Iterative Refinement

[tobbe]

Quote from palinuro: Str-Sq is all in the calculations. I've tried running 3 simultaneously--fixed offset, sma offset, and sma offset with a synthetic index-- and the 3 values were VERY different.

Not only that - it is depends on the quality of your feed as well (more about that here). The INDU is calculated/distributed every 2 seconds (as specified here). If you have a feed that throttles INDU ticks when there's a high load - like esignal - you'll be out of sync for 2-4-more seconds at a time and never know about it (which means you'll get false signals).

My guess is that it would be better to calculate the INDU yourself without delay (whenever a new tick from one of the INDU components arrive) and use that to calculate str/squ. And you need a high quality feed, too.

 

[Mr_Black]

ES

 

[8833broc]

ES and YM attached

 

[Spydertrader]

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1959676>

 

[Spydertrader]

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1959679>

 

[Spydertrader]

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1959680>

 

[tobbe]

 

[ivob]

Yeah well. I use IQfeed just like Spyder (I think he still uses IQfeed but I am not completely sure). I think I shouldn't get results that differ so much. My interpretation was completely the opposite.

Anyway, I probably did something wrong.

regards,
Ivo

Quote from tobbe:

Not only that - it is depends on the quality of your feed as well (more about that here). The INDU is calculated/distributed every 2 seconds (as specified here). If you have a feed that throttles INDU ticks when there's a high load - like esignal - you'll be out of sync for 2-4-more seconds at a time and never know about it (which means you'll get false signals).

My guess is that it would be better to calculate the INDU yourself without delay (whenever a new tick from one of the INDU components arrive) and use that to calculate str/squ. And you need a high quality feed, too.

 

[Spydertrader]

Quote from ivob:

Yeah well. I use IQfeed just like Spyder.

I do not use IQFeed.

- Spydertrader

 

[TIKITRADER]

ES U8 Daily Chart June /16 /2008

Daily ES bar made a HH and a HL on decreased volume from Friday.

Price closed within lateral movement from Wednesday June 11.

Total daily range = 16 points

Close of daily bar = 53% of the range today.

ES daily chart starts on March 17 /08 - FTT of the ES M8 contract, and detailed annotations including gaussian will begin on the U8 contract.