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Designing and Building a Profitable Automated Trading System
- Thread starter ScottD
- Start date
Quote from ScottD:
Attached is an updated Trade Log. Contains the values for all indicators at the end of each bar.
Most of the columns are raw data from the logic engine. The volume pace values in the far right hand columns are calculate by the spreadsheet.
Updated Trade Log with Pace Shift and Volume Direction logic.
Attachments
ScottD:
You may want to change this so you enter on the open of the following bar. You can't enter on the close of a bar based on signals derived from the closing bar price (because the bar has already closed).
You may want to change this so you enter on the open of the following bar. You can't enter on the close of a bar based on signals derived from the closing bar price (because the bar has already closed).
Quote from ScottD:
At the moment I deliberately have the system configured to make decisions and to take actions at the end of each bar
Attached is the updated Trade Log with cleaner notation. You can delete prior logs if you like.
The log contains the following comment:
In Stochastic(14,1,3) formula notation, we see the "Middle Parameter" is 1. In Technical Analysis from A to Z by Steven B. Achelis the Middle Parameter is the smoothing length for SlowK. However, the MultiCharts formula appears to be a non-standard implementation because it treats the Middle Parameter as the smoothing length for FastD, instead of for SlowK. There is related discussion above in my Stochastic post that starts out "Topic for my own clarification..."
In the attached table, generated from MultiChart's formulas, this is why Stoch14 FastD equals Stoch14 FastK. In this case, FastD is "smoothed" by a moving average of 1 period (i.e. it is not smoothed at all).
So, the question is: In Stochastic(5,2,3) notation do we intend for Stoch5 FastD to be smoothed by a period of 2 according to MultiChart's non-standard implementation...or by a period of 3 according to my understanding of the standard notation as described by Achellis?
We can use the column data to validate the data and determine our smoothing preference.
Four columns are grayed out because the data is not in use at the moment.
The log contains the following comment:
In Stochastic(14,1,3) formula notation, we see the "Middle Parameter" is 1. In Technical Analysis from A to Z by Steven B. Achelis the Middle Parameter is the smoothing length for SlowK. However, the MultiCharts formula appears to be a non-standard implementation because it treats the Middle Parameter as the smoothing length for FastD, instead of for SlowK. There is related discussion above in my Stochastic post that starts out "Topic for my own clarification..."
In the attached table, generated from MultiChart's formulas, this is why Stoch14 FastD equals Stoch14 FastK. In this case, FastD is "smoothed" by a moving average of 1 period (i.e. it is not smoothed at all).
So, the question is: In Stochastic(5,2,3) notation do we intend for Stoch5 FastD to be smoothed by a period of 2 according to MultiChart's non-standard implementation...or by a period of 3 according to my understanding of the standard notation as described by Achellis?
We can use the column data to validate the data and determine our smoothing preference.
Four columns are grayed out because the data is not in use at the moment.
Attachments
Quote from Trader666:
ScottD:
You may want to change this so you enter on the open of the following bar. You can't enter on the close of a bar based on signals derived from the closing bar price (because the bar has already closed).
Fair comment, and I see what you're saying.
At a future stage of development and testing, we plan to move from 5min close-of-bar decisions/actions to intrabar (tick-by-tick).
That's why I have the code setup to operate on a "this bar" basis. I believe I need to maintain a "this bar" construct in order to preserve the (future) ability to make tick-by-tick decisions/actions. So, I have it setup for "close of this bar". Fortunately, the close to open gap is usually just a tick (favorable or unfavorable), if any. In reality, it probably nets out to nil.
I appreciate the thought provoking comment.
Quote from ScottD:
Attached is the updated Trade Log with cleaner notation. You can delete prior logs if you like.
The log contains the following comment:
In Stochastic(14,1,3) formula notation, we see the "Middle Parameter" is 1. In Technical Analysis from A to Z by Steven B. Achelis the Middle Parameter is the smoothing length for SlowK. However, the MultiCharts formula appears to be a non-standard implementation because it treats the Middle Parameter as the smoothing length for FastD, instead of for SlowK. There is related discussion above in my Stochastic post that starts out "Topic for my own clarification..."
In the attached table, generated from MultiChart's formulas, this is why Stoch14 FastD equals Stoch14 FastK. In this case, FastD is "smoothed" by a moving average of 1 period (i.e. it is not smoothed at all).
So, the question is: In Stochastic(5,2,3) notation do we intend for Stoch5 FastD to be smoothed by a period of 2 according to MultiChart's non-standard implementation...or by a period of 3 according to my understanding the standard notation as described by Achellis?
We can use the column data to validate the data and determine our smoothing preference.
Four columns are grayed out because the data is not in use at the moment.
Good stuff ScottD. If I might suggest, whenever you require a clarification about some technical point just ask Trader666. LOL.
On the off chance you didn't find that approach to be fruitful, this summary is from an earlier thread on the use of these oscillators which you may find useful (or redundant or superfluous).
http://www.elitetrader.com/vb/attachment.php?s=&postid=1781944
lj