Program Trading: Trade Entry

[Glenn]

I was thinking slightly differently
i.e. that initially all we need to do is test a variety of indicators using INDU data to see which gives the best result. i.e. the earliest Entry signals. At any turning point they will all give a signal at some stage, so the earliest would seem to be the winner.

Glenn,

Is this really the case or is it too simple? The ultimate test is profitability and an early signal may provide a worse outcome than a later one. If the mkt goes against you before turning in the direction you desire you might get stopped out. A later entry may have been "better". That will of course depend on your stop policy. If you shortlist your indicators on this basis and then move on to more realistic trading involving stops and targets (maybe I've missed this in the earlier posts but I can't remember seeing any discussion of exit strategies either) you may find you have eliminated the "best" indicator too early. So it depends on how it is planned to move on to the next stage. Measures of effectiveness are a bit of a minefield in system simulations. Sorry if that sounds a bit "Jonah-ish" - happy to be shown to be wrong.

Al

Al
This is how I see it.
Firstly I believe that we are only using the INDU as the Entry trigger. If I'm wrong, someone tell me.
The exits will be managed for each stock using a stop-loss and profit target, plus any scaling out mechanism. Once positions are open, the trade is not managed using INDU analysis.

On any chart you can see the turning points in hindsight.
So if the market turned at 10 am, what time did the Mtf indicator give an entry signal ?
To minimise the risk, the entry signal needs to be as near to the turn as possible.
The indicator giving the lowest risk entries on all the market turns in the tests wins.
i.e. which indicator consistently gives the earliest signal after (or at) the precise time of each turning point.

The market direction will come from the 10,30 and 60 min INDU signals.
The entry itself will come from the 1,3,5 min INDU.

The final arbiter of when to enter has to come from the lowest timeframe (1-min) in order to minise the risk. The fact that the 3 and/or 5 min have already signalled before this or at the exact same time, is the 'confirmation'.


Glenn

 

[pedro01]

I'm with Glenn on this.

Strategy is

1 - to look for direction of the $INDU
2 - then buy/sell stronger/weaker stocks.

Part 2 is risk reduction. Part 1 is perfecting the entry point. I do think we can look at part 1 independantly of part 2. In fact, some people may want to take Part 1 & trade the Futures.

 

[Glenn]

group these indicators by the type of signals/entry rules we need to look for

Would you like Fries with that sir ?

OK here we go:-

Crossovers of two signal lines (these all appear to ignore OB and OS levels, any opinions on that ?)
Sinewave
Fisher Transform
Inverse Fisher Transform
Cyber Cycle
CG Oscillator
RVI
Stochastic RSI
Stochastic Cyber Cycle
Stochastic RVi
Fisher Stochastic CG
Fisher Stochastic RVi
Fisher Cyber Cycle
Adaptive Cyber Cycle
Adaptive CG
Adaptive RVI

Indicator crosses over an upper or lower level (e.g. 30 and 70)
Optimum predictor
RSI
Stochastic

Indicator crosses Zero on the way up or down
Adaptive RSI
Adaptive Stochastic
Adaptive CCI

Turning Points + OB and OS levels
MACCI
CCI

Crossovers + OB and OS levels
MACCI-653

If anyone disagrees with any of the above, please let us know.
Glenn

 

[Trader333]

OK this means that it is possible that we will not use the same indicator for market direction as for entry. So we could, in theory, use Macci for direction and use something like that suggested by Naeem for market entry. Is that how others see this ?


Paul

 

[Glenn]

I'm with Glenn on this.

Strategy is

1 - to look for direction of the $INDU
2 - then buy/sell stronger/weaker stocks.

Part 2 is risk reduction. Part 1 is perfecting the entry point. I do think we can look at part 1 independantly of part 2. In fact, some people may want to take Part 1 & trade the Futures.

Beggin' yer pardon sir, the risk reduction comes from the entry point, part 1, i.e. getting the lowest risk entry signal from the INDU
Glenn

 

[pedro01]

Beggin' yer pardon sir, the risk reduction comes from the entry point, part 1, i.e. getting the lowest risk entry signal from the INDU
Glenn

OK - fair enough.

