[UrmaBlume]

The idea is to calculated an index of weighted biases from higher time/volume frames, store/map them as global variables and then access them from a lower time/volume frame where structure allows more precise entries and closer stops.

A bias can be as simple as a faster moving average being above or below a slower moving average.

In the case demonstrated below we take 24 inputs from higher time frames such as Jurik smoothed measure of price, net commercial trade and the balance of trade along with MACD's and rates of change on those same data series and several others.

We optimize the settings on each of these indicators and then asign a bias of +1 or -1 to each of the 24 inputs. We then run further optimizations to find the most suitable weight for each of the 24 inputs. The sum of those weights for an 8k chart in the ES is shown below.

This is one of the very few places were traditional processing such as MACE and Rate of Change can be of use and where there are many, many combinations of biases and time frames than can produce profitable results in almost any market.

This chart shows the first 4 1/2 hours of trading today 7/16/2009.

[N57H]

Could you post the indicator please?

[dandxg]

Thank you UB for sharing you wisdom and insight.

[ramora]

Great post and screen shot!

Since you are open to questions, what are the 24 inputs that created that screen?



Thank you again for all of your posts.

[UrmaBlume]

Originally Posted by ramora »

Great post and screen shot!
Since you are open to questions, what are the 24 inputs that created that screen? Thank you again for all of your posts.

Thank you very much for the kind words.

Each of the 24 inputs was either precisely described or strongly hinted in the OP.

The idea is that there are many, many ways to read higher time frame bias and bring the power of that bias down to where you execute.

My 24 inputs are but some of the infinite number of combinations of inputs, settings, weights and time frames that will produce profits from the basic formulation protocol defined in the OP.

It's the best combination treasure hunt and video game around.

Enjoy, and thanks again for the kind words.

[atto]

I don't use indicators in my own trading, but come from a Math background, so this stuff is interesting. What was your sample size of the data you optimized for?

Mind posting today's as well? As you know, it's quite easy to cherry pick any technical indicator/setup so it looks amazing (not saying you did). Thanks.

[insideday]

@Urma

What is the highest timeframe for that calculation of the GV?

[UrmaBlume]

Originally Posted by atto »

I don't use indicators in my own trading, but come from a Math background, so this stuff is interesting. What was your sample size of the data you optimized for? Mind posting today's as well? As you know, it's quite easy to cherry pick any technical indicator/setup so it looks amazing (not saying you did). Thanks.

1. Sample size was the most recent 50,000 8k day session bars.

2. Today's charts are posted in 3 different time frames, not as smoth as yesterday - but still plenty of room to make a buck.

3. I didn't cherry pick, I only posted the most recent data as you can see from the time stamps on both the post and the chart, I am PST.

cheers


PS - these are the charts we use for training - not for trading.