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BlowFish

Market Wizard
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Everything posted by BlowFish

  1. BlowFish
    Hey Bill, Even if you want to look at the longer time frames if you can build what you need with more data (like hourly perhaps) you should be golden. You might want to look at Ninjatrader you can get it free and there are indicators for VWAP SD and PVP in the public domain. of course there may be other reasons that you are leaning towards excel in which case that might not make sense for you.
  2. BlowFish
    Be aware that systems that only take a couple of ticks often trade worse than they test (depending how you test them). Make sure you are testing by buying at ask and selling at bid or if the system uses limits you really need to make sure price trades through your entry/exit. Work out the risk of ruin, run monte carlo simulations and decide for yourself if the system 'makes sense'.
  3. BlowFish
    I guess 'wipeout' is a somewhat relative term. As I said been there, done that, got the tee shirt. In those good old bad old days I tended to stop if I halved an account (I still had some common sense). That was a wipeout to me.Even if the account was 5 times what I originally put in does that mean that it 'was not my money'? It certainly didn't feel like it. Imvho (and sadly in my experience) early success followed by losses is pretty debilitating to the psyche and can mess up subsequent trading.
  4. BlowFish
    Risk of ruin (RoR) is the key metric. Im not sure 2% is even OK as a rule of thumb. It's one of those accepted pearls of 'wisdom' that for some reason has gained traction. There really is not one size fits all. TradersCALM - Calculating risk of ruin is a great little site that tells you how to calculate it and why you should.
  5. BlowFish
    Hi Bill, sounds like you understand the sampling issues. If you are looking 20 days back thats only 20 samples. As you correctly observe Jerry samples every 2 minutes. He talks about what he considers enough data....from memory he likes to see at least the bands open up wider than the bars themselves. I dunno I would have thought things are only just going to be settling down after 20 bars, it's a fairly small sample. I did some comparisons (a long while back) of Jerry's 2 minute sample and raw tick data (so completely accurate) usually the VWAP & SD's where negligibly different but occasionally there would be a 2 or 3 ticks difference. The PVP is a bigger issue. It is very sensitive to how you allocate the volume how you sample and accumulate the peak can completely alter the PVP. This is because it jumps around based on the highest peak. Incidentally the way Ensign (which Jerry uses) allocates volume to PVP is that it pro ratas it to every level/tick between the high and the low of the bar. Allocating all the volume to a single price will likely give quite some odd results. Jerry talks about why the SD's should be weighted by volume in the threads.
  6. BlowFish
    Yes if the formulas are correct. Does excel have a weighted SD? You might need to do a bit of dinkering to get that. I would be as concerned about PVP (and lesser extent VWAP). If you are using the closing price of the daily bar you will be lumping all the volume for the day at that one price point (the close). If you can sample data every hour (or better still every minute) to get the volume distribution at price things will be more accurate. No reason not to do the calculations once per day but I would personally be happier with a sampling rate that is higher.
  7. BlowFish
    Why not? Most other business works that way. You show qualifications or aptitude or even just willingness to learn or 'personality' and you get a junior job. As society 'progresses' I can see things changing. I wonder how long it will be before kids starting out have to pay to go to work whatever their vocation?
  8. BlowFish
    The losses are real you need to deal with them. Sorry for the short sharp nature of the post but it really is not worth debating. The only place you can go with your current mindset is wipeout, if not on this trade on the next or the one after.... Ironically the worse thing that can happen now is if it does come back. This will validate and re enforce this sort of behaviour. Been there, done that, and have the decimated accounts to prove it.
  9. BlowFish
    Yes day trading is so last decade unless you are High Frequency Trading (HFT), in and out a thousand times a pico second you are doomed
  10. BlowFish
    I like Tims stuff a lot.
  11. BlowFish
    Chris, despite saying you have learnt your lesson you are still using the term 'stuck'. Don't wait for a margin call and subsequent broker liquidation to prove you are not stuck. As yet you do not appear to have rectified the mistake, maybe this is a by product of you erroneously thinking you are 'stuck'. Imho, there are greater lessons to be learnt like deciding where you will get out of the market before you get in and placing a hard stop there. The doorbell will never be a source of frustration or panic if you have a resting stop in the market.
