Ranger

I attached a zip file with screenshots showing how I setup a model for CAT using 60 Minute data. I made some notes so that interested forum members can follow along. Note: a) I didn't include any other timeseries in this model. That will be the next step ie a SMA model for S&P; DJI etc. b) I checked with Tradecision and they said that pre-processing on minute data is probably unnecessary. I need to check my data set and make sure that it's statistically sound but I'll leave that as a future excercise following review of model output. c) Tradecision has implemented a filter for outliers that will help normalize data but the beta version has crashed on me a couple of times ... in all fairness to Tradecision, I got this hot off the press. I sent them error reports. d) The screenshots show a henious estimated time for completion. The estimated time at posting is now 1.5 hrs and I'm on stage 2. If it completes soon I'll post the results. e) I'll likely need to improve the directional accuracy .... let's see what happens. Any comments especially on the inputs would be really helpful. RANGER CAT Model NN.zip

You're unbelievable Tams!!! You remind me of Radar O'Reilly on Mash .... is everything really at your finger tips?

Hi bumblebee: a) Recompile your code and review the error messages. See, if you can determine the error on your own and if not then post the error messages on the forum and ask for help. b) I had a difficult time following your sequence of operation because it appears that you are trying to specify entry & exit conditions but the code you provided only exits the market, once the conditions in the code are satisfied and marketposition <> 0. c) Perhaps further clarifying your objective will be helpful as Tams suggested, however you might want to print-out a simple chart; attach some notes ie enter on this trigger(s), qty x limit order at this price level; stop(s) at this price level(s); profit target(s) this level(s). Scan the document and post. I doubt anyone will write the code for you but perhaps someone will share some code; help you edit your work; or provide a link. Based on my understanding of what you outlined .... this code will not meet your objective. RANGER

Thank you natedredd10 - no friend, the length of your post .... please no offense intended. You have so many useful posts and comments + you have spirit ... so thanks. I appreciate your guidance; read this wonderful poem by Robert Frost - he seems like a breakout trader. Road Not Taken by Robert Frost Two roads diverged in a yellow wood, And sorry I could not travel both And be one traveler, long I stood And looked down one as far as I could To where it bent in the undergrowth; Then took the other, as just as fair And having perhaps the better claim, Because it was grassy and wanted wear; Though as for that, the passing there Had worn them really about the same, And both that morning equally lay In leaves no step had trodden black Oh, I kept the first for another day! Yet knowing how way leads on to way, I doubted if I should ever come back. I shall be telling this with a sigh Somewhere ages and ages hence: two roads diverged in a wood, and I -- I took the one less traveled by, And that has made all the difference.

Hi natedredd10: I was considering Waveslider's comments and I was going to ask him to clarify his posting by providing a simple example but the first thing that came to my mind was a MA. @ Waveslider - is it possible to provide a simple example or further clarification? @ Natedredd10 - Appreciate your Ted Kaczynski like posting - we get one a year at TL, right?

Found this link on pre-processing of data. Not much but it was more than I knew a few minutes ago. Market Technologies - Preprocessing Data For Neural Networks

Hi Urma I 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.

Blowfish - Glad you joined this post. I picked Tradecision soley because it was offered by TD Ameritrade. As far as I can tell, no lead applications offer a 30 trial or month to month option so if you select a software at a price tag of 2K, it makes sense that it meets your needs. Your outline on the NN is 100% accurate and I really don't care too much about the mathematics behind the model. Choosing good inputs and correct interrpretation of results and application of the final version to the trading world are the real hurdles. Right now, I'm just toying around the software. Making a model based on inputs & time series(ie S&P 500 Index); optimizing inputs; creating the NN; applying to simulation. The Improvian Language used by Tradecision is really simple; like easy language so it's simple to create functions; indicators etc. RANGER

