darthtrader

Steenbarger made a good point in reference to #3. If you gave people a system that is guaranteed to make 40% a year, but it only trades 4 times a year and only holds each trade for a half hour, most people would tinker with the system and ruin it. Its not because people want to make the system more complex, its because trading is filling a "need" outside of making money and you wouldn't know what to do with your time waiting for the system to trade. While an extreme example its good to think about as far as keeping things in perspective and what the goal truely is. As far as keeping things simple, I think this idea gets confused with keeping things simplistic. You obviously want to cut the fat and use occam's razor when judging a trading idea but that doesn't mean that keeping things simplistic is the optimal way to view a trading strategy against something as complex as the markets.

I would suggest just jumping in and altering photos. If there is anyway you can downgrade back to photoshop 4 it might be easier too. IMO there really hasn't been anything to add to the program since then, all the new features after that are pretty niche. Tools to focus on are lasso/rectangle selector thing, understanding layers, eraser, color balance, levels...then more advanced..dodge/burn tool, layer blending options, using pathes to select/delete parts of an image. You can pretty much do anything to a photo with just those when you start combining them. Painting is a whole other story. I have no talent with drawing so I've never bothered. Like this stuff is just mind blowing http://youtube.com/watch?v=8K_NQe57C-k

ahh good stuff, FuturesTrader71 is the guy on elite. This thread "Market Depth patterns" is pretty interesting. He made a great point as far as recording the entire session with camtasia with the tape and DOM up and then going over it again after the market with the chart. From my experience with the tape is to just have patience, I still really get nothing from it after a year of trying but I haven't worked that hard with it. I wouldn't really waste much time with learning materials outside of screen time, that Hubert quote is probly spot on.

Dr Brett just did a great webinar I would highly recommend watching and absorbing the parts up until he starts talking about specific patterns. http://ioamt.com/media/videos/brett/brettapril24/brettapril24.html His advice is to start out by simply looking at tons of charts and learning to idenity a range. Then use the common tools(price/volume, candle sticks, whatever) to either trade breakouts from a range or to fade a reversion from the top/bottom of a range. If I had to start over again I would start from the beginning of his blog and read all 1500 posts in order, googling what you don't understand along the way. Then maybe half way through read Enhancing Trader Performance. http://traderfeed.blogspot.com/search?updated-min=2005-01-01T00%3A00%3A00-06%3A00&updated-max=2006-01-01T00%3A00%3A00-06%3A00&max-results=33 At some point spend 50 a month on a DTN iq feed and use Ninja Trader to paper trade SPY. Put on paper trades in 100 trade blocks of various techniques until you find one that works for you. Once you find one that seems to work put on another 500 paper trades to make sure it wasn't just luck. Keep detailed metrics/journal of each trade and figure out what went wrong or right. The biggest thing though I think is if you can't envision yourself trading for your main income in 5-10 years then your just wasting your time. You will get knocked down and if you don't have those kind of goals one of the knock downs will KO you.

very cool. I look forward to reading your future blog post on this subject too.

Just some general R resources before I lose them. RExcel is probly the way to go at this level. You can basically either use R within excel or read and write excel files directly in R. Should be able to get R doing real time market stuff with a data providers DDE link with this. http://sunsite.univie.ac.at/rcom/server/doc/RExcel.html Good R learning resource http://www.mayin.org/ajayshah/KB/R/index.html http://www.agr.kuleuven.ac.be/vakken/statisticsbyR/ good financial stuff in R http://www.burns-stat.com/ charts for R http://addictedtor.free.fr/graphiques/RGraphGallery.php?graph=65 financial engineering stuff http://www.rmetrics.org/

