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Trend is just an optical illusion. Once you realize that, you will see the whole mkt in a unified view. After all, a cockroach climbing a stone laid on a downhill slope, will think to be riding a trend ;-)) Tom

Yes sure; "solely based on price"? you mean time too, clearly time has also to be considered for the metric to be defined, or else the value would be meaningless. Tom

Right Pocketchange. I believe that, having the folio under watch, one can take many meaningful discretionary decisions on folio management, based on all the various performance indicators and correlations. As said, let's take a look one by one, and maybe let's choose some more meaningful...

Hi unco, that is a beautiful idea! ;-) Here is a first experiment ( abs corr <= 0.2 ) : <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3192944" /> I am going to add this feature. :-)) Tom

i was also thinking about the "correlation chart" (this also is updated realtime)... somehow, on the spot it has come natural to make brighter the higher values. But i was thinking it might also be useful to have the opposite option, that is to highlight the lowest (non null) values. I will...

While new simulations are running on strategy variations, i would like to review the work hastily done during these few days and maybe comment by one the various metrics. In practice, all the various contributions and interesting discussion have gradually lead to the creation of some...

btw, i think there is another detail, i did not explain. You see i added the r variable to deal with both even and odd N. In fact, at a certain point we had previously assumed an even number of Hits in our list. This is an assumption we would think we can make because we can decide the...

Let me recap the results so far. I have been discussing with my friend J. from Chicago and he has made a very nice suggestion, to create a signed unitless index which works like that: -1 (negative trend) ------- 0 (sideways) ------- +1 (positive trend) This is a beautiful...

> it may save someone else substantial effort. Why on the hearth should i allow other people save "substantial effort" ? Even as an educator, that would be a bad thing to do. I am already expounding many ideas here. <b>Should i also serve cooked source code ?</b> ;-)) There is only one...

hi As anticipated, I introduce now another interesting metric. So we have defined: ABS_SPEED = ( N - 1 ) * A / ( Total time between hits ) and we might perhaps call it expressively "$ SPEED", as my friend L. would call it ;-)) Now, assume I want also to make a direct comparison between...

The logic here is mainly to allow a comparison across instruments which may be working with different scalp sizes. It would be very uncommon changing the scalp size while trading, as a trading strategy is usually created with reference to a given scalp size (as it affects both profits and...

Right pocketchange. Very insightful observation! :-) There is an even simpler solution than contemplating all possible subdivisions. As i stated at the beginning i have made the simplifying assumption the scalp sizes were the same. This just to present the idea. Let's see how we can...

Ok let's take the discussion from where we left it. We have defined <b>ABS_SPEED as the number of scalps crossed per unit of time</b>. Say that, for instance, SI is crossing averagely 2.5 scalp lines per hour, so its ABS_SPEED is 2.5. [Or we might say 60 scalps per day, if we prefer.] This is...

VS is just the most powerful environment. Probably the best choice to start. (No need to be masochistic ;-)) with c++, can use c# as well and with better productivity). Tom

as suggested, <a href="http://www.interactivebrokers.com/en/main.php">IB</a> is perfectly fine. T

<a href="http://en.wikipedia.org/wiki/Pearson's_chi-square_test"> Chi square </a>

Hi LeeD, I think i have already mentioned this before. ( see for instance http://www.elitetrader.com/vb/showthread.php?s=&threadid=208265&perpage=6&pagenumber=17 ) while i keep the discussion of ideas and the project public, my app is distributed on a strictly private basis, in free *...

good saturday to all! Last day i was discussing with a new friend of mine (a great trader/researcher from Chicago) and i was glad to see that he sort of liked the fact that i was considering time frames as arbitrary, while my "clock" is based on actual price move. Like having a watch which...

Let's see an example. I assume i want my folio to be of size 5. Also i want CL in it (so i select it on the left list). Then i select the possible candidates (right list) to fill the remaining 4 positions of the folio. In this case i am getting, as output [printing the 3 best solutions...

hi As a first "materialization", of the idea proposed by unco, here is how i have organized the utility to discover low correlation folios. It is (for now) composed of a panel with the instruments arranged in 2 lists. - List 1. Allows selecting of those instrument (if any) that, for...