Happy to see this posting getting some interest and not because it's mine. @natedredd10 - thanks for the posting and links. I'll check them. @waveslider - NN are intended to be predictive. So, let's say you build a NN based on a few momentum indicators; and another based on few Osc; and another based on Price Action. You can then create a committee of those nueral networks and base your trade signals on your criteria - short answer YES. I just started playing with Tradecision. Why Tradecision - most of the NN packages are around 2.5K. TD Ameritrade offers Tradecision lease 109/month as an add-on. I thought this was a reasonable price for a training tool and possibly more. If I get additional interest in this, I don't mind posting my progress but it takes a few hours to make screenshots and document, so there needs to be an interest in the topic. Skype screenshare session is also possible. pages 1-2: show performance on TRAINING DATA; TEST RANGE DATA. (Particulars of model are unimportant but for example this could be MA x Over NN. Note the performance between the TRAINING DATA & TEST RANGE DATA. pages 3-4: Shows predictive line (page 4 is close-up scale). pages 5-6: NN Signals applied to chart pages 7 - 8: simulation applied to all data; equity curve and results. Apologize for the quality of the documentation! RANGER Tradecision.pdf

Hello I searched the forum and found limited information on the topics of Neural Networks and Genetic Optimizers. My friend and I have started reviewing this topic with the objective of selecting a software; designing signals for active trading. We both program; we're both engineers. In the past, I studied linear programming and operations research and I also have advanced mathematics at the masters level. If the topic interests you; you're a day trader or very active trader; and you think that you can contribute at a higher level to our team, we'd love the hear from you. Also, any forum members with constructive comments, we'd love to hear from you too. Happy Trading RANGER

Tams I spoke with MC today regarding their Scanner; the Scanner only works on regular charts. I want to scan a bunch of stock symbols based on criteria from a daily 3 LBC. It appears that I need to create an indicator that will take regular daily data; convert it to 3LBC format and then use that criteria for the indicator output. Do you know of an easier way .... do you know where I can find logic for the 3LBC? Thanks for your input. RANGER

It's weird .... I was going to try your recommendation, restarted my computer and guess what ... you got it EOD. Look, if it's a good strategy, I'll share it with you so you can make millions more ... ;o)

Hi TAMS TAMS I looked into your instructions - thanks!!! When I first saw FreeQuotes, it didn't occurr to me that it represented some underlying data providers. For whatever reason, the data providers remain off-line. Tried the regular restart of QM; loaded a symbol etc. Do you know what I'm missing? Please don't say EOD data!!! ;o) RANGER

Hi tams i'm starting to learn your ways .... I was just getting ready to say ..., dude just send me the info and then, i said ..... I know he's going to say, surf the forum. Ha,ha anyway, i'll follow the instructions here and see, if it helps. Thanks ranger

Hello Fellow Traders; I have worked-up a couple of strategies using TD Ameritrades Strategy Desk and backtested them using SD backtest engine on S&P500/R2K from Mar08 to Mar10. The strategies appear to be money makers with good profit factors but I don't trust SD limited backtesting capability. I program in EL and have MC but no stock data because my primary focus are Futures and I'm too cheap to pay for data for stocks. I'd like to team up with some who's interested in short term stock trading and has access to historical stock data for backtesting. If anyone has any interest, please drop me a note.

Tax avoidance is good; Tax evasion is unlawful. The IRS does have field offices in known tax havens .... for sure! With a large US debt, you can imagine the US is tightening up on it's tax laws ...

Post the code, if you get a chance and the magical formulas... RANGER

Here's a story - there was a group of companies under ownership of a holding company situated in Gibraltar. The companies were US & Caribbean companies all legal formed; legally operated etc ... One time the Holding Company was transfering approximately 100K to a US sister company and the funds vanished. The bank in Gilbraltar provided proof of transfer; the US bank provided proof of no receipt. The funds were finally traced to OFAC, a division of Homeland Security. The companies had to provide corporate documentation to demonstrate they were operating legally before the funds were released. Moral to the story: a) Believe that US can track and investigate banking transactions. b) The US operates and maintains foreign offices for the purpose of monitoring and investigating US personnel living abroad and US companies formed in foreign countries. c) Taxes must be paid on earned income less approved deductions in the year earned. Having your accounts frozen is the small price to pay, right? Spending 5 years in prison with bubba; loss of income is the real price. Best method: Hire a good tax lawyer(not a shady crook with bullet proof plan) and map out a strategy that will stand legal scrutinity because, if there's a problem that's exactly what will happen. RANGER

