TS.
cheers
UB
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do you know if the new TradeStation will be multi-threaded?Oh, that it would be true, I have heard rumors both ways.
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We hope that this new addition to Trade Station will set a new standard in the kind of back/forward and optimization testing that is available to the public
TradeStation Acquires the “Grail” Walk-Forward and Strategy Builder Technology
Acquisition Brings TradeStation’s Industry-Leading Strategy Trading Platform to a New Level, Further Raising the Bar against Competitors and Weaker Imitations
Plantation FL, June 17, 2010 – TradeStation today announced its acquisition of the Grail System “walk-forward” and “strategy builder” software technology and business from its inventor, Wouter Oosthuizen, and his company, Technovest (Pty) Limited. The products acquired include Grail Walk-Forward Optimizer, Grail Genetic Optimizer and Grail Computer Assisted Strategy Builder, together with all other products, enhancements and new features currently in development. These products will be seamlessly integrated with TradeStation’s award-winning, industry-leading trading strategy design, back-testing and automation platform. Both walk-forward testing and a broad strategy builder offering have been a company priority for TradeStation for some time, as the company has long realized that the potential value of its strategy design, back-testing and automation platform could rise dramatically with the addition of these tools to create and optimize back-tested trading strategies.
“The Grail Walk-Forward Optimizer should take TradeStation’s strategy back-testing functionality to a new threshold,” said John Bartleman, TradeStation Securities’ Vice President of Product Management. “Once fully integrated and rolled-out as part of our TradeStation Version 9.0, a major-enhancement release that should be out before year-end, traders will have the ability to test the robustness of their strategies at a whole new level. The Grail’s unique model of ‘Walk Forward’ testing allows the trader to see how the strategy he has tested against a historical time period will perform against various unseen market data metrics and time segments within that back-tested time period. The Grail Walk Forward Optimizer performs this multi-dimensional analysis of the strategy and then concludes with a simple ‘pass’ or ‘fail’ based on the simulated performance results. In other words, if the strategy is going to have a better chance of success in real trading, it must first prove its robustness by passing these rigorous metrics analyses performed by the Grail.
“The Grail’s Strategy Builder,” Bartleman added, “will significantly help traders build new strategies from scratch without the need for custom EasyLanguage® programming. Using genetic algorithms, the trader will have the ability to scan through millions of strategy permutations in a relatively short period, identify those strategies he believes show potential, and then submit them to the Grail Walk-Forward Optimizer to test their robustness.”
“The Grail products all were developed principally with TradeStation users in mind,” said Mr. Oosthuizen. “TradeStation will be releasing some extremely powerful functionality in its upcoming Version 9.0 release which, in my opinion, not only will dramatically increase the Grail’s speed and value, but will take TradeStation to a rarefied position where the barrier of entry for a competitor seems insurmountable. Teaming up with TradeStation, and having the value of its impressive product development and user support resources and expertise, should take the Grail technology to a whole new level as well.”
Mr. Oosthuizen will be joining the company full-time at its Florida headquarters on October 1, under a three-year employment agreement, to help lead the efforts to enhance the technology and seamlessly integrate it with the TradeStation platform. The parties have already started working together to achieve these goals. The purchase was made by TradeStation Technologies, Inc., the trading software development subsidiary of TradeStation Group, Inc. (NASDAQ GS: TRAD) which develops and owns TradeStation’s proprietary software, technology and intellectual property.
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have you tried those codes in MultiCharts?they do sub-minute analysis.
No Tams, we have not run in MultiCharts.
Our software engineer ran MC for a month and vetoed it as a candidate for us because of reasons too far under the cover for me to fully understand. His verdict was that if we were to change from TS it would be TT or NeoTicker.
I for one couln't be more delighted at the channges proposed for TS 9 and hope they live up to their promise.
UB
Useful Principles in Markets, Business, Trading & More
in General Trading
Posted
Ray Dalio, Founder & President of Bridgewater, a 75B fund posted some of his basic principles in this 85 page pdf.
At UrmaBlume T1, LLC, we like it too.
UB