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SIUYA
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Posts posted by SIUYA
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great summary on backtesting TAMS.
it is not as easy (as some folks make it out to be).
One of the other key elements to backtesting is making sure you have clean accurate data. This in itself is an extremely important and large job. (Hint: relying on purchased or especially free data is not all there is).
If you are testing on inaccurate data, then you may as well be testing using random data.
(which still has some value in itself)
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This one is for all the system gurus and programing whizzes.
(Also I am not asking if someone will do it for me, I am asking if anyone has seen it, and or what systems it might be easiest to implement on, multicharts, Ninja etc; and how hard and cumbersome would it be to do, and/or how hard and cumbersome it might be to actually use when trading
I am not a programmer but I do have some rudimentary knowledge of some of the issues)
This is an idea I have about auto trading with input zones (or values) being inputted by a trader throughout the day. This was the trader can determine the context of what to look for and then say if something happens between this zone, then do this on a continual basis swapping between strategies BUT without having to really focus and watch every tick. Ideally as a combo of context/discretionary trading and auto trading whereby once the zones or values are set, then the auto section kicks in.
example; rather than have an auto traded system that fires off all the time, this is turned on an off by the trader throughout the day, without having to focus on the charts/DOM the whole time. That way they can use the context of whats happening to determine what strategy to apply. How to establish the zones I guess can be determined by either a fixed amount eg; 15 ticks, Or the lowest low over 20 bars etc..... whatever they like. The point is this zone is more likely to be subjective. So the trader says there is a breakout, i want the zone to be between this price point and this price point. Now between these levels let the auto trader do its job.
I hope this makes sense, and I also hope this has already been done by some trading system that I dont know about that someone may recommend. OR if its not then this is an opportunity for those great programmers out there.thanks.
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from memory TT developed one of the first DOMs and when it was copied by everyone they sued everyone for the rights. Some people settled, others modified theirs slightly. This was some years ago.
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unfortunately Jon, everything is a trade off (no pun intended) I spoke with some traders the other day and we were discussing temptation. (That would be a good idea for a thread.)
I too have battled with these ideas.One thing that helped me organise it in my head was to say, the only real stop is the initial stop, the rest is just an exit point. Especially if you are trading breakouts, you have to either be prepared to let the whole thing return to the initial stop or BE, this style means you will not pick the best place to exit. Point is that it is how you view it that or rationalize it that makes it easier to handle.
eg; its not a stop, its an exit point.
I will not be tempted to take profits, as I know the trailing exit will ensure that I exit at some stage.
I will not be tempted to try and guess where the exit is, or tempted to stuff up the trade by locking in profits early, as the trailing exit does that for me.
Alternatively, my take profit level is a certain amount that I look to capture, after that i will not be tempted to try and get more out of the trade, as thats not the objective. Instead I am looking for more opportunities to capture that same amount.
Hope that helps.
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There are many types of exit strategies and no right or wrong answer. If you let the market get you out with a trailing stop, then you have to run bigger drawdowns in the PL from peak to trough, profit targets will get you missing the big moves. Its all a trade off - each has its advantages and disadvantages.
Some other ideas are to take partial profits and let the rest run with a trailing stop.
In a previous post I read somewhere here someone made a great point.....
ensure the entries and the exits MATCH and make sense for the strategy being applied and apply them consistently.
to me that is a great piece of advice.
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thanks guys, I thought I had the linking part down pat, it was more along the lines of having the DOM scale with the chart.
Also I found they were somewhat separated, and once or twice had an issue of an order not being deleted..... but honestly cant remember what I did. It was something like I placed an order on the chart, entered a separate stop loss order on the DOM, and when I think when I traded out of the order on the DOM, I forgot to cancel the stop loss, which subsequently become triggered.
Its probably just something extra I have to work on in terms of remembering to cancel all orders, and the bracketing.
thanks.... here in lies the beauty of this site, interesting discussions and help when sometimes the bleeding obvious is overlooked
EDIT: One thing though and in case its something else i have missed. When you turn on the trading from the chart option. You do have the issue raised by JEH of having to be careful about drawing lines.
Is there an option to have a button, that allows a trader to see the existing orders, amended the existing orders via the little order tabs, BUT not necessarily enter new orders. At present it seems that you either can see the orders on the chart, or not. For me this would be easier as I only enter trades rarely but I am constantly managing them and updating them, and at the same time constantly looking at fib retracement levels and small trend lines. etc This way the most infrequent time required to press an extra button is when actually entering orders. This would save screen space for JEH.
Is this a good suggestion to see if OEC can add an extra level as a button here so that you can actually draw lines on the same chart as well as seeing the exiting orders. OR do others think this is a bit of overkill? thanks.
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Hi, I have been using OEC a little bit, and I like the trading off the charts.... seems to work fine with no problems when doing nothing overly complicated.
