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

Quote from ProfLogic:

Loosing real money is definately worse & testing a bad strategy is simply disheartening but testing inside a variable environment gives people a false sense of security in their system. I've seen many times where a narrowly tested strategy doesn't hold up to the optimum test of long periods of time.
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Mostly that's because these folks don't understand much about statistics or how to do Out of Sample testing, not because the method has a defect.

To even start on the road to systems what will perform the same in real life you need to:

1) Develop metrics for market topology
2) Divide all available historical data into numerous segments with statistically representative coverage in each of all market topology classes.
3) Develop or train the system on one group of datasets called Training
4) Optimize or validate the proposed system on another group called Test. When satisfactory Freeze everything
5) Test Frozen on the final group called Validation or OOS (Out of Sample)
6) Compare performance metrics of the system between OOS and Test
7) Remix the segments between the three groups and repeat the entire process
8) Repeat 7) until all data has been used for each of the three logical groups and a set of common rules and definition parameters is both the same and works acceptably well for all repetitions.
9) Compare the differences in performance metrics between all of these. If they are within abut 6.5%, in for example W/L %, you have a system that will perform the same in live trading as long as the market topology of the live market has been represented in the process. If the market shows a significant new topology characteristics and performance metrics also vary stop trading immediately.

If the performance metrics are similar but topology changes trade with extreme caution as the market is in a new “space”.

If topology and performance metrics are similar and stable to development trade away!
 
Quote from ProfLogic:

Jack,



My question:
How can any mathematical problem be solved, with any accuracy, when the factors of these specific mathematical equations are constantly changing, not stable?
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Yes, it can.... it requires working n-dimensional hyperspace and non-linear mathematical processes. Solutions to problems almost always occur in a higher order of dimensionality then that in which the problem is stated.... otherwise the solution would be obvious and it would not be a problem or question.
 
One of the best (ignored by daytraders) indicators is basic fundamentals. Pull up a multi-year chart of USD for instance, mark turning points & locate financial news at the time.

The old adage is - no risk, no champagne :(
 
Quote from jack hershey:

I always make it a point to read your posts. While I do not orient to up and down, I do use an up and down oriented chart for Premium considerations and it is a 1 minute real time chart that locks in the past on 1 minute intervals.

The Premium may be found using any number of resourses. The web site riskarb.com is one of those. There, is is set before open using the business school type orientation of fundamental analysis calculations on the DJIA stocks. This means it is an important value since the Premium is used around the world by the larger organizations.

It, therefore, is a terrific referential value that is set on a daily basis.

For roll over indexes, the premium is in relationship. By using the Cash value of the DJIA and relating it to DJXX or YM, you have a simple indicator (call it X) of the present market relationship to the Premium Call it Y)(determined by FA).

The two values, X and Y are not always the same during the day.

Some organizations calculate the Premium and use it for gating their bots. A typical value of change during the day is 4 points. This is called "drift" and these bots are triggered to take advantage of the disparity because it is felt that the disparity will be corrected if it drifts too far. This is correct for making money doing arbitrage. Hence the name of the site, riskarb.com.

For everyone's comfort, I have mentioned a lot about the CW oriented aspects of the premium.

You mentioned that the "leading" aspect of indicators is a nice consideration. Here the lead is 30 seconds to 2 or 3 minutes; I find such an amount of time a good amount as compared to the amount of time a person may spend looking at the progress of a chart such as your multi indicator chart.

By using a pre open setting and not dealing overtly with drift, a person can take advantage of the "tells" from those who most influence the market. Script or a snippet is sufficient for using the Premium as a leading indicator.

Any person can do the first and second derivatives visually and at the pace of normal trading of turns. Take X and Y and use arithmetic so that when the markt goes long, your display bar value is UP. (black) This will automatically take care of when the market is going DOWN (red).

This gives you a row of bars with amplitudes and the amplitudes vary from bar to bar. A line drawn from bar to bar (I just look) is either sloping up or sloping down. This is the first derivative.

It trading making money happens all the time. When you are as far away from a turn, you can know that by looking for the bar to bar line becoming horizontal. It changes its slope from one sign to another. This is an early warning system for telling you that taking a trade's profit segment is comming up.

All of this is offest in a leading manner as you see and it is parasitic to those who trade the big money. I call them "smart money" since it shows how they use the premium for arbitrage with huge sums of capital.

All smart money exhibits an odd harmonic Fourier wave form, almost. To "see" it, think of a black head and shoulders and a red head and shoulders. Make one adjustment (go from flute to oboe so to speak). Simplify the left shoulder by drawing a line from the shoulder to the head so the intial part of the formation is "smoothed". (In an oboe the fifth is dominant.)

Read the OP post in a thread called "how to sit on winners". The waveform described above does just that as a leading indicator. The OP describes in his first post exactly how he screws up and induces permanent fear of trading by hyis repeated failure.

