How to Build an Automated Trading System

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Again, correct anything I misunderstand, please. That's your role--to constantly correct till I get it right.

I do not know anything about BPA or BPR. In this forum is it common to post code? seems like coding people can help you with code. When the output of the coding is attached, then it will be easy to circle the rough edges.


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Trading does not deal in opposites but instead it deals with orthogonals. End effects are called Change (which is a descriptor of Sentiment change)(directional flow change).
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Can you please give an example of CW (conventional wisdom) of opposites and contrast it with the related orthogonal concept?

In the 68 page document of Anek's holy grail v1.0 look at cover and see step 2. the first three lines are the CW and in opposites:

Uptrend
Down trend (the evil twin)
Change of trend.

Read pages 3 and 4 and find out the BPA and BPR approach cannot handle the subjectivety nor the inductive character. The next to bottom bold comment swtches from opposites as you see.

For making money we deal with the tenets of the P, V relation. for whatever reasons, in 1957, for me that is where I began my differentiation. Today, knowing the neuroplasticity aspects of the mind and using the three mind operators: shape, movement and spatial just serve to illustrate how I got to be very differentiated.


From today:

The 12:05 bar (12:10 on TN) was APPARENTLY GOING TO HAPPEN for me. I voiced the scene going on as the bars becore and after unfolded. The 166 wall on ninja using Pepe's stalactites and the % of bar range allowed me to say 166 as a final value after pointing it out several times as it came into view over and over.

This (166)was several trades (in a lateral that started a 4 and 0 and expanded to 2 and 2, last digits only) after the initial 30 point run which related to the 12:05 bar.

MODE is what drives SCT; it's orthogonal values are Continue and Change. Continue is making money in a segement and Change is segment end effects (reversal timming as the future comes into the present).
 
Quote from jack hershey:

I have 100 billion nerve cells I have organized. I am starting a BPA dump.

The deal is that by reviewing the mechanical trading with everyone contributing their minds, we get to have more and more people making more and more money to do with it what they want and help others.

Moderators contribute their time by keeping the site clean and everyone contributes their knowledge too.

Knowledge>>>>>>>skills>>>>>>>more contracts traded>>>>>>>more pool extraction>>>> more help to those who need it.

I will now start doing Q's. Read this week"s Newsweek page 51, etc..
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Quote from Jander:

So if the '7 cases' are the baseline fractal, I would assume that 'traverse' would be the next fractal, followed by a channel. I assume that for the purposes of the ATS that intermediate channels and multi-day channels are being exluded for simplicity. Therefore, the system can start anew w/ bar 1 each day?

I have come to appreciate the simplicity of the 7 cases, taking note of the order they appear, open vs. close point and volume changes. Is this the type of work you mention as being productive, particularly for the ATS?
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Yes I think it is the beginning of the BPA work.

I will try to get some ilustrations up soon.

Melting the volume into ( a parallel development) the seven price cases then yields building the P, V relationship.

The MODE on each level is a result from the P, V relationship.

For the MODE to change on the outer shells of the nesting, it is always true that the inner shells always have change at that moment as well. An odd harmonic frequency applies.
 
Thanks for your point, Jander.

Just to add to your point:

This goal is to imitate human behavior but NOT failing behavior and emotions like fear and greed. The goal of this ATS is to emulate successful human behavior from a skilled trader who learned to control the emotions (a major challenge) to trade accurately.

Sincerely,
Wayne

Quote from Jander:

You have completely missed the point of this thread. This is completely different than an edger mentality, playing the percentages and tweaking indicators to have profitable backtests.

These smart folks are working on a system that stays on the right side of the market and reverses when necessary. These 'trades' are not random. People do improve on trading.

Save your breath stating that this is impossible. We all know you think that already. I cant imagine why you'd continue with this thread...
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Specterx,

Thanks. But I double checked this 3 times after reading your post and don't see it. I feel blind. But the LtoR is on the bottom just at the price moves to the RTL. and vice versa. It appears correct unless I have a screw loose.

Wayne

Quote from Specterx:

I'm not certain but I think you have the right and left trendlines mixed up. In your screenshot the Right trendline is on the bottom, and the Left trendline is on the top. However, there's an "LtoR" annotation just after Point 1 when price is moving to the LTL, and an "RtoL" annotation just after Point 2 when price is moving to the RTL.
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I appreciate you editing the charts. That's cool. What drawing tool did you use? I'm looking for a cheapy but goody diagram tool.