  12. BlowFish
    A couple of my favourite threads are here:- http://www.traderslaboratory.com/forums/f208/reading-charts-real-time-6151.html This covers quite a lot including 'price action' which is never a bad thing whatever approach you decide on.(imho) For something completely different perhaps try here:- http://www.traderslaboratory.com/forums/f6/trading-market-statistics-links-4803.html The Wyckoff section is not bad too. There are a couple of threads with book recommendations too. People tend to proffer their own favourite approaches (no surprise really) it can make it rather hard to select something that suits you. It is also easy to 'spread yourself a bit thin'. Hunt around and find something that resonates then focus on that. Some topics seem to be less discussed money management, trade management, the discipline required, constructing a plan that provides a framework for that discipline, the mindset. Trade management is talked about in both the threads I linked.
  13. BlowFish
    I wonder if all the OP was simply after a bit of sympathy actually. Or maybe some moral support to do the right (but tough) thing. I guess they have had to sell the computer to make margin as the first post was their one and only post here. (guess you shouldn't joke about other peoples misfortune in a politically correct society).
  14. BlowFish
    A very valid point. Denise Schull (trading psychology woman) said somewhere early in her material that if you can't write down an outline of each of your strategies in 2 or 3 sentences they are probably too complex. I am not sure I would go quite that far but I am inclined to agree. VSA is actually reasonably straightforward though there are maybe 8 or 9 'principles'. (Tradeguider has somehow simplified that into 450 or so 'indicators'). The original book was poorly written and had a number of errata, though they where kind of obvious if you spent a bit of time with it. Not only that, even way back when it was little known, it attracted charlatans (one is described in detail at the start of another trading psychology book by Mike Elvin). Fast forward to now and you have the TG circus, you have to credit their marketing which has raises the profile of VSA enormously however to keep feeding the beast they need to keep selling software and education. To do that it is in their interest to maintain some mystique and complexity whilst offering to dispel that (if you pay). Anyway going back to the threads, a lot of the posts where people looking for 'the secret', and of course being a forum there where plenty of 'experts' to oblige (though as often the case it was the blind leading the blind). A large part was simply people posting charts and analysis and discussion, again that's often the meat and potato of massive threads (and nothing wrong with that). As usual the real gems get buried amongst the general chatter and outright BS. Having said that those gems are there and an astute reader would learn who to pay attention to quite quickly. (There was also odd bits of drama that where quite entertaining!)
  15. BlowFish
    What Kiwi said, actionable being the key word. It's a fairly straight forward approach to using MP for trading. If you want to learn all he bells and whistles of 'classic' MP it might not be the best choice, having said that there are lots of people that will teach you to completely paralyse yourself through analysis with MP
  16. BlowFish
    Indeed it will. However that is an argument against your original point . And as I mentioned the 95% rule is for normal distributions (and financial data series clearly are not with there 'fat tails'). Anyway on a more constructive note one can look at MAE (Maximum Adverse Excursions) to fine tune stops. It's a bit of a a balancing act really, wider stops more winners but the losses will be larger, narrower stops less winners but smaller losers. Personally I prefer market structure for stops (swing highs/lows) but the world and his brother knows there will be orders accumulated there making them more vulnerable perhaps.
  17. BlowFish
    Im not sure you can conclude that (though may be wrong ). Within any sample 95% of the data will be within 2 standard deviations so assuming a normal distribution (market data is not normal but lets not split hairs), there is a 95% probability that any data will not be outside 2SD.
  18. BlowFish
    No need to go that far. There are three VSA threads here running into many thousand posts on the topic. The threads are dormant now but amongst the mire there are some pearls. Stear clear of tradeguider and all there over priced product and it costs nothing though investing the $50 odd bucks in the original book won't break the bank.