Well I have already given up on Rapidminer. While extremely interesting there simply is no way documentation wise that someone with no background in stats/data mining is going to be able to get up to speed with it. R is a different story having entire series of textbooks written on its use from introductory stats to extremely complex stuff. I've just ordered this textbook which sounded like a good way to get up to speed on the various mining algorithms Data Mining: Concepts and Techniques, 2nd ed http://www.amazon.com/Data-Mining-Second-Techniques-Management/dp/1558609016/ref=pd_sim_b_3 I'm still trying to figure out what R book to go with but this one sounds pretty nice, focusing on working code and available data sets to learn R with. http://www.amazon.com/Statistics-Introduction-Michael-J-Crawley/dp/0470022981/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1209041520&sr=1-1

Well, this is easily the strangest book in my entire library. I had bought this book almost immediately when it came out. I tried to read a few chapters the first day I got it and it basically sat on the shelf since that day. My intial opinion was that it was complete and utter garbage having nothing at all to do with the title. Having recently started to get into data mining I ran across mention of it in a thread, opened up it tonight and completely ripped through half of it in awe. The problem with this book is the title really should be in quotes as the author is essentially proposing a new form of technical analysis based on data mining and statistical inference as opposed to showing what traditional chart patterns or what not have positive expectancy. A more honest title would be "data mining and statistical inference of financial data for dummies". As far as trading wisdom there really is none, if you embrace the concepts of this book it basically is setting out on a path of much learning and down a very different road from traditional TA. What I found quite interesting is that it brought together alot of things I found in this area from different sources in one book. Data mining traps and what to watch out for, the importance of judging your results against a random system....In all though it really is more of a philosophy book with a stats primer. If you trade purely discretionary this book will be utterly worthless. Even for alot of systems trading it may be totally worthless. If your open to the idea of setting off on a new course though of basically leveraging what the computer is good at and what your brain is good it this may be worth several times its weight in gold but an incredible amount of work lays ahead if you embrace the concept of "EBTA". I'm pretty much sold on the concept.

great rundown, the create custom series stuff sounds really amazing. In another thread i've mentioned i've been looking for a tick database solution but it really seems stupid to not go with this or open quant. I guess I'm really going to have to just take the plunge and buy this program. The biggest selling point to me is I've never once read about anyone who has taken the plunge and regretted it. Its always the same story like this... I know deep down part of my problem with it is that its not using .net's beautifull anti aliased charts like ninja but even there I would imagine there could be a work around. Not to mention thats an extremely irrational reason to not use something. thanks a bunch

I might have to just buy Neoticker at some point. I've read its pretty hard to top as far as its database goes. Still the only issue is see with that is running into something where you want to change software down the road and have this massive database of tick data that can't be converted and would cost far too much to buy. In the meantime I'm just going with flat csv files and will progress as needed. From what i've read about sql is that its just overkill on the overhead and not really ment for time series data. This DB was mentioned on elite, its for storing massive amounts of scientific data and might be interesting, free and open source. http://www.hdfgroup.org/products/index.html

Here is possibly an even better piece of software. http://rattle.togaware.com/ Its basically a java GUI built on top of R. Sounds like it makes it easy to explore various mining algorithms but then also spits out R code to learn from once you want to progress beyond whats already been built.

From the thread that brownsfan and I posted in about Steenbarger and his volume/days range stuff until now I've stumbled across some AMAZING stuff in this area. To program alot of this stuff in stock software is to reinvent the wheel. This interesting thread came up on Elite that mentions Rapidminer. http://elitetrader.com/vb/showthread.php?s=&threadid=117361 In trying to find information about it I finally installed and actually loaded some YM data into the heavy weight open source statistical computing environment, R. Its amazing how simple it makes tasks that are far beyond most stock software analysis wise. Here is an entire course on data mining with R http://www.stats202.com/ The videos for the class are all up on google video if you search for data mining + long format. This is an entire free book on data mining with R, 2 different hands on projects and one is a forecast for IBM stock prices using nets. http://www.liaad.up.pt/~ltorgo/DataMiningWithR/ this has a 5 part video tutorial on using Rapidminer: http://www.neuralmarkettrends.com/tutorials/ Jerry in that elite thread had a project idea for rapidminer and I had just sent him a message inviting him to bring it to TL. The premium section here would be quite an ideal place for such results. is anyone else interested in this stuff? While I'm not interested in "prediction" it just seems like a huge waste of time to not use these tools to find relationships that would take years of experience to uncover(if ever).