With your chart I can see the micro channel, or taping as Jack calls it.

Wayne

Quote from Jander:

RTL / LTL
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Jack,

FYI, I'm aware of and comprehend the 7 cases of P,V relationship from the text and diagrams at traderuniverse.info.


My thought was to get some channeling algorithm working in the ATS and then add on Volume.

However, you recommend parallel development and understanding.

Hmm. I will trust your judgment on that. How about this. I will focus on the analysis and understanding of P,V together.

To do that, it seems the best way is to practice taping and drawing trendlines manually and noting the volume movements.

Even better, I'll post a chart that I have attempted to tape and channel manually and mark the 7 cases. You and others can point out any misunderstanding.

That will assure I grasp it clearly enough to build that part. P & V in parallel.

It sounds like that combined system forms the foundation for the rest of MODE, PACE and leading to the intimates where appropriate.

Of course, I can use your excellent instruction on the traderuniverse.info site to do this the first time and then get feedback from there.

Once you confirm I can do it manually, I can easily automate that part of it.

The work I have done so far appears beneficial mainly in working out the state transition algorithm that handles confusion and learning ability.

To reiterate, the idea of doing analysis up front is to get it very clear how you do this manually before attempting to automate.

I deeply appreciate your patience and direction in this effort. AWESOME!

Wayne

(I'm dropping the BPA acronym since there's no point in dragging that lingo into this discussion. I want to use to your terminology to better get your perception.)

Quote from jack hershey:

Yes I think it is the beginning of the BPA work.

I will try to get some ilustrations up soon.

Melting the volume into ( a parallel development) the seven price cases then yields building the P, V relationship.

The MODE on each level is a result from the P, V relationship.

For the MODE to change on the outer shells of the nesting, it is always true that the inner shells always have change at that moment as well. An odd harmonic frequency applies.
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Okay, (can anyone show me how to make the images appear inline rather than only a link you have click on?)

Here's an annotated chart for USD JPY this morning.

I think I'm getting the rules for this down. The details in Channels for BW are explicit.

I draw an arrow to where I got stuck with an inside bar 3 on a tape.

PLEASE, verify carefully that I'm following the rules exactly Jack. If you confirm I'm getting it right, I can add this to the ATS.

Also, I guestimated at the reversals, but that's not my focus now.

NOTE: I charted this using NinjaTrader since my platform lacks any manual tools but NinjaTrader doesn't show volume for Forex.

So let's confirm I have the taping rules down, then I can practice with volume on another market besides Forex.

Once I got it, I can automate the the P,V relationship in the ATS since it has volume for Forex already.

Thanks!

Sincerely,
Wayne


<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=2074946" width=800 height=600>
 

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Jack,

I'd like to assume for the moment that I got the idea behind taping enough to consider ideas for "re-engineering" that process.

That's a typical business process. Very labor intensive, drawing lines, copy paste, drag. Thinking alot and doubting, did I draw it right, etc.

Of course, it would by simplest (but not easy) to just automate all those rules but that would be a mistake, I believe.

To do B.P.R. it simply means that the programmer/architect looks at the process form the perspective of automating it and proposes ways to do it differently but achieve the same result.

Here goes. After analyzing the taping process and looking at the chart, it appears that taping identifies something congruent to 1 bar pivots.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=2074997" width=800 height=600>

However, it effectively filters out useless ones.

Please look at the attached chart, it's the same as the previous one but I took the liberty of adding diamonds at every 1 bar pivot point.

Do you see? They land at the same points at the 1,2,3 points.

Interestingly, the useless 1 bar pivots always fall within the channel, etc.

It would be far easier to automate, I think, by using a 1 bar pivot and adding rules to filter out pivots that don't fit the plan.

That would be rather easy to do and result in code that is far less complex which means leans bugs.

Wayne
 

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Quote from greaterreturn:

Jack,

I'd like to assume for the moment that I got the idea behind taping enough to consider ideas for "re-engineering" that process.
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I know you are addressing Jack here, but I would like to propose you throw up a chart (perhaps the same one) with no annotations and include volume (if possible). If would be very useful to have a baseline chart in which to work from and hash out some concepts.
 
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