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BlowFish
Market Wizard-
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Everything posted by BlowFish
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Having said that I think there are probably some fundamental truths about 'price action', proponents seem to end up in a similar (if not the same) place. After all for price to go up it must make higher highs and, unless it is megaphoning , higher lows. For it to stop. that behaviour must cease. I enjoy the charts too Marko .
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Coding Cumulative Delta & Volume Delta Indicators for Multicharts
BlowFish replied to tucciotrader's topic in Coding Forum
It still appeared to be there a couple of months ago. bestbid & bestask are non starters for this sort of thing (they peek at current best bid and best ask not the value it was when the tick occurred). Most of the code out there (including stuff I have posted) use that approach. Using multiple data streams appear to have odd sequencing issues now and then. From what I understand it can not be guaranteed that all processing in every study in every chart is done for tick n before tick n=1 gets some attention. It's all a bit tricky as ticks can occur at exactly the same time. I dunno all I can say is that I wrote some logging stuff and there where rather too many anomalies for me to be completely happy. -
Trading with Market Statistics. IV Standard Deviation
BlowFish replied to jperl's topic in Market Profile
Not too sure - they should be fine, of course they will only plot if you have data in the chart. -
Looking for Multicharts Code to Deal with VWAP, SDs and PVP
BlowFish replied to tucciotrader's topic in Coding Forum
Indeed you should or better sill post the code in the indicator section here. -
Trading with Market Statistics. IV Standard Deviation
BlowFish replied to jperl's topic in Market Profile
Yes I have, however as there is a working copy published in the indicator section and because I think the algorithms I developed have some intrinsic value I decided not to publish them. (though you will find some of my code in dbntinas PVP indicator anyway:)) -
Coding Cumulative Delta & Volume Delta Indicators for Multicharts
BlowFish replied to tucciotrader's topic in Coding Forum
It can not be done accurately with easy laguage. There are some architectural issues with multicharts that I have made Tssupport aware of. I wrote some code that you will find in the volume splitter thread that 'works' with this caveat. -
Trading with Market Statistics. IV Standard Deviation
BlowFish replied to jperl's topic in Market Profile
Have a look in the indicator section for some code by dbntina. -
Looking for Al Brooks Videos...Please Help.....
BlowFish replied to R.P.G.'s topic in Technical Analysis
I think most where posted on the Al Brooks thread here too. -
Because I am not interested in modelling portfolio risk. If I was, there are much much easier ways that are more than adequate. I would caution anyone from dicking around with modelling tools unless they have a very clear and well defined purpose. One of the reasons that traders never get going (let alone fail) is that they do not work purposefully towards specific goals or the goals are not actually appropriate to advance them along the path to 'successful trading' I do wonder if you really are familiar with these tools (to be honest it doesn't sound like it)? Your "waiting 10-20 years" comment is nonsense, R is open source so it's all available now and guess what? ... if you use a licensed copy of Matlab MathWorks will provide details of algorithms and even chunks of source code. As I asked before I am interested in what you are using Matlab / R for?
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Trading with Market Statistics VII. Breakout Trades at the PVP
BlowFish replied to jperl's topic in Market Profile
If you go through the threads Jerry has answered my questions on this subject on a couple of occasions. There are a couple of scenarios that cause it that result in price continuing in the original direction. If the 'base' that price comes from is not within your data sample you can get PVP leapfrogging the PVP and price trending on. This can quite often happen on days where price just trends from the open. This is one of the issues with using Persons approximation. -
Or embed in " [/endcode]". That makes it easy for multicharts and OEC users too.
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Actually there is another intervening (crucial) step and that is to concider how you might take potential trades based on what the forecast MACD is. The output from this would presumably go into your equity net?
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Nice to see a new thread by the chimp, missed your participation when you decided to take private students.
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Ahh OK It sounded as if you had an issue with Pearsons approximation. Again I don't think anyone is suggesting that 'volume has anything to do with the return distribution of markets' it is a very useful metric if you know what it represents and how to use it. Weighting by volume makes complete sense if you think 10 trading at price p carries more weight that 1 trading at price p. It obviously makes sense to use as a benchmark for anyone wanting to judge a traders performance (the price the trader got for their lots vs the average price for the total sample). There really is no other 'fair' way to do that if you are price motivated. Of course if you are time motivated you might use TWAP. Between you me and the gatepost, Im inclined to agree about random walk but didn't really want to be the torch bearer on this occasion
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Nope, friend sent a link and I had a quick look - pretty interesting. Not sure it has reached 'critical mass' and so developed a life of its own yet.
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Having said that Pearsons contribution in the field have been pretty worthwhile imho. I am not sure anyone is 'education people' that his is the same as the skew. It is simply a quick and dirty. Determining 3 central moments of a weighted distribution with a continuous algorithm is a very tricky problem. Very. If you are happy to use an iterative approach it is fairly trivial of course and that option is always open to you. So you have two choices, use one of Pearsons approximations or use an algorithm that does not scale with large data sets.
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That's a whole can of worms opened right there! I'm going to say nothing more than that is quite an assumption.