Hi Chloe This is the code that was modified by forum members. Can you get this code to work on your session times - do you see the Camarilla lines? {Plots previous day Hi/Low/Close - Open {x} Out below} {Plots Camarilla Lines} {Rev date 07Aug09} input: SessStart(1803),SessEND(1615); variables: var0( 0 ) , var1( 0 ) , var2( 0 ) , var3( 0 ) , var4( 0 ) , var5( 0 ) , var6( 0 ) , var7( 0 ) , var8( 0 ) , SessReset( False ) , CamarillaReset( False ) ; SessReset = t = SessEnd; CamarillaReset = t = SessStart; if SessReset then begin var0 = var0 + 1 ; var1 = var2 ; var3 = var4 ; var5 = var6 ; var7 = Close; end; if CamarillaReset then begin var2 = Open ; var4 = High ; var6 = Low ; end else begin if High > var4 then var4 = High ; if Low < var6 then var6 = Low ; end ; condition1 = var0 >= 2 and BarType < 3 ; value10 = ((var3 - var5)*(1.1/2)) + var7 ; {H4} value20 = ((var3 - var5)*(1.1/4)) + var7 ; {H3} value30 = ((var3 - var5)*(1.1/6)) + var7 ; {H2} value40 = ((var3 - var5)*(1.1/12)) + var7 ; {H1} value50 = var7 - ((var3 - var5)*(1.1/12)) ;{L1} value60 = var7 - ((var3 - var5)*(1.1/6)) ;{L2} value70 = var7 - ((var3 - var5)*(1.1/4)) ;{L3} value80 = var7 - ((var3 - var5)*(1.1/2)) ; {L4} if condition1 then begin Plot1( var1, "Y-O" ) ; Plot2( var3, "Y-H" ) ; Plot3( var5, "Y-L" ) ; Plot4( var7, "Y-C" ) ; Plot10( value10, "H4" ) ; Plot20( value20, "H3" ) ; Plot30( value30, "H2" ) ; Plot40( value40, "H1" ) ; Plot50( value50, "L1" ) ; Plot60( value60, "L2" ) ; Plot70( value70, "L3" ) ; Plot80( value80, "L4" ) ; end ;

Chloe Can you modify the other code that we worked up that covered your session times to include the calculation for your pivots??? RANGER

While working up an auto execution strategy for the futures market, my friend and I created this segment of code that provides for market exit after achieving the desired profit target or end of time. Hope others find it useful ..... RANGER ///// This code ends trading once the Daily Net Points are achieved or end time constraint is met. //// Designed for use on futures contracts /// If used within an Auto Execution Strategy, you may elect to revisit the "marketposition" terms. //// Co-written by ZAC & RANGER 2010 Rev 0 / tested and found operational inputs: DailyNetPoints(4), StopLossTicks(12), ProfitTargetTicks(12), BreakEvenTicks (6), NumberContracts(4), start_time(0930), end_time(1615), ExitOnClose( true ); variables: Prior_Date(date), Prior_Net_Profit(0), StopPx_Amt(0), Daily_NP_Amt(0), Profit_Target_Amt(0), Break_Even_Amt(0); StopPx_Amt = ((StopLossTicks/4)*BigPointValue) * NumberContracts; Daily_NP_Amt = (DailyNetPoints * BigPointValue) * NumberContracts; Profit_Target_Amt = ((ProfitTargetTicks/4)*BigPointValue) * NumberContracts; Break_Even_Amt = ((BreakEvenTicks/4)*BigPointValue) * NumberContracts; once begin Prior_Date = Date - 1; end; if Time > start_time and Time < end_time then BEGIN if Date > Prior_Date then begin Prior_Date = Date; Prior_Net_Profit = netprofit; end; if netprofit - Prior_Net_Profit <= Daily_NP_Amt then begin ///////////START ENTRY/EXIT SIGNALS HERE ///////////////END ENTRY EXIT SIGNALS HERE end else {ends when daily profit objective is reached} begin if marketposition = 1 then sell ("DONE-2") next bar on Open; if marketposition = -1 then buytocover ("DONE-1") next bar on Open; end; END else if Time > end_time then {ends when time limit is hit} begin if marketposition = 1 then sell ("EOD-0") this bar on Close; if marketposition = -1 then buytocover ("EOD-1") this bar on Close; end; if ExitOnClose = true then SetExitOnClose ; {exit on close of market - this can be rem if desired} if marketposition <> 0 then begin SetDollarTrailing( StopPx_Amt ) ; SetBreakeven( Break_Even_Amt ) ; if Profit_Target_Amt > 0 then SetProfitTarget(Profit_Target_Amt ) ; end;

