Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.


  • Content Count

  • Joined

  • Last visited

Posts posted by nickm001

  1. Here is what I would do:

    1. Scan for trojans. Trojans track whenever you access any site and upload info to "home office". If you haven't done so, download Spybot and scan for them.

    2. Your HD may be fragmented. Defrag the drve using XP util... Much better one is "Perfect Disk" application. After running perfect disk, I have noticed quantum leap in performance.

    3. If none of the above help, I would reload OS...

    4. If you still have problem, then most likely is HW issue,and may not be worth your time to fix it, considering the cost of repair vs new system ..

  2. Some CBOT produsct are free.. like



    TradeStation Symbol

    Full-Sized Dow Futures DJ

    Mini-Sized Dow Futures YM

    Mini-Sized NY Gold YG

    Mini-Sized NY Silver YI

    spacerMini-Sized Corn YC.P

    Mini-Sized Soybeans YK.P

    Mini-Sized Wheat YW.P


    Anything else from CBOT you have to pay 50... the above link posted in previous message gives all data fees...

  3. Low volume will impact RT trading ( slippage), but as far as strategy testing, there is no impact.

    Range should be considered as relative range. I usually "normalize" the range results by dividing range with value of the contract. For daytrading, I would use range as metric, not ATR. ATR is important only if you are holding overnight. In 2002 the peak range was in July ( ~16) and contract traded at ~400. This year peak range was 24, but contract is trading at 800 level, so the range actually has contracted.


    For testing strategy, you need as many different market condition as possible.. Proper testing , optimization and walk forward testing ( the only real testing) is pretty complex process. If you have access to TS forum, there is tone of stuff on that subject.

  4. Keep in mind that TS continuous contract is "back adjusted" or spliced to the old contract. However, it should match to a tick the current contract. If you discovered any discrepancy, that is because of the rollover and local cache issue. Sometimes it is corrected on the next login, and sometimes you have to force it. The easiest is to load @Es.d in the chart and then press "CTRL - R" . It should reload the new copy of the data, which should match current contract.

    Based on your posts, your continuous contract did NOT roll over and it is (still) matching the September contract prices.


    For backtesting results, it is ok to use continuous contract. Most of the people complain that old contract, which is spliced into continuous contract is actually shifted in prices, so there is no gap between current and expired contract at rollover time.

  5. Was Abe expected to last long? I don't know much about Japan's politics, but when he came to power, I was concern that he favored military buildup. It is interesting, at that time, my wife (Japanese) told me not to worry about Abe, because he is just temporary there, to fill the gap until election and will not last long. She is not too interested in politics, so that information must have been "known fact".


    Re world vision, there is one and it is not pretty... listen to this presentation and some of the recent changes in labor law, security, etc will be seen in the different light...

    Naomi Klein - The Shock Doctrine 6 part presentation..

  6. I have a pic for you. Left side has 405 min bars with total volume showing at lower right corner in red (850,237). Second chart is 5 min with vwap modified to print Total_volume value at last bar( I used AtCommentrayBar( ) ). You can see it shows the same volume.

    re code comments:

    precondition at bar number n..


    "Price_Volume" has subtotal of all Price_i * Volume_i, where i is 1 - (n-1)... and

    "Total_Volume" has subtotal of all Volume_i, where i is 1 - (n-1)...


    NOW the bar n happens and the code below is executed


    Volume_i = UpTicks+DownTicks;// volume for a bar "i"

    Price_Volume = Price_Volume + (AvgPrice * Volume_i);// SUM ( Price_Volume ) + AvgPrice * Volume_i

    Total_Volume = Total_Volume + Volume_i;// sum total volume


    if Total_Volume > 0 then

    vwap_value = Price_Volume / Total_Volume;


    I think code is correct..

    How do u read ( understand)this code segment? I guess I am not sure if I understand your concern.


    Note: Just noticed that I used 2 forms of ES on the pic... ESU07.D is the same as @ES.D ( TS symbol for continuous contract)


  7. HI Blowfish

    Quick reply... I will look at the code again after market close. Should be easy to print the volume out for testing...

    The way I read the code is:

    1. Variable "Total_Volume" is set to zero at the beginning of the period ( standard TS code uses if date[0] <> date[1] then...

    2. each bar you add bar volume to "Total_Volume" ( line 3 of the code I posted)

  8. here is the code segment calculationg vwap.. Line 3 sums total volume, not just volume of the bar n


    Volume_i = UpTicks+DownTicks;// volume for a bar "i"

    Price_Volume = Price_Volume + (AvgPrice * Volume_i);// SUM ( Price_Volume ) + AvgPrice * Volume_i

    Total_Volume = Total_Volume + Volume_i;// sum total volume


    if Total_Volume > 0 then

    vwap_value = Price_Volume / Total_Volume;


  9. The sentiment on accuracy was different, related to how to treat volume of the 2 min bar vs subtotal of the volume@price... but I commented then, that it is close enough as approximation and it doesn't matter. I tend to favour simplicity and speed over accuracy, especially if you wan to run multiple copies of MP on all indeces and few time frames...

    I totally agree with second part of your post... will the added accuracy change the net profit or not is the real question...

  10. torero, as far as I know, there is not central clearing house for forex, no common quote system. One is trading via broker, which provides, sw, quotes and liquidity for traders that participate with them. Setup is similar with "bucket shops" from the days of old ( Jesse Livermore). The only volume you could possibly see is the local shop volume. The system is setup as inter-banking system, and forex traders are small, very small fraction of the volume.

  11. just wondering if you have tried using VOLUME based MP... TPOs dont work because it gives the same weight to low volume session ( like asian) based on time@price as it does to EU or US session.

    Note: I am not trading currencies, but was helping another trader doing research/testing

  • Create New...

Important Information

By using this site, you agree to our Terms of Use.