Just comparing trading futures vs stocks - the stock part is further risk reduction over the futures...

 

[pedro01]

It is vital that passive members of TT to also some how participate in this research project and be awarded for it.

You need to have a research leader and also identify who is going to be given a copy of the final product..

I suggest to have a chat amongst yourselves before further development of the code because the code worth a lot of money once finished Please email me with any suggestions you got about the research work ,,

I can arrange a sub forum so that only the member of the research team can post and read the content


let me know

[email protected]

grey1

I missed this post first time around !

I do agree with your points - and will indeed initiate that conversation...

 

[pedro01]

It is vital that passive members of TT to also some how participate in this research project and be awarded for it.

You need to have a research leader and also identify who is going to be given a copy of the final product..

I suggest to have a chat amongst yourselves before further development of the code because the code worth a lot of money once finished Please email me with any suggestions you got about the research work ,,

I can arrange a sub forum so that only the member of the research team can post and read the content


let me know

[email protected]

grey1

I missed this post first time around !

I do agree with your points - and will indeed initiate that conversation...

 

[Ultramarine]

Al
This is how I see it.
Firstly I believe that we are only using the INDU as the Entry trigger. If I'm wrong, someone tell me.
The exits will be managed for each stock using a stop-loss and profit target, plus any scaling out mechanism. Once positions are open, the trade is not managed using INDU analysis.

On any chart you can see the turning points in hindsight.
So if the market turned at 10 am, what time did the Mtf indicator give an entry signal ?
To minimise the risk, the entry signal needs to be as near to the turn as possible.
The indicator giving the lowest risk entries on all the market turns in the tests wins.
i.e. which indicator consistently gives the earliest signal after (or at) the precise time of each turning point.

The market direction will come from the 10,30 and 60 min INDU signals.
The entry itself will come from the 1,3,5 min INDU.

The final arbiter of when to enter has to come from the lowest timeframe (1-min) in order to minise the risk. The fact that the 3 and/or 5 min have already signalled before this or at the exact same time, is the 'confirmation'.


Glenn

Glenn,

OK, I see what you're driving at. I had read your use of "earliest" to mean that the indicator in the lowest timeframe was predicting (leading vs. lagging indicators) the turn point whereas your last post talks of "after or at". I just have to ask you to excuse my confusion which probably results from an imbalance in blood/Sunday-night alcohol levels.

Al

 

[lote_tree]

Would you like Fries with that sir ?

OK here we go:-

Crossovers of two signal lines (these all appear to ignore OB and OS levels, any opinions on that ?)
Sinewave
Fisher Transform
Inverse Fisher Transform
Cyber Cycle
CG Oscillator
RVI
Stochastic RSI
Stochastic Cyber Cycle
Stochastic RVi
Fisher Stochastic CG
Fisher Stochastic RVi
Fisher Cyber Cycle
Adaptive Cyber Cycle
Adaptive CG
Adaptive RVI

Indicator crosses over an upper or lower level (e.g. 30 and 70)
Optimum predictor
RSI
Stochastic

Indicator crosses Zero on the way up or down
Adaptive RSI
Adaptive Stochastic
Adaptive CCI

Turning Points + OB and OS levels
MACCI
CCI

Crossovers + OB and OS levels
MACCI-653

If anyone disagrees with any of the above, please let us know.
Glenn

Glenn,

Ehler recommends taking signal crossovers when the Fisher CC, Fisher CG, and Fisher RVI cross above 2.00 for short or below -2.00 for long.

The Sinewave indicator is best used when the signal occurs at the peak or the valley of the last extreme cycle node.

The Inverse Fisher Transform when applied to RSI signals entry positions when the oscillator exceeds the +1 and -1 thresholds.

Naeem

 

[pedro01]

Would you like Fries with that sir ?