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Maybe flat binary files with 'tree' like pointers into them. So you might have an index of days that pointed at an index of minutes that point to an entry point in the flat file. So to load from N days back you simply look at days [N] minutes [zero] to get your entry point into the flat file. intuitively that always seemed like a decent way to approach it to me.
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An observation. One only needs a positive expectancy after commission and slippage to succeed. Most instruments a single tick actually nets a profit. Sure the bank will take a higher amount on a percentage basis but you get your chunk too. I am not commenting on whether 'scalping' is a good way to trade but it certainly is a way. Personally, I would not really think of someone trading 4 or 5 times a day for a couple of points a 'scalper'. This is a part of trading that a trader has complete control over, the instrument they trade, and the size of swing they target, the average time they hold will be dictated by the swings they are targeting. Of course capital risk and personal objectives will all influence this observation. It is certainly worth giving some serious consideration to but I don't think there is a one size fits all.
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This was explained to him in the other thread. Incidentally I suspect if you where making 4.9 PA in a prop shop you would be booted. (Unless it is one that makes all there money on commission and fees). James, founder of TL and a prop trader said Risk control is fairly strict. Any down month and you are likely to be suspended or even fired from the position. Other people that work prop have told me similar (though here are various different models out there). Of course if MM acknowledges that there are traders that make money consistently then he has to acknowledge the existence of 'edges'. Actually it doesn't really matter how profitable a trader is, if there expectancy is positive they have an edge. MM has fallen strangely silent on that though.
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Irrelevant. A fund is not 'a trader'. Just because a fund employs traders does not make it 'a trader'. Funds have all sorts of restrictions from the prospectus through the issue of remaining invested to liquidity issues getting in and out of positions worth billions. People all ready pointed that out to you on he other thread. Talk to some traders from prop shops or boutiques.
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Have you raises it with there support guys?
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Perhaps try a smaller stake, something almost trivially small. Mark Douglas suggests an exercise in his first book (might be repeated in Trading in the Zone....can't remember off hand). Very simple but important to do it right. It involves taking a fixed number of trades come what may. This might interest you. I used a Java web app so I'm taking the maths on trust. successRate = 0.31 (this is the chance of taking a [i]loss[/i]) numGames = 50 streakLen = 3 (at least) games | probability | odds | ------+-------------+------------+ 3 | .0297910000 | 1 in 33.57 | 4 | .0503467900 | 1 in 19.86 | 5 | .0709025800 | 1 in 14.10 | 6 | .0914583700 | 1 in 10.93 | 7 | .1114017825 | 1 in 8.98 | 8 | .1309226544 | 1 in 7.64 | 9 | .1500209859 | 1 in 6.67 | ------+-------------+------------+ 10 | .1686967768 | 1 in 5.93 | 11 | .1869626152 | 1 in 5.35 | 12 | .2048271866 | 1 in 4.88 | 13 | .2222991767 | 1 in 4.50 | 14 | .2393872712 | 1 in 4.18 | 15 | .2560998969 | 1 in 3.90 | 16 | .2724453023 | 1 in 3.67 | 17 | .2884315571 | 1 in 3.47 | 18 | .3040665526 | 1 in 3.29 | 19 | .3193580069 | 1 in 3.13 | ------+-------------+------------+ 20 | .3343134685 | 1 in 2.99 | 21 | .3489403200 | 1 in 2.87 | 22 | .3632457818 | 1 in 2.75 | 23 | .3772369157 | 1 in 2.65 | 24 | .3909206282 | 1 in 2.56 | 25 | .4043036743 | 1 in 2.47 | 26 | .4173926603 | 1 in 2.40 | 27 | .4301940474 | 1 in 2.32 | 28 | .4427141551 | 1 in 2.26 | 29 | .4549591637 | 1 in 2.20 | ------+-------------+------------+
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I try not to hastily jump to conclusions in fact I would suggest it is you that is prone to promulgate ideas based on your own experiences of trading or 'plucked out of thin air' as Nate points out. Some of these ideas are not only plain wrong they are dangerously so. There are plenty of small hedge funds, prop traders and yes retail traders that make a whole order of magnitude more than. The example Nate produced was the first he stumbled upon. Anyway I thought we where talking about edges. Actually I guess that is pretty pointless if you believe they are as rare as unicorns.
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You said 15% per year is an awesome return and would put you in the top .1% of all traders on the race thread. Perhaps you forgot? I can't quite see how I misrepresented you. I think we agree in what an edge is, a positive expectancy. You also keep saying that finding an edge is pretty much impossible. Without an edge you can not possibly hope to make money unless you have a couple of lucky rolls and quit well before probability and the law of large numbers does its job (emptying your account). Going back to the point about trading intuitively...that can be considered an edge. In this instance you would need enough data (live trades) to statistically determine the nature of your edge. Another reason it is particularly hard (hugely) to employ an intuitive approach when starting out. There are loads of methods and systems that provide an edge, actually a somewhat better edge than a casinos (though some games like baccarat and certain craps propositions are quite high expectancy for the bank). In short. Finding an edge.....trivial. Applying an edge consistently ... difficult. Grail hunting....recipe for failure.