One thing that would be great and I am going to suggest to OEC, is that they combine a DOM on the side of the chart. That way you can actually enter on the price levels based on the chart via a DOM. There might be issues with scaling, but that way you can get the best of both worlds. the visual representation and the DOM.
Alternatively have the DOM and the chart link. (it may already and I just have not been able to see it, but at present it does not appear to)
As I like to be able to enter bracket trades on the DOM, and then I would like to be able to amend them up and down based on the price action and to be able to do this via the chart.
(I am just trying to get my head around the best way to approach this idea first)
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you cant build a house with just a hammer.
it can be a useful a tool that can be combined with other tools. I just would not get too caught up with trying to perfect it but rather look to use it in a simplistic manner that suits your philosophy of how the market moves and it can be useful.
eg; if you like to enter on pullbacks, a 50% or 61% retracement is a good level, or if you like to fade ABC breaks, do it at the 100% level.
As soon as anyone thinks they have the answer and can see what no one else can see then it can become a problem. (there are exceptions to this of course
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you cant build a house with just a hammer.
it can be a useful a tool that can be combined with other tools. I just would not get too caught up with trying to perfect it and use it in a simplistic manner that suits your philosophy of how the market moves and it can be useful.
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On getting the head around losing trades, a great piece of advice is not to think about them in terms of individual losses but as part of a series of trades.
Once you understand and accept that there will be losses, its a matter of reminding yourself with these losses there will be wins, and that is what you are after. Every business has them, from inventory losses, spoilage, drilling mines that dont work until you hit the mother load, reasearch and development. Its all a matter of 'tricking' yourself in how they are perceived.
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substitute support and resistance for fib and you could probably get the same sort of idea.
If markets are fractal then yes you will always beable to chop everything down further and further. However I am not interested in scalping, short time frame trades, I am more interested in identifying possible swings and entry and exit zones, prior to (not after) the movement.
I use fib retracements, or extensions of obvious swings to offer EXTRA visual cues that may offer areas of interesting trade triggers.
eg; a 50-61% retracement of an obvious swing, a 100% extension of what might be a ABC or 123 pattern.
Is this used in a hard and fast way? - No
Is this scientific, backtested, 100% reliable? - No
Is this an extra visual cue that alerts me to a possible interesting trading area? - yes
Does this seem to work as a way of offering good risk to reward levels to either enter trades or take profits? - yes
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A real desire to actually do what its required to succeed in the style of trading adopted.
example; I dont really want to day trade as I dont want to spend all day in front of a screen watching it for a few trades. I want to swing trade over a few days, and also long term trade. So I should not spend my time looking at and analyzing less than 60 min charts. (even though sometimes I do
)You need to understand why it is you want to do something, and then focus on how to achieve that. A half assed approach is unlikely to work.
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my platform - for what I require the best system I have found that is great for all aspects of back testing for a retail person is trading blox. It works for me. Possibly a little expensive upfront, but from all accounts it seems fantastic. I have no association with them and have only recently downloaded and learning the system myself, but from all accounts of other users and what I have seen its fantastic. It is built in the same way I built some complex excel based backtesters.... only faster, thats why i relented and bought it. It is not a charting system or for live auto trading however, and MC has its own advantages in this aspect.
I would suggest checking out their website/ user forum and seeing if it suits.
To date, I am not 100% sure if what you require is able to be done in this yet, but I am 90% sure its possible. Personally I test individual ideas, and then combine them - more so to test ideas work as opposed to running a systemised portfolio.
eg; they have in their manual
How do I enter an order with a stop?
Use a broker order like the following:
· broker.EnterLongOnOpen( exitStop ) - Buy on the open with an optional stop price
· broker.EnterShortOnOpen( exitStop ) - Sell on the open with an optional stop price
· broker.EnterLongOnStop( entryStop, exitStop ) - Buy on a stop with an optional exit stop price
· broker.EnterShortOnStop( entryStop, exitStop ) - Sell on a stop with an optional exit stop price
· broker.EnterLongAtLimit( entryLimit, exitStop ) - Buy at the limit with an optional stop price
· broker.EnterShortAtLimit( entryLimit, exitStop ) - Sell at the given limit with an optional stop price
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I maybe wrong here, as they may have upgraded MC. However when I used it the answer was no. you could only do as you suggested which was reference the bars parameters (OHLC) and you could not say something such as "buy at this value"
It was one of the reasons I stopped using MC, as I found this a limiting factor.
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Interesting.....I am sure if you can actually front run (otherwise why say this is predictive?) or even tell exactly what goldmans and morgans etc are actually doing in terms of their trades then they would be very happy and interested to hear that.
If you have worked inside some of these places you will understand where they make a lot of their money - market making not trading, OTCs and options. Additionally a lot of the time, they are not 100% sure of where they make their money trading and tracking all their positions.
For a good laugh on this point read the Big short, and have a think about the recent GFC.