WOW!!!! I've been messing with this intergration for a couple of months. MultiCharts has been allocating some advance engineering support, and frankly it had a few of us confused. Yesterday, again - MC spent about 1-1/2 hrs sorting through the issue and found the problem in the ADE.TypeZeroBarID_s file today. The reason that I have attached these documents is because these can be easily modified to take data from one sourse and apply to another chart using Tick Charts. In my case, I am using Permissives from the 3LBC and applying them to a Tick chart. A word of caution .... when using ADE functions on tick charts make sure that "Time" is "Time_s" on all pertinent functions. (HERE'S THE CHANGED CODE FROM MC RELATING TO ADE.TYPEZEROBARID_S - SEE THEIR REM NOTES) // before here was "Time" - HHMM - delimeter = 10000, now "Time_s" - HHMMss - delimeter = 1000000 ADE.TypeZeroBarID_s = Date + ListN.Get(BarInfo, 2) / 1000000 + ListN.Get(BarInfo, 3) / 1000000000; Thanks to TAMS for additional diagnostic support and big thanks to MultiCharts. Their customer service is just awesome. RANGER 3 LBC Test Indicator - R1.txt !_saver 3LBC Test Indicator - R1.txt ADE.TypeZeroBarID_s(Modified by MC).txt

Hi tams one quick indicator revealed that i do have problems. I've done so much work on these signals and charts and i've always gotten crazy & unexplainable order entries even though my code seems so flipping simple. When i first backtested my complete strategy with a friend we got amazing results. We later determined the issue that i'm trying to unravel now, where we get more favorable fills than possible. It skewed the backtest results. It seems like the !saver part issues good signals from the 3lbc. The issue appears to be in the tick chart portion thanks for your help .... At least now, i have the evidence and i can move forward on solid footing. Ps sorry about the messy graph but the time frame differences between 120t regular and a 3lbc stretch things but seeing all the info on one screen helped.

Thank you Tams! I think that I corrected the bar status but something crazy is still occurring. I attached an output file for your amusement and to ensure you continued state of BE Happy..... The 3LBC generates a Permissive at 144302 (Trigger State = 1). The state directly ahead of that at 143956 = 0. The signal gets it's Permissive at 144050 or approximately 2 seconds before it was issued by the 3LBC. It's state at 144027 was zero. It seems like the variables resetting because they switch states; bad news is that some trades occur properly and others don't ie the one below worked. 3LBC 1100302.00/////161444.00 _GoLongTrigger 0.00 _GoShortTrigger 1.00 Close 1117.25 Bar Status 2.00 120T Signal 1100302.00/////161444.00 _GoLongTrigger 0.00 _GoShortTrigger 1.00 Close 1117.25 Bar Status 2.00 Output.txt

OBJECTIVE Generate long/short permissives from 3 Line Break Chart for use on a regular tick chart signal. BACKGROUND Please refer to 120T - Regular & 3 Line Break Charts attachment: Both the Tick chart and the 3LBC use 120Tick Data or same data frequency. The ! Saver 3LBC (attached) generates the Permissive following a breakout on the 3LBC ie 3 bars down/ 1 bar up for breakout using BAR Open/Close. The Permissive is used by an Entry Signal 120T(Exit signal not given). SITUATION You can see from the 120T - Regular & 3 Line Break Charts attachment & from the PLE Data Output(highlighted line) that a trigger was generated at 093216. The signal was applied to the 120T and is shown on screenshot. PROBLEM The ! Saver code uses the OPEN/CLOSE of the BAR from the 3LBC to generate the permissive (GoLong/GoShort), but the Permissive is being issued before the BAR CLOSES on the 3LBC. Any ideas or suggestion would be greatly appreciated. RANGER ! Saver 3LBC.txt Entry Signal 120T Chart.txt