OK here we go:-

Crossovers of two signal lines (these all appear to ignore OB and OS levels, any opinions on that ?)
Sinewave
Fisher Transform
Inverse Fisher Transform
Cyber Cycle
CG Oscillator
RVI
Stochastic RSI
Stochastic Cyber Cycle
Stochastic RVi
Fisher Stochastic CG
Fisher Stochastic RVi
Fisher Cyber Cycle
Adaptive Cyber Cycle
Adaptive CG
Adaptive RVI

Indicator crosses over an upper or lower level (e.g. 30 and 70)
Optimum predictor
RSI
Stochastic

Indicator crosses Zero on the way up or down
Adaptive RSI
Adaptive Stochastic
Adaptive CCI

Turning Points + OB and OS levels
MACCI
CCI

Crossovers + OB and OS levels
MACCI-653

If anyone disagrees with any of the above, please let us know.
Glenn

Nice one !

 

[moreagr]

Hi folks
In order to select a suitable indicator for use in the auto-trader, there is a need for testing indicators and comparing the results, as you know.
It would be good to spread the effort around a few willing people so that this important aspect can be finalised.
So this post is asking for volunteers.
You will need Tradestation 8 or 2000i, a little coding ability (and help if you need it), and a live feed so that you can leave a test running during market hours.
You will get instructions on what you need to do so that everyone is doing the same thing and the results will then be easier to compare.

I think that Charlton and Pedro are comfortable for me to co-ordinate this if there are no other objections.

So come on those who can, please step forward and do your bit for the cause.
Glenn

P.S. No testers will be slaughtered in this campaign.

I am willing to help as well.... Many members here have contributed a great amount of ideas and hours of time for this...

A questions could I run a test and trade during the day?? siorry if this is a retarded question... I have barely utilitized the full power of the software.

or could I do some testing after hours and see which osillator work better.

also I have not read any discussion regarding vwap in the systems we are working on, maybe we shoudl incorporate that study as well. maybe on a daily and cumulative basis? it uses time volume and price. jsut a suggestion here.

 

[jdbzero]

Hi folks
In order to select a suitable indicator for use in the auto-trader, there is a need for testing indicators and comparing the results, as you know.
It would be good to spread the effort around a few willing people so that this important aspect can be finalised.
So this post is asking for volunteers.
You will need Tradestation 8 or 2000i, a little coding ability (and help if you need it), and a live feed so that you can leave a test running during market hours.
You will get instructions on what you need to do so that everyone is doing the same thing and the results will then be easier to compare.

I think that Charlton and Pedro are comfortable for me to co-ordinate this if there are no other objections.

So come on those who can, please step forward and do your bit for the cause.
Glenn

P.S. No testers will be slaughtered in this campaign.

I would like to help where I can with any testing and evaluating indicators.

Grey1 has a very valid point about keeping the software within the hands of those that have contributed. I think this should be sorted out as soon as possible before it appears on Ebay as a winning strategy But more importantly it should give a kick up the rear to all the people, including myself, who have not already contributed anything.

Disclaimer:
TS2k
IB datafeed
Programming knowledge but not Easy Language yet. I can pick it up hopefully.
Not full time trader

Thanks,
Jonnie

 

[Tileman]

Hi folks
In order to select a suitable indicator for use in the auto-trader, there is a need for testing indicators and comparing the results, as you know.
It would be good to spread the effort around a few willing people so that this important aspect can be finalised.
So this post is asking for volunteers.
You will need Tradestation 8 or 2000i, a little coding ability (and help if you need it), and a live feed so that you can leave a test running during market hours.
You will get instructions on what you need to do so that everyone is doing the same thing and the results will then be easier to compare.

I think that Charlton and Pedro are comfortable for me to co-ordinate this if there are no other objections.

So come on those who can, please step forward and do your bit for the cause.
Glenn

P.S. No testers will be slaughtered in this campaign.

Glenn,
Happy to be involved in anyway bearing in mind I have no coding skills.
I run TS 8.3.
Just let me know if I can fit in anywhere but fully understand if I cant.

Regards
Graham

 

[Glenn]

Gentlemen
Thanks for your offers to help with the testing.
Now that we have some idea of how many can help and what they can do, it seems we have very few members who can cut code, so that may be a problem.
I was hoping that many tests could be run on the same day(s), using the same INDU data so that the results can be compared.
Basically that now means that for each indicator, the all code has to be produced by someone else (e.g. me) and passed to you individually so that you can run tests on it.
Perhaps there is also the issue of copyright regarding the Ehler code if you haven't got legal access to it.

