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Thanks for the reply. It seems we have quite similar ideas. Currently I have a system trading a basket of around 32 ETF's but it could also be expanded to other products if I had the time. I have around 10 setups that give me prediction of where the day will finish, accurate 59% of the time...

Mav & Others, A question if I may. Since ACD works well for making relative value analysis (each product verses similar), have you ever considered using a something different for the A Value? Right now the common method is using a percentage of the products either Daily ATR or I remember you...

Glad to hear I have may have been on the right track. When I test a system out, it needs to be able to kick randoms ass over my testing period with a small standard deviation to prove consistency of edge. This is not only in pnl terms but also with regards to drawdowns and the means of MAE & MFE...

Understood, nice chart. Out of curiosity is that plotted with ggplot2 using alpha fill? Looks a little R'ish to me :-).

Would you mind explaining more about your findings? Thanks.

My reason for choosing 1 minute resolution was because during the course of my own investigations I found that certain days can have certain characteristics. So using 1 minute allowed me to analyse the details with a finer comb so to speak.

I did not look into Metastock and as far as I know Metastock will not work on Linux. Currently I am using sqlite at home. I am also working within a development team where we have migrated everything to using postgres.

Originally I was using only QCollector for all data requirements. I purchased a bunch of ETF data(1min) then started updating my csv files using QCollector. This worked great but the csv files grew and even though I was subsetting that data before running my nlScoring code the import process...

Yes exactly if you use "8 d" as a duration the previous 8 trading days will be pulled. You can then use union from the dplyr package which will bind only new rows from y to x. Heres a god explanation of that function.

I use esignal with Qcollector currently and agreed its a great program however, it would probably be not to much work to create your own version using IB Api and have it update straight to a database rather than using all the csv files, as Collector uses. A huge slowing point on my original NL...

Really easy you just have to dig into IB API. In R if you run the code; require(IBrokers) args(reqHistoricalData) You will see that theres an argument called "duration". According to documentation here; The duration string must be of the form ‘n S’ where the last character may be any one of...

You can sometimes see propositioning before rate decisions and major data not after, ACD gives you the lens to see it. I am not gong to come out and say if x = y then buy c etc and this is not the way that ACD works. Its like Mav says it all about relationships and relative value. ACD is great...

Agreed technicals mean nothing to the big fish and it is a huge mistake to try and make sense of a market. Instead we should be listening to the market, as when you know how to listen the market can tell you a great deal of information and ACD gives you the best method I have seen yet for...

For most of the stuff I have coded Rvest and XML have worked fine it really depends on what your trying to get your hands on. Once you have your scraped data you can use stringr to extract certain parts of strings followed by the base functions "as.numeric" and "as.date" etc for conversion to a...

I am with you on that one haven't opened up Esignal for charting in ages just use the data manager, same goes for IB. Being able to compute real probabilities and edge has been a huge confidence booster to me and I am surprised I never did it sooner. Literally every spare hour I get goes into...

I use Esignal with QCollector and I am also filling up databases using data from IB API using the Ibrokers package in R.

Sorry guys not been around for a while but just caught back up again on the thread!! As I have mentioned quite a few times I really gravitated to R not really sure how or why, but it has done me just fine. From starting out as an absolute beginner I have now written functions for NL scoring and...

You can get mt4 along with many other windows software working on a mac using wine.

I have heard it stated multiple times on this thread that ACD is not mechanical, however that is limited only to your own current perception/experience of ACD. From my own experiences and most probably me being a control freak, I really wanted to apply ACD from a more qualitative standpoint...

Ok I will run this for you on my db of 32 etfs around 5 years of data. I like testing over a universe of data since I am therefore not seeing a character of an individual instrument but more of the general market. The late confirmation is something I have already tested for. I built a system...