Excellent Indicators to daytrade the ER

Quote from secxces:

Interesting Angle. Very clean, and tracks bull and bear markets rather well. I wonder though, in choppy markets, and due to the linear regression, I can only assume you would get beat up pretty bad. However, with your setup, you can adjust risk by simply adjusting your Hi/Lo moving averages. As in Alexander Ehlers Impuse System, which uses macd for confirmation aswell, the setup tracks the speeding up and slowing of a trend. As I said, interesting angle, and simply well thought out.

EDIT: If I may, a suggestion on your exit, use a second liner reg moving average crossover for a quicker exit. Not very advanced, but it keeps the simplicity there.



This was rather inappropriate and uneducated comment, wouldn't you agree?



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Quote From

http://www.paritech.com/paritech-site/education/technical/indicators/trend/linear1.asp

The interpretation of a Linear Regression indicator is similar to a moving average. However, the Linear Regression indicator has two advantages over moving averages.

Unlike a moving average, a Linear Regression indicator does not exhibit as much "delay." Since the indicator is "fitting" a line to the data points rather than averaging them, the Linear Regression line is more responsive to price changes.

The indicator is actually a forecast of the next periods (tomorrow’s) price plotted today. The Forecast Oscillator plots the percentage difference between the forecast price and the actual price. Tushar Chande suggests that when prices are persistently above or below the forecast price, prices can be expected to snap back to more realistic levels. In other words the Linear Regression indicator shows where prices should be trading on a statistical basis. Any excessive deviation from the regression line should be short-lived.
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Essentially Roughtrader, the liner reg is there, instead of a sma/ema/wma etc., simply for the purpose of a smoother and more accurate breakout of the channel. The lin reg obviously moves faster then a moving average, in terms of programming, so in this sense, the author is trying to interpret which way the channel will be going. The smoothing of a lin reg would make it alot easier, aswell as higher accuracy, to spot the breakouts and confirm them. The setup itself identifys when the markets are slowing and speeding, along with direction. The system does seem like it will have a lot of drawdown through false signals.

This is my 2 cents. Correct or Incorrect? I dont know..lol. But it sounded good. But i see your point.


- secXces
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If the goal is to have a tracking system that follows price tightly, an SMA or EMA with a sufficiently shortened time constant (lookback length) will do just fine.

Just remember, whether it is SMA, EMA, Lin Reg, or even Jurik's adaptive EMA, the goal is one in the same. To filter price noise while establishing the trend of the move. The balancing act of noise rejection and delay will always exist, there is no way around it.

In addition, even though the Lin Reg is a sort of predictor as you say, the prediction error can be large, causing overshoot and undershoot as it tracks price. The reason is simple: price is not subject to the laws of physics in terms of mechanical momentum andd accceleration. Price can move drastically in the blink of an eye or consolidate in a tight range for seemingly an eternity. Linear predictors such as Kalman and Linear Reg do not apply very well to market action because price is not bandwidth-limited like other engineering systems are.

In my earlier days, I've experimented with all types of price-tracking indicators, but ultimately, the SMA and EMA have been all I need to identify the direction of the move.

RoughTrader
 
Quote from Cazza La Randa:

Later....Zooom!

Anyway, as I said this is an idea for scalp/daytrade the market every day through some reliable indicators.....nothing more

Hope it helps
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Hi Cazza. I had a bit of time to do some backtesting. Tweaked the numbers and also added different Linreg periods for Long and Short Entries/Exits, resulting in a profitable system. Equity curve a bit too erratic for me but your system does work, congrats.

Appreciate you sharing.

--jstox
 
I plugged this into Tradestation. It kicks butt on 5 minute ER2 until you add commissions (even with IB's rates).

However, after adding Exit on close (so no overnight holding) it does significantly better. Still a very low profit factor however.

What's the deal with MACD -- you will only buy if there's a crossover on the same bar?
 
Who needs indicators?

Indicators are for suckers.

Indicators fool people.

If indicators really worked then we would all be rich because of them!

Pick a price, any price. Prices ending in 00, 25, 50, 75 usually work best on any instrument - PSYCHOLOGY.

Draw a horizontal line.

If price is about to cross above, go long.

If price is about to cross below, go short.

HINT: Don't go long on a red candle and don't go short on a green candle.

Sometimes, you take a small quick profit and sometimes you rake it in.

Trading is simple.

Indicators take you one or more steps away from the only thing that really matters... PRICE!

After you stare at the chart long enough, you'll understand what I am talking about.
 
Quote from SideShowBob:

I plugged this into Tradestation. It kicks butt on 5 minute ER2 until you add commissions (even with IB's rates).

Still a very low profit factor however.
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Hi guy's, WTF let's share, this is my current favorite using 2 indicators. Backtest this pullback system on 3 minute ER2. The edge on this system is alternating between Longs and Shorts and also not taking pullback entries at extremes. Trades times are Pacific, commission and 1 tick slippage included.

--jstox
 

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