Have to think about how to go forward and get back to you.
Thanks again.
Glenn

 

[evostik]

Gentlemen
Thanks for your offers to help with the testing.
Now that we have some idea of how many can help and what they can do, it seems we have very few members who can cut code, so that may be a problem.
I was hoping that many tests could be run on the same day(s), using the same INDU data so that the results can be compared.
Basically that now means that for each indicator, the all code has to be produced by someone else (e.g. me) and passed to you individually so that you can run tests on it.
Perhaps there is also the issue of copyright regarding the Ehler code if you haven't got legal access to it.

Have to think about how to go forward and get back to you.
Thanks again.
Glenn

Glenn

I have 'some' ability with Easylanguage (as you hopefully know) and I can pretty much dedicate myself full time to you/it for as long as it takes. Feel free to grab me on Skype if you want to check out what I may or may not be able to do.

Cheers
Steve

 

[lote_tree]

Glenn

I have 'some' ability with Easylanguage (as you hopefully know) and I can pretty much dedicate myself full time to you/it for as long as it takes. Feel free to grab me on Skype if you want to check out what I may or may not be able to do.

Cheers
Steve

Same here. I have very basic ability but I would like to take stab at whatever you have in mind. Let me know if you need a 3rd pair of hands.

Cheers

Naeem

 

[Grey1]

Gentlemen
Thanks for your offers to help with the testing.
Now that we have some idea of how many can help and what they can do, it seems we have very few members who can cut code, so that may be a problem.
I was hoping that many tests could be run on the same day(s), using the same INDU data so that the results can be compared.
Basically that now means that for each indicator, the all code has to be produced by someone else (e.g. me) and passed to you individually so that you can run tests on it.
Perhaps there is also the issue of copyright regarding the Ehler code if you haven't got legal access to it.

Have to think about how to go forward and get back to you.
Thanks again.
Glenn

+


I am in the process of opening a NEW forum for the development team . All posts will be on the new forum and all codes on FTP server suggested by one of the main contributor ( password protected)

I also feel we must nominate a project leader by vote (not me but i will help as much as poss )
Also a pal talk meeting is essential perhaps every 2 weeks .
A disclosure must also be signed by all members ( please vote on this ) that the code is not sold or distributed,, similar code was sold $500 million to Morgan stanley by 5 students in USA,,,

This is a serious business and the code must be protected . I also suggest team members be sacked or added depending on their contribution level ( by VOTE ) as some might join now and later leave the work to others ,, this is not fair )

Thanks for emailing me guys

grey1

 

[wheezergeezer]

Disclosure

+


I am in the process of opening a NEW forum for the development team . All posts will be on the new forum and all codes on FTP server suggested by one of the main contributor ( password protected)

I also feel we must nominate a project leader by vote (not me but i will help as much as poss )
Also a pal talk meeting is essential perhaps every 2 weeks .
A disclosure must also be signed by all members ( please vote on this ) that the code is not sold or distributed,, similar code was sold $500 million to Morgan stanley by 5 students in USA,,,

This is a serious business and the code must be protected . I also suggest team members be sacked or added depending on their contribution level ( by VOTE ) as some might join now and later leave the work to others ,, this is not fair )

Thanks for emailing me guys

grey1

Disclosure......
A Great Idea..........it will help eliminate a lot of potential problems that could pop up at a future date,
I'm all for disclosure and more than willing to sign up , I have zero programming skills but am willing to do what ever I can to help out.....I can make a great cuppa!!!!!!!

 

[belflan]

Glenn,
Happy to be involved in anyway bearing in mind I have no coding skills.
I run TS 8.3.
Just let me know if I can fit in anywhere but fully understand if I cant.

Regards
Graham

I’m in the same boat as Tilman.

I’m not sure if I can bring much to the party (i.e. can’t code) but I will work hard at the bits I can do.

I too, will understand if not included
Good luck either way chaps
belflan