hey brownsfan, I think the ultimate for this stuff would be able to do it on a basket of actual stocks. That might be a little harder on S&P but for using it against on YM that really shouldn't be much of an issue. I wouldn't doubt alot of what would mess things up with SPY is how much volume is arbitrage against the underlieing. today he has a cool post too that would make an interesting indicator. http://traderfeed.blogspot.com/2008/04/volume-in-stock-index-futures-market_17.html Plot the volume and range on a 15 minute chart, then take some kind of moving window to get an average 15 minute volume to guage if we are above or below "normal" volume.

I think if I had to pick one thing information wise to take to a desert Island I would just take his blog. His website also has alot of good stuff, just older. http://www.brettsteenbarger.com/articles.htm tons of good stuff in his weblog there too as text files. http://www.brettsteenbarger.com/weblog.htm

I think this is where you really want to learn some basic VBA if you really want to work with excel like this. I've been contemplating this but just haven't got around to learning it. For a straight out spreadsheet it shouldn't be too bad though, just alot of columns. Subtract A2 from A1 to get the 15 minute change in price. Once you have those make the columns for all the correlations and use the CORREL function , ie =CORREL(A1:A27, B1:B27). Once you have those make one more column, add the six correlation values across and divide by 6.

Dr. Brett had an interesting post tonight and I was reading on some of his ideas as far as anticipation of the days volatility. I tried to go through tonight and compare the first half hour volume on SPY to the days range. I'm still kind of dumb with stats but it yields a correlation of 0.42554671 testing from the start of the year until today. I'm not sure i'm reading this scatter plot correctly(i normalized spy range for another chart) but I think it looks pretty interesting. Basically, that if you have small volume in the first half hour(average volume range over the period was around 3 million) there is a good chance we will have a somewhat narrow range day and it probly makes sense to be looking to fade ranges. On a high volume day in the opening range you get virtually all the big range days but far more unpredictable as far as the range being small or large. Might be a good bias to try out as far as fading vs looking for the breakout. Dr Brett made an interesting market profile point that larger than normal volume at the open probly points to other time frame participation. I would like to try to add the VIX into this. For you guys with stat knowledge would a multiple regression be the thing to learn for doing this with 3 different sets of data?

I really doubt they are going to change this.I really don't see how its less convient and if anything it makes things more modular. You maintain your indicators and then call them within a strategy..if you figure out down the line a better way to do indicator X, updating every strategy that uses indicator X is nothing more than changing indicator X one time, viola. There is nothing stopping you from writing everything in strategies though and you would have what you want, but like i said that would seem more of a pain IMO.

While I agree completely with this article, I think the biggest reason 90% of traders fail is that 90%+ of the information/tools at the retail level is complete garbage. I'm even starting to question the value of time series analysis of market prices period. The market price may as well just be viewed as an inference, then if market price is at X at noon, no one is going to buy or sell because the the clock now says 12:15. Now take a smoothed representation of this data over time with a moving average, then take a windowed snapshot of the moving average and package it as an indicator. This indicator then has abstracted so far away from what is actually going on in the double auction that you have lost information instead of gaining any. This doesn't mean though that you can't summerize the tape/DOM in order to cover more markets and gain information. How to do that though I'm not exactly sure of yet but I believe it probly requires taking a step back and rethinking the way that our tools have evolved.

gooni, I wonder if you could give a run down on how you use neoticker as far as what you do with it that you wouldn't be able to do with other software? While it seems like there is alot of amazing stuff for it(if Ninja can't copy the custom TICK16 stuff in 7 i'm going to look into Neo just for that) the whole program feels so clunky and spaghetti like to me. My biggest issue from trying the demo is that without a massive rewrite that they might eventually get dusted by Ninja or Openquant if Openquant ever decides to hire some writers to actually document the damn program or Ninja gets a database up to snuff with openquant/neo.

