Recent content by varaamo

What time frame do you use with TRIN?

Are there any data indicators to follow that can provide an early warning to the possibility of things not returning to normal in Q3?

There is a great thread here in ET that explains some of the Order book/DOM techniques. https://www.elitetrader.com/et/threads/can-it-be-done.228757/

https://www.marketcyclewealthmanagement.com/

Hi Metatrader54, Just curious if you define the intraday trend strength based on the number of new highs vs. the number of new lows? If so, do you base it on some kind of a statstical study? Thanks, varaamo

@panzerman, can you share a good, reliable source for Kalman filter formula that can be understood in simple and non-quant terms? I tried to look for Kalman filter implementation for Ninjatrader, but couldn;t find one; thinking of developing one myself.

Thank you, @panzerman . What would be the other reliable alternatives to moving averages for trend following systems?

@panzerman I'd like to get your inputs. Do you think this is the right implementation of Jurik MA? if so, what you think is the right value for phase and power in the implementations? or is it something that can be discovered only through backtesting/optimization...

Equity curve looks quite decent, @MarkBrown, how does it compare with other MA based oscillators, such as MACD for example?

Thanks for the inputs, panzerman. Wondering if you were able to develop a good trading system using the zero lag IIR filters? issue that I've come across with these filters ( FIR and zero lags) or for the matter of fact any indicator is they don't work well in ranging markets as Handle123...

Have you tried converting this to an oscillator? Once a trend is established ( GM > 0 for uptrend and GM < 0 for downtrend) there are fewer whipsaws and false signals compared to ROC , MACD or other MA based oscillators.

Geometric mean is typically used in portfolio analysis. However it seems to possess some properties (such as resiliency to outliers) that makes it ideal to filter some of the pullbacks during a trending move.Can anybody who have used or currently using it in trend following strategies share...

Wow, That's really impressive. If i may ask, what kind of stats do you have on the trend following part of the system - Max DD and %profitability? I read in you earlier posts that you use a combination of trend-following and recovery mode. I'm assuming the 75% profitability is on the combined...

Thanks for sharing some insights here, @schweiz. Much appreciated. From your experience building successful systems, do they trade on a daily basis or are there days where no trades are made?