He says he gets in when before the red goes to black (think of the premium velocity increasing (getting less and less negative, going to zero and tutrning positive) on a long entry (at some non fearful point). He exits on the left shoulder of price. and watches from the sidelines to the line across the tops of the price shoulder. He holds to the peak of price and begins his "freeze" (the Lizard Syndrome and the Bohr Effect combo). His oxygen has declined in his brain to 30% below required for rational thinking. He holds the drawdown from the top of the price head and goes upside down due to the second poor entry.

The Premium snippet using X and Y, would give him a leading indicator and it eliminates "seeing" his first exit (he should not display price on his screen; it screws him over with fear).

Long ago there was an SPM that had lagging signals (for two reasons: wrong signal and lagging signal). So it traded many angular degrees late in the cycle.

The Premium snippet is the reverse of a lagging signal. Look at the "signs" of X and Y to be able to use arithmetic to get the color to always work for UP and DOWN trends. The color is the trend.

The greatest advantage is that the magnitude of the bars tell you how fast you are making money. On my display I put two lines on each side of neutral. They tell me the relationship to trend slope to bar volatility. All ATS's need this measure for sidelining on an CW derived ATS (the riddle of induction problem that is always there in CW). Smart money works by induction and there is the small draw back of what they call "noise". I do not deal in either anomalies or noise but those I am parasitic to, do.

You will find a huge increase in your profitability when you begin to use leading indicators such as this Premium snippet based upon observing first and second derivatives in a Fourier series setting.

Some platform providers we have worked with have it as SOP these days.
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Wow !
Thanks Jack ! I will peruse it some more when my head quits
hurting from reading it the first time.
 
Quote from ProfLogic:

Interesting analogy and a different way to view a scalping environment inside longer term view of price . . . but it works!!!
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It works well and consistently especially with a drove of indicators.

Nice thing about indicators ... they don't just reveal the market ... but
they also reveal the predictable actions of the big fish who decide on
similar indicators.
 
Quote from ProfLogic:

Jack,

I must admit I am the original "short attention span" poster. This is why I prefer reading and posting in threads where the thought process is "suppose" to be precise and to the point . . . but there is always the exception.

I've asked the question for years and have yet for anyone to give me a cognizant answer. You have posed the point again regarding a mathematical solution producing a reliable indicator so I will restate my question again. If you would, I would appreciate a clear, concise and relatively short answer if you can. Thank you in advance.

My question:
How can any mathematical problem be solved, with any accuracy, when the factors of these specific mathematical equations are constantly changing, not stable?
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The mathematical problem of the markets is precisely solved using the mathematics required and stated explicitely by the deductive hypothesis set (HS) of the market and its parametric measurement set (PM) of the market.

I'll add another sentence. The mathematics of the market is Boolean Algebra and the parametric set dimensions applied to the P and V of the market are binary vectors. A vector has dimensions of magnitude and direction.

Attached is a double chart pertinent to the prior question asked of me for another measure of the market. Here you see the Dow Jones used as a leading indicator of the S&P.

The specific problem solved for trading the markets, is to determine whether a trend (a price change segment over time in one direction) is "continuing" or "changing".
 

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Quote from jack hershey:


The Premium may be found using any number of resourses. The web site riskarb.com is one of those. There, is is set before open using the business school type orientation of fundamental analysis calculations on the DJIA stocks. This means it is an important value since the Premium is used around the world by the larger organizations.
More...

Premium is by and large a late indicator useful for confirming good trades. On occasion it will also be the beginning of a good trade. FWIW you should be in front not behind premium spikes.

Cheers
 
Quote from jack hershey:


The Premium may be found using any number of resourses. The web site riskarb.com is one of those.
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Website is down:

We have termporarily suspended our website. Please contact us directly at (212) 808-0500. Thank you.
 
Quote from Lojanica:

Premium is by and large a late indicator useful for confirming good trades. On occasion it will also be the beginning of a good trade. FWIW you should be in front not behind premium spikes.

Cheers
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It is difficult to explain. I did try.

Premium spikes are something I do not use for anything.

In terms of Larry Harris and his hierarchy of trader and investor types, I am front running the smart money. So in his book where he uses 32 boxes to describe these folks, put me down as a person who is parasitic and technical and frontrunning.

Recently I posted with respect to comparing Premium in two ways. I posted a chart that did NOT have any Premium spikes on it. The bars show the relationship of smart money's "bias" to the premium when smart money is trading the YM or the big contract. There were no minis when this was originally dealt with a while back.

Since the Premium (as I indicated, is an FA, derived indicator), it is fairly steady during a day. But as I stated it does drift. Bots and algos take advantage of this when it is out of line by a certain amount. If you are in a pro trading room and they use algos or bots, you can watch the agitation of the players as they watch the time coming up when their algos and bots are going to trigger. It is almost akin to the noise formerly heard in the background during the days of phone trading before the minis were invented. None of the drift is shown on the charts I posted. I monitor to trade in front of the algos and that is another matter for first and second derivatives as well. A person has to differentiate drift from a "trending day". That is not part of the ET range of considerations as yet.
 
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