I'm not really sure what you mean? If you create an indicator you can call it directly in a strategy and you can also create your own library of custom functions/methods to call(user defined methods in the indicator lib). To me its just a matter of time, it seems like anything can be done but its just a matter of waiting for Ninja to impliment it directly if you don'twant to roll your own work around in c sharp. 7.0 is sopposed to be out at the end of the year and sounds amazing, multi instrument stuff for plotting several series on the same chart in the same window, historic bid/ask..Seems like 7.0 is when it should really come of age.

Ahh, I actually read Trading and Exchanges quite awhile ago but really need to read it again as I was too much of a newb at the time to really get much from it other than the concept of "front running". Sorry if some of these don't work, it seems the paper download changes pretty quick to having to pay for it. If one does change it seems pretty easy to find the paper with google by just search for the title. I thought this was an interesting comparison between double action markets and bookmakers, which i think might be relevant between specialist/market makers vs ECN The Double-Auction Gambling Market: An Experimental Examination http://www.encyclopedia.com/doc/1G1-167304929.html I just ordered a new printer and haven't really felt like getting too deep into reading the PDfs. Here is more, I didn't think this post went through intially. An Empirical Behavioral Model of Liquidity and Volatility http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1011403 A Simulation Analysis of the Microstructure of Double Auction Markets http://papers.ssrn.com/sol3/papers.cfm?abstract_id=841608 What Pieces of Limit Order Book Information Matter in Explaining the Behavior of Aggressive and Patient Traders? http://papers.ssrn.com/sol3/papers.cfm?abstract_id=489508 Understanding Order Flow http://papers.ssrn.com/sol3/papers.cfm?abstract_id=842482 Analysis of Limit Order Book and Order Flow http://papers.ssrn.com/sol3/papers.cfm?abstract_id=488422 Liquidity, Size and Cycle of Order Flow http://papers.ssrn.com/sol3/papers.cfm?abstract_id=621441 Stock Market Return, Order Flow and Financial Market Linkages http://papers.ssrn.com/sol3/papers.cfm?abstract_id=965649 Momentum Profitability and Market Trend: Evidence from Reits http://papers.ssrn.com/sol3/papers.cfm?abstract_id=872604 Andrew Lo's site has a really interesting paper on long portfolios using leverage, 130% long and 30% short... 130/30: The New Long-Only http://web.mit.edu/alo/www/

The Ninjatrader quest for world domination continues... http://www.ninjatrader-support.com/vb/showthread.php?p=35427#post35427 This is pretty much now totally free MP if you have a compatible Ninja data feed. I'm sure it will get better as its hacked with too.

I've been finding some pretty interesting stuff in the academic research paper basement...If anyone else finds research papers along the lines that would fit in the trading style of most people here please post in this thread(ie. not real interested in exotic derivative type research). Some this stuff is quite math heavy and I've only printed out a few to actually read over but probly worth a look. Forecasting in Continuous Double Auction http://papers.ssrn.com/sol3/papers.cfm?abstract_id=924760 Does The Option to Cancel an Order in a Double Auction Market Matter? http://papers.ssrn.com/sol3/papers.cfm?abstract_id=292152 Probabilistic Properties of the Continuous Double Auction http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1107114PaperDownload

I don't really see the point in this debate. I'm not really interested in candles or VSA actually. To me a good analogy is between a BMW, a Mercedes and a Lexus in the same price range. The Mercedes and Lexus may as well have no value to me because I would never buy one over a BMW. However, that hardly means that a Mercedes or Lexus are "worthless". All 3 will roughly accomplish the exact same goal, just a matter of style and personal taste.

ioamt.com appears to be down at the moment.