Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Why do you say it's a matter of a few ticks? From my understanding of pivot points, they're when the ...

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Old Aug 5, 2010, 12:17am   #316
 
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Re: Deadline June

Adamus started this thread Why do you say it's a matter of a few ticks? From my understanding of pivot points, they're when the high price is greater than the high price of the four previous bars, and greater also than the high price of the subsequent two bars and the opposite for a support pivot.

The mechanism I adopted is just to go short after a resistance pivot, and long after a support pivot, and then to put the stop at the pivot for a loss, and to aim for a target the same distance in the other direction.

What do you mean by 'touching a pivot on the way down'? You use previous pivots as the target?

I guess it's a matter of the difference between programming in a spreadsheet and programming a script.
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Old Aug 5, 2010, 1:35am   #317
 
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Re: Deadline June

Adamus started this thread Here's the combined equity curve for the low frequency pivot point system on 9 currencies - I always look at 10 but EUR-CHF performance here was outrageously bad, an order of magnitude worse than the other 9, so I ditched it. I include 3 currencies that weren't profitable over 10 years after transaction costs, but aren't so bad. So shall I trade it? Hmmm.
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Old Aug 5, 2010, 6:58am   #318
 
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Re: Deadline June

1) On the way down:
from a higher level of price to a lower level of price.

2) difference of a few ticks, requiring surgical precision:
If you don't have the right forex data you'll come up with the wrong pivots (and top of it you're measuring pivots on forex and you're trading futures which further complicated things)

3) using a pivot line as a target level:
As I said, I (would) use it a both a loss and target level ("bracket order"), but not from a pivot line to another, only half way, which means between the two lines.

Yes, I use code to program and back-test: I don't do back-testing in a graphical way. Nor would I automate such a system in a graphical way. I am always talking about code.
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Old Aug 9, 2010, 2:07pm   #319
 
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Re: Deadline June

Adamus started this thread
Quote:
Originally Posted by travis View Post
I couldn't get the pivots to work from an automated point of view. But I believe - with a good enough programmer and perfect forex data - they would produce money on the EUR forex. I saw them bouncing on the EUR forex (not the future) too often for it to be a coincidence. But I can't even dream of programming this, because it's too complicated. You know, it's a matter of few ticks, so your data has to be perfect. If I tried doing this, it would be like performing surgery on a moving car.

The way I'd go about it is:
1) if price is somewhat oversold, and we touch a pivot point on our way down, insert a bracket order and exit half way to the next higher pivot (with a gain) or half way to next lower pivot (with a loss).
2) viceversa for a short trade.
Quote:
Originally Posted by travis View Post
1) On the way down:
from a higher level of price to a lower level of price.

2) difference of a few ticks, requiring surgical precision:
If you don't have the right forex data you'll come up with the wrong pivots (and top of it you're measuring pivots on forex and you're trading futures which further complicated things)

3) using a pivot line as a target level:
As I said, I (would) use it a both a loss and target level ("bracket order"), but not from a pivot line to another, only half way, which means between the two lines.

Yes, I use code to program and back-test: I don't do back-testing in a graphical way. Nor would I automate such a system in a graphical way. I am always talking about code.
OK, if we're going discuss this seriously, I have to define a few terms.

Pivot points can be resistance, when the price has turned down, the most recent highest high is the pivot point. When it turned up, the lowest low is the support pivot point.

So when you say, "touch a pivot point on the way down" you mean, going through a support pivot point as the price falls, correct? My perception of what to do with pivots is coloured by coding the pivot indicator on the attached chart - so I'm not thinking about anything but the latest pivot as it forms behind the price, and when it does, I'd enter in the direction of the market with the pivot as the stop loss, and a target set the same distance away from the price as the stop is.

PS the chart shows pivot lines which start on the bar after the actual pivot point and continue until the next pivot on the same side of the market is formed.
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Old Aug 9, 2010, 2:19pm   #320
 
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Re: Deadline June

Yeah, that's a correct interpretation of my point, even though I'd phrase it differently, and change this:
"going through a support pivot point as the price falls"

into this:
"touching a support pivot point as the price falls"

I'd do something similar to what you say, but I'd place the stoploss much lower than the pivot point, and the takeprofit half way between the support pivot and the next (resistance) pivot.

But as I said, this cannot be programmed by me, because I am not good enough. I can't get the right data, I can't get the right formula. Here we're talking about a surgical type of trading and back-testing this without surgical precision (which I don't have) would be a waste of time. I've tried it before and with disappointing results, not because the idea doesn't work but because there's no way to verify it with my limited programming skills - and limited data, since you need top quality forex data for the EUR pivots to work - the others work less. I could show you on a chart how well they work, but I couldn't trade them discretionary because I am not patient enough to wait for the pivot point to be reached. And as I said I can neither back-test them nor (as a consequence) automate them. So for now forget pivots.

Unless of course you have a way of doing it, and in that case I want a percentage because I gave you the idea and I own the whole pivot concept - anyone making money from pivots will have to give me a percentage from now on.

Actually it was Gladiator who told me to give pivots a chance, and I did, and he was right to insist, because he made me realize they work. So you owe him a percentage as well.
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Old Aug 9, 2010, 2:36pm   #321
 
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Re: Deadline June

Adamus started this thread OK, I'll add on your percentage and his percentage to the backtesting slippage and commission and see whether it ever makes a profit after that.

So why the need for so much precision? What makes this algorithm any different from any other indicator?
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Old Aug 9, 2010, 2:59pm   #322
 
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Re: Deadline June

You're trading it on the CME future but measuring it on the Forex. And that's the first problem. The second problem is: what if you don't have the right forex data for some reason (even timeframe alone affects it)? I mean, if you just move the close by one hour you're going to get totally different pivots. I think your best bet is download data from the very data provider you'll be using to trade the system, which is IB. Then you should just pretend you'll trade the forex and forget about getting the signals from one chart and executing them on another. But when you'll execute it live, you will still need to get the pivots from the forex rather than from the future.

One more problem is getting the formula right. I am bad with formulas I know. And this may be a small problem for anyone else. But I don't even know what formula IB uses to calculate them. What I do know is that they seem to work on their chart (forex data). Let me show you the last 2 weeks for example (no hindsight, because I still haven't even looked at them):

red_circles_where_they_worked.jpg

I marked with red circles where they seem to have worked.

If you can get past these problems, I am pretty sure you can get them to give you an edge, regardless of how small it is. You see, i think that pivots are best when automated because patience is the most important requirement to trade them.

Maybe it's time for me to get involved in this before you get too far. I would like to be there when our share of profits materializes. Would you like to work on this together? On msn or skype?

Steps:

1) Download the last 2 weeks of data from IB and devise a formula to draw pivots on them, so that it matches completely the lines drawn by IB on the chart. The data we need is on a 5 minute timeframe. See example below:

20100805.jpg

2) Once we have a pivot formula that matches the chart, we can start the back-testing process and find a profitable formula (always all on forex data).

3) Once we have a profitable formula we download another 2 weeks from IB and see if it works on them. Then we start the process of automating the system, which will vary depending what platform we use.

4) Once we start making the money, we start the wiring process. You wire it to me, and I wire it to Gladiator. He then wires it to whoever told him that pivots work. In case of losses, we both sue Gladiator.

Ok, I am starting by downloading the data, since you're not replying.
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Last edited by travis; Aug 9, 2010 at 3:44pm.
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