Acrary is a genius!

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Thanks. It's very kind of all of you to keep warning me not to use the Martingale Betting strategy. I know you have good intentions and forgive me because I can't divulge exactly how this strategy works--then you could help more.

To those who offered truly practical assistance via posts or PM's, thank you very much. It's almost overwhelming the kindness and generosity from those who use the same or very similar strategies who PM and want to encourage, fund, or otherwise advise.

A very nice trader PM'd me today about a tip on a prop shop that even invites automated traders to join called Bright Trading. I feel at liberty to share that tidbit.

I had given up on prop shops because I couldn't find any in my area. That's a far quicker way to get great funding and leverage than starting a hedge fund as I was planning.

Keep the good advice coming, folks!!!

Thank you, thank you, thank you.

Sincerely,
Wayne
 
I feel okay to mentioning part of the research where my research is going in controlling the MAE.

By the way, the strategy produces 43 pips on Tuesday, I didn't actually run it yesterday or Monday. Friday, I confess was one of those outlier days that would take another 24 hours or so to exit.

So here's what I'm doing to avoid the MAE outliers:

A PM tipped me off to look at Level II, Depth of Market. That's one area of trading where I only obtained vague concepts of how it works.

It seems hard to find any good books that detail how to use Level II profitably.

Furthermore, many traders who say they used it in the past very effectively but their edge has been lost.

Others seem to try and fail. So it is challenging to say the least.

Well, over the last few days I have been recording the Level II activity (using software I wrote) so that I can graph it, analyze it, and replay it in slow motion.

When graphing and playing back all the transactions in slow motion, there is a TON of valuable information---predictive information--about where the market will turn next, in advance.

The big challenge is that in today's market that stuff happens on millisecond timing. So it's now understandable why many discretionary traders say they lost their edge using Level II. It may not be humanly possible to react quickly enough to the millisecond speed computer trading.

In Forex it's particularly challenging since there's no publicly available feed of Time and Sales which necessarily relates to the DOM.

That's why, in the last couple of days I wrote an algorithm to extrapolate the T&S data from its side effects on the Level II. There again, that would be impossible at human pace vs. computer pace.

Wow, it's like an entire world has opened up now. After much study and slow-motion analysis of how the market events unfold during turns or reversals, it's like being able to "see" after being blind.

I had no idea.

The guy who PM's me suggested that once I figure out how to time the market to avoid the MAE, I might as well switch positions and ride the market during the MAE for profit and change to profit on the retrace also.

Mind blowing. But I perceive that it will be possible to make an algorithm that can do that.

One of the keys will be to use fuzzy logic rather than cold simplistic rules.

I'm not quite there yet. Why? Well, I can SEE the effects on the data and information that predict or precede the direction changes however, I don't have enough sample data yet after only a couple days to quantify it enough for a computer to understand.

I'll probably need at least a month of data and then continue to refine it over time as outlier events occur.

It actually, for the first time, appears possible to have 99% profitable trades where you also stay on the right side of the market by front running the changes in direction at each turn rather than playing counter to the market like I was formerly thinking.

Hmmmm. Whether it finally works or not, it's fascinating research anyway, don't you think?

Sincerely,
Wayne
 
Quote from greaterreturn:

..
stay on the right side of the market by front running the changes in direction at each turn rather than playing counter to the market like I was formerly thinking.

...

Sincerely,
Wayne
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sounds good.
 
Quote from greaterreturn:

I feel okay to mentioning part of the research where my research is going in controlling the MAE.
.......

.....


Sincerely,
Wayne
More...

If you're running a Depth Analysis, in Forex...

You need to check other pairs. A depth of a single market does not give you the whole picture. Obvious stuff, prices are not value of a single product like MSFT, or ES but a PAIR.

Systematic volume / depth analysis for Forex requires to be looked at in terms of Matrices.

Good luck.
 
Fascinating!

I have a lot to learn. For now, I'm keeping the current strategy (counter trend) in the pipeline to roll out next week for demo and then live with real money.

In the meantime, I will increase my knowledge of the DOM.

Any suggestions where to learn about the matrices? I will search here on ET and elsewhere but any advice is greatly appreciated.

Wayne

Quote from TSGannGalt:

If you're running a Depth Analysis, in Forex...

You need to check other pairs. A depth of a single market does not give you the whole picture. Obvious stuff, prices are not value of a single product like MSFT, or ES but a PAIR.

Systematic volume / depth analysis for Forex requires to be looked at in terms of Matrices.

Good luck.
More...
 
Also, while waiting for historical DOM data builds up to a few months, I plan to build a trend following ATS model.

My interests lie in using constant range bars, constant volume bars, or P&F style charts, or other which eliminates time.

That's because it's clear from studying DOM data and intra-day charts that time based charts can be very misleading. They can often have very large "outlier" bars.

On time based charts, to really see what's going on at market turns, you have to zoom in to 1 second or less charts. And those may still have significant range. But zooming for the active areas makes the low activity areas look very empty, even entirely blank in spaces.

Those other bar styles eliminate time as a variable. That way, you automatically get more bars and greater detail in the busy areas and fewer bars for the rest.

It seems my first try will be constant range by then experiment with constant volume also. (You have to fake the volume on forex using DOM derived data.)

Sincerely,
Wayne
 
I think I know what you mean by matrix.

It's a table that shows the major currencies going along the x and y axis.

The pairs are at the intersections of the axis.

So to get a true picture of the USD, you use all the major USD pairs.

And to get a true picture of the YEN, you use all the YEN pairs.

Is that right?

Next, it's necessary to work out the math on how to extrapolate a standalone USD number versus a standalone YEN number. I don't know how to do that, yet!

It's very clear that will provide a more solid picture of the currency. WOW.

Why does this thread attract so many geniuses??

Wayne
 
Quote from zone-bone:

Hmm.. Nice trends here too, how do I know I am on the right side of the market?


http://www.elitetrader.com/vb/attachment.php?s=&postid=1694783
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check him out
Quote from greaterreturn:

I feel okay to mentioning part of the research where my research is going in controlling the MAE.
.....

It actually, for the first time, appears possible to have 99% profitable trades where you also stay on the right side of the market by front running the changes in direction at each turn rather than playing counter to the market like I was formerly thinking.

Hmmmm. Whether it finally works or not, it's fascinating research anyway, don't you think?

Sincerely,
Wayne [/B]
More...
 
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