I have no problems with indicators that track divergences, volume and the like, it is just as a natural born skeptic find it hard to believe someone can make the claim as fact they are tracking actual orders for certain clients and market participants. I am sure this is not what is being claimed.
As was mentioned, a lot has to do with context and discretion and common sense and this indicator can help visualize elements of that.
(please take this in a positive light of a discussion point, not as an attack on anything in particular, except claims of fact that are next to impossible to prove)
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sorry if this has been said before - or if it seems obvious....
In order to be able to trade intra day you must have the correct intra day data. (Ideally down to the tick data)
Unfortunately the systems dont have a measure to be able to buy within a bar unless you can further subdivide the bar you are working on into smaller time frame bars.
you need to be able to see the sequence of trades that make up the bar. ie; which came first the high, or the low.
(I used MC for a while and initially missed this point myself when first looking at it). The only other way to do it is via a fudge.
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just to add spice to the mix.
:2c::2c::2c:If you think you can actually determine who is buying or selling - then you are kidding yourself.
Nice intellectual idea, however even determining who is the smart/dumb money, institutional/commercial/retail money is irrelevant. Nice idea to chop everything up and look at the markets in a different manner..... however looking at a market differently will not change how the market moves.
If determining weather or not certain trade patterns in volume help determine as a filter a continuation or reversing pattern...... then maybe there is value.
It all seems to boil down to the whole conundrum of context and pattern recognition.
There are too many assumptions to believe that you can tell who is doing what, and more importantly the relevance of the situation. Professionals get it wrong just as often as others, and quite frankly for futures its a zero sum game, so how is all this relevant.
What is the relevance of another indicator?
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Osbourne - check out JonBigs04 thread - similar conclusion.
So often traders can look at entries in a one dimension way. Entries need to be chopped up in a few different manners and once this is done then sometimes they become less an issue. Until then, the entry holy grail will be searched for.
As a start (by all means not comprehensive or complete)
entries need to be defined by
1) individual pattern setup
2) market context for the pattern
3) market sentiment for the instrument and the pattern
4) reference to trade management and risk reward
5) final entry trigger
6) initial response - ie; should I expect this to suddenly accelerate with momentum or not
7) .....
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Jonbig - glad you have had an epiphany.
I think you will find that ultimately all these things still boil down to the same things.
cutting losses, good risk to reward, patience, a few good setups etc; etc; ad infinitum.
sometimes all it takes is a slight change on how we look at one aspect of what we are doing to make everything fall into place.
Personally - day trading does not work for me. I trade longer term, and some short 3-5 day swings as a little extra. But the ideas are all the same.
A friend of mine has profitably traded for 17+ years, yet was getting stale, his setups were getting too relaxed, he was getting in too early etc;. He has revamped his ideas, become more structured again, and the one thing he said that helped him get back into a consistently profitable mode was to look for those trades that really had a good RR structure. He stopped the second guessing, he stopped trying to pick up swings against the major trend. Basically he chose his plan (setup, instrument, view) and then he waited for the best time to enter on his plan. If a good entry never evolved he never traded, even if his view was actually proved correct
He asked himself - do i want to risk loosing X three times and then finally getting it right, or do I want to wait until I can risk 3 times X, and only need to do it once. What he found was that by willing to risk the 3x, and by waiting, he ended up only risking about X anyway. Patience is an often understated trading attribute. (that unfortunately day trading seems to encourage less patience)
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MMS - self analysis when it comes to trading physc I would suggest could easily misdiagnose and then reinforce bad habits.
Most traders have enough problems looking at a chart and then saying its an uptrend or a downtrend, that getting them to self diagnose might be a big ask.
Evidence based analysis, then discussions with some one who can be objective would be the ideal therapy session....
On saying that I have not read the book mentioned, but have just spent two weeks chatting with some traders I know (many many years of experience) I have decided that day trading does not suit me, so why do it. I will stick to my knitting of longer term swings.
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Attila - interesting point..... re pre market bias.
I think the best plans are ones that say -
if this does this, then I will go long as I think that this is the most likely outcome.... however if this does this instead then the least likely outcome that I thought would happen is occurring then I will go short.
Amazing how many times the move that occurs from the least likely action occurring can be very profitable.
Its a fine line between having a plan that is biased, and also having the flexibility to add that extra dimension to the plan to then actually listen to the market. Of course then there is the third dimension of "I cannot see what is happening in the market today, so I dont need to be there, walk away"
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apologies from me too - however do you have a link?
Unfortunately I saw a few varying links and some sniff of spam, as it will not let me enter, and freezes the screen unless I enter an email address.
If that is the case then I am out.
thanks.
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dont forget according to Lloyd Goldmans is actually a market making house and broker just taking a clip.......
they dont actually trade against their clients. -
what the f is UTA..... sounds like a one of those fail safe system that costs money both in expenses and then when it does not really work.
6 weeks of back testing - very robust!
Do Candlesticks Work?
in Technical Analysis
Posted
the holy grail to back testing and auto trading