Best indicators ?????????????

[RCG Trader]

Quote from Jerry030:

Quote from RCG Trader:



So to summarize, sonar isn’t’ the right analogy as a skilled human can read a sonar screen and tell a whale from a submarine.

Also this process uses only one data source: the price of the instrument traded. There is no variety of non-correlated data sources. It could be done of course but the complexity
would require some really heavy iron in terms of computer capacity.

Fascinating.

Thanks for sharing.

 

[Jerry030]

Quote from RCG Trader:

Fascinating.

Thanks for sharing.

This process took off after 9/11.

Today, in fact every day of the year, the NSA, CIA and related agencies intercept enough email, cell phone voice traffic and whatever else they pick up to fill the Library of Congress 5 times over. To do much with this manually in raw form would require several million human readers and listeners...totally impractical. So they do an immensely more advanced form of automated WF architecture identification before most of it gets the attention of a human intelligence analyst.

I'd love to get my hands on the software and computer resources they have for this as by comparison the markets are much less complex. Instead of looking for the voice prints of, what 30,000 possible terrorists around the world you have only three major kinds of markets: stocks, futures and Forex. Aside from stocks each of these has only a few dozen significant price time series. Plus you don't need to look at every market, but only those you choose to trade.

One problem is complexity and computer resources required for the predictive analytics. It takes 4 high-end Dell workstations a week to remodel the complete process and this has to be done every couple of months, depending on bar length used, to stay in sync with market evolution.

 

[TGpop]

honestly moving averages, 20 50 200 are just golden , couldnt do it without them, pivots as well

 

[IronFist]

Quote from RCG Trader:

A pic is worth a thousand words. Made an error btw, it has been awhile since I used charts, but this was pretty good for me.

CCI(14), EMA(cci(14)),7;

The crossover?

How do you explain all the times the crossover occurred yet you didn't take the trade?

Also, the best case scenario for entering on a crossover is entering at the first tick of the first bar AFTER the crossover, because due to the way a candle forms, the crossover is not guaranteed until after the bar has printed... it can change back and forth many times while the bar is still forming.

I must have missed something from your chart. The entries you marked were good, but there were also entries that follow those same rules that you ignored. Why?

 

[IronFist]

Quote from Jerry030:

Not really.

The software application looks at history, be it market prices time series, pervious acoustic signals from geological formations that have produced oil or failed to produce it or previously intercepted voice patterns of known terrorist suspect then identifies patterns and relationships that are currently unknown and unseen by a human reviewer and learns them. If they hold up on unseen data not subject to the same learning and discovery process and on future unknown data (works in the real world), then it's of value as something unknown has been discovered and verified.

Attached is an example of predictive analytics applied to FOREX.

Goal: trend detection.

Data Structure: modified Landmark

Analytic tool: neural network

Market: Forex EUR/JPY hourly bars

Training Set 24,000 bars

Stable out of Sample Performance: about 4,000 bars

Retraining time: about a week.

As you can see it doesn’t catch the exact trend turn point but it does get signals bars sooner than conventional linear rule systems, which havce to wait for the price to move as they aren’t pedictive.

The other drawback is as you mentioned in non-linear/asymmetric systems about 55% of the time there is nothing to detect as the market is chaotic or at least the analytics process could not learn a pattern structure. So sometimes it doesn't trade for a few days.

Jerry

Looks awesome in that pic. How does it do in real time?

You know if it has high accuracy you could average down into those trades when price doesn't reverse quite right away and double your money.

IB people flame me for suggesting average down.

 

[unretired]

Quote from Humpy:

Which indicators do YOU recommend and why ?

I have been using Macd, RSI, Mov averages etc. for years with mixed results.

Perhaps you favour a mixture of 2 or more indicators to compliment each other ??

The issue is not indicators but the following:

Trend
Acceleration
Volume +/-
Momentum
ATR
Velocity
Overbought and Oversold
Potential for return to equilibrium


So I use:
Candles
A special coded ATR
TSI
Chandes momentum Oscillator
CCI
Volume

And an addl leading indicator using a variation of the ATR with averaged
EMA smoothing in currencies futures.
And an addl up down Volume indicator.

There isn't any indicator that I feel predicts acceleration well that
isn't purely a subjective and intuitive guess however and that are
mostly derived from multiple indicators that predict velocity.

 

[Jerry030]

Quote from IronFist:

Looks awesome in that pic. How does it do in real time?

You know if it has high accuracy you could average down into those trades when price doesn't reverse quite right away and double your money.

IB people flame me for suggesting average down.

I'll probably know how or if it works in about a month. The computational complexity makes turning it on live a major task so I do extensive backtesting before taking that final step.

 

[ProfLogic]

Quote from Jerry030:

I'll probably know how or if it works in about a month. The computational complexity makes turning it on live a major task so I do extensive backtesting before taking that final step.

Nice patience and I mean that wholeheartedly!!

It has taken me years to program what I do and it was worth the wait.

 

[IronFist]

Quote from Jerry030:

I'll probably know how or if it works in about a month. The computational complexity makes turning it on live a major task so I do extensive backtesting before taking that final step.

Final step? Just trade a live demo account for a while before going live

 

[Jerry030]

Quote from IronFist:

Final step? Just trade a live demo account for a while before going live

I always do until I have a series of statistical metrics for demo performance in relation to out of sample performance and then the same for live trading to OOS performance. More then one promising system architecture has failed in live trading due to fills not being would back testing would assume to be possible or becasue the market evolves into perviously unknown pattern sturctures that the design can't decode sucessfully