  19. BlowFish
    I have always thought CV 'smoother'. Though one problem is large block trades can distort them. The DAX sometimes has these particularly around expiration. So lets say you like a 500 contract bar (quite plausible for DAX) then out of the blue you get a 10,000 block tick as an off exchange trade is reported. They scale up well too. Tick charts quite often have sideways 'blocks' (or so it seems to me) if you want to easily identify these pauses they seem pretty good for that. I quite like them on the fastest time frames (or should I say at the highest rate of sampling). I agree robertm S/R is pretty easy to see on just about any chart type or periodicity. The more obvious it is (the more people playing it) the better. Of course the big question is whether it s holding when price revisits it at the hard right edge of the chart. Bar types I would like to do more work on involve market delta e.g. constant delta, delta' shift'.
  20. BlowFish
    Sure S/R are (arguably more so). They are great to see short term 'walls' of resistance. Price rejection is not 'S/R' though. It is a data sampling thing....depending on how you sample data certain things are obscured some emphasised. One of the characteristics of price rejection is that it often happens quickly and on high volume/lots of ticks (a classic Wyckoffian selling climax if you like). It's not a question of 'out performing' it's a question of what market phenomena you want to observe and what you want to de-emphasise through the sampling process. Incidentally if your performance is better with constant tick charts more power to your elbow but it is a non sequitor to suggest that it is the charts performance. A more interesting comparison perhaps is constant volume charts vs tick charts, they are much more analogous. The constant tick chart tends to emphasise what the small lot traders are up to (if that is your interest) as a 1 lot tick has the same emphasis as a 500 lot tick. have you guys looked at constant volume charts? Why do you prefer constant tick over them?
  21. BlowFish
    You fill out a form W8-BEN and pay tax in the UK. (search on that term and it will tell you more). Currency conversion will vary broker to broker, my main one is Interactive Brokers. They maintain a 'base' currency plus you have a balance in any other currencies you trade in. You can move funds between them through there platform (at the live market rate). It's pretty darn flexible. http://www.interactivebrokers.com/en/accounts/universalAccount.php?ib_entity=llc Can't really think of any advantages starting out in the UK but it's pretty much a global market evaluate the offerings without too much regard to the territory. (Though you want to know you can get adequate support here in the UK).
  22. BlowFish
    Good find. I have always though Peratos principle a good rule of thumb (80:20) most of these are close. Oanda seems to be a rare exception to the 'rule'. They always had a good reputation way back but I recall people having some difficulties a while back. One has to wonder about the reporting criteria, presumably the account has to be 'active' for the period in question for example. Do 'free' accounts (e.g. the ones that the broker will fund with $100 for you) count? etc. The real big question (I guess) is of those that are profitable, how many are 'marginal' (of course marginal is a pretty vague term).
  23. BlowFish
    It's very easy to do statistical analysis on gaps. Either use your favourite charting package or if it's scripting language is beyond you, use excel. Rather than rely on some 5th hand rules based on some nebulous 'research' done when the pit session was the only game in town, see for yourself what is 'best', that is my number one rule Opening gaps, opening range break outs, globex highs lows....even 'floor' pivots are all simple to test and can form the basis of a robust strategy. There really is no excuse for not doing the work yourself or if you really do want to rely on someone else (why?), pick someone that at least appears to have done it (or verified it) themselves. Someone that present rigorous test results with a robust (and obviously well documented) test procedure.
  24. BlowFish
    Horses for courses. If for example you want to see 'price rejection' at a level I still like time base charts. Holding ticks volume or range constant tends to obscure this information. Actually that is not completely true if you can display a time histogram on your charts. e.g A constant volume chart with a time histogram at the bottom shows these events well.
  25. BlowFish
    Tams has pretty much said this but what you require is not 'repositioning'. You need to completely recalculate the curve to fit the points.....it will be unlikely to be a moving average after this. I am not sure what curve fitting algorithm will suit your purpose, I seem to recall NURBS (Non-uniform rational basis spline) being popular. (This does surface too). Non-Linear regression or least squares would be good search terms too.
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