Need help coding Jh volume indicator for esignal

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Quote from Trader666:

If you're talking about 5 day exits, I've told you plenty of times why they were necessary (because your "paradigm" is BROKEN).
http://www.elitetrader.com/vb/showthread.php?s=&postid=2019252#post2019252

If you're talking about the fundamental screens, they were NOT in your original document (Tomorrow's Paper Today)... you added them AFTER THE FACT. Not to mention that something as fundamental as the price, volume relationship shouldn't need the training wheels of a prescreened "universe."

I did do fundamental screening to test your "rockets" however.

In a rare moment of clarity (Fri, Jun 21 2002 12:57am in misc.invest.technical) you described "rockets":

"To find a rocket you only have to have your quality universe (they are very high quality stocks with EPS and RS at 80 to 90 percentiles each. The only indicator that is significant is the Stochastic (5,3,3). What you look for on your daily charts are the stochastic rising deliberately to the 80% line and overshooting it and then critically damping on the line; perturbations will cause it to look entwined on the line. There you have it."

This was my methodology:
http://www.elitetrader.com/vb/showthread.php?s=&postid=1078242#post1078242

I don't remember which variation this was, but here's a typical equity curve:

P.S. I'm not as I say? LOL!!! What do I claim? LOL!!! YOU'RE the one claiming you're minting millionaires, making 3X daily range routinely, that you have a world wide network, etc.
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Quote from easyrider:

I honestly dont know how you would backtest rockets.
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I tested "rockets" because specific criteria for them were posted and because the concept seems to make a lot of sense... trade stocks with good earnings (EPS) that are leading the pack (RS) and showing recent momentum (Stoch). But the results were unimpressive, perhaps because stocks meeting the criteria were also petering out.

This was my methodology. Choose up, down, and sideways market test periods. Rank stocks based on EPS and RS percentiles (80 & 90) just prior to the start of each test period, in other words use the EPS and RS rankings that were available at the time. For the stocks that meet the EPS and RS cut in each test period, look for stochastic crossings (above 80). When there is a stochastic crossing, record how the stock does 1, 2, 3, 4, and 5 days afterwards. Then, for each test period, make "rocket" trade distributions and compare them to distributions of random entry trades of the same duration.

I also tested variations -- lots of variations -- on the EPS and RS percentiles (80 & 80, 90 & 90, 80 & 90, 90 & 80, etc.). And stocks whose EPS and RS percentiles met the criteria for the last quarter only, combinations of past quarters and for the whole year. I also added float, price and volume screens, and even tested > 25% inside ownership. Bottom line: no significant edge.

I understand time exits are not how one is supposed to exit a "rocket" but the way I look at it, if a "rocket" entry alone doesn't give more of an edge than a random entry, why not just throw darts? Had the entries by themselves shown a significant edge, I would have tested them with other exits.

Not saying nobody's making money trading rockets. But in my opinion if they are, they're either lucky or their discretion is doing the heavy lifting. Or both.

After that post of your back then, I asked for 10 equity curves.

You replied that you weren't testing equity curves.

Today you posted an equity curve. Do you have any other graphs like the two you have posted so far?

If so could you make up a table of backtesting descriptors that summarize all you results and how you did the tests?

could you also put in a few columns on the dart throwing comparison for each backtest?

Maybe at some popint you may wish to post the core code and some of its variations so others can see three things: what you backtested, the results you got and how you did it then.

After that it may be worthwhile to do some testing to see what happens when you use the PVT and SCT.
 
Quote from jack hershey:

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Quote from easyrider:

I honestly dont know how you would backtest rockets.
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I tested "rockets" because specific criteria for them were posted and because the concept seems to make a lot of sense... trade stocks with good earnings (EPS) that are leading the pack (RS) and showing recent momentum (Stoch). But the results were unimpressive, perhaps because stocks meeting the criteria were also petering out.

the rocket is a quick trade. Slush money is what I use to trade rockets as quick trades. Slush money is odd money left over from streams of capital that is not being used.

This was my methodology. Choose up, down, and sideways market test periods. Rank stocks based on EPS and RS percentiles (80 & 90) just prior to the start of each test period, in other words use the EPS and RS rankings that were available at the time. For the stocks that meet the EPS and RS cut in each test period, look for stochastic crossings (above 80). When there is a stochastic crossing, record how the stock does 1, 2, 3, 4, and 5 days afterwards. Then, for each test period, make "rocket" trade distributions and compare them to distributions of random entry trades of the same duration.

What I do to trade a rocket is use the fast stochastic fast line and the STOCH I use is (5, 2, 3). My signal is a long signal. A long signal is the fast STOCH fast line crossing 50% and going strongly (fast and slow lines diverging). up towards the 80% line which signifies "over something" to CW crowd.

I do this slection of stocks from the Universe using the unusual volume in the am and prior to that, the evening before using a STOCH (5, 2, 3) sort by looking at the way the fast and slow lines are coming up form below the 50% line. this "slush" list is put on "tabs" so I can pop up a 30 min chart to be on a fast fractal just before and at open.

The exit is when the entwined lines, above 80, are such that they separate and the fast line drops below the 80 (first on the 30 min and then on the EOD) and/or the unusual volume sort shows the "slush" list is no longer "rocketing" on the Universe unusual volume.

you see this somehow some where as you state as: "petering out". What you mention is the "fuel" supply of the rocket coming to an end. And it is a terrific description.

I also tested variations -- lots of variations -- on the EPS and RS percentiles (80 & 80, 90 & 90, 80 & 90, 90 & 80, etc.). And stocks whose EPS and RS percentiles met the criteria for the last quarter only, combinations of past quarters and for the whole year. I also added float, price and volume screens, and even tested > 25% inside ownership. Bottom line: no significant edge.

The word "quarterly" and "the whole year" may or may not imply the portfolio type backtesting was not being done but it was more to "catch any opportunity" that came alone. thats cool and a good way to test. Maybe that is why you said you didn't have "equitiy curves".

Obviously, I am the type that creates trading techniques and trading knowlege and trading skills. You are scouting the turf for things that may fit into what you do. You temper what you find to your likes. In doing this you easily translate whatever into your language and thought processes.

As you say, you are hoping for "edges to appear and have significance. I can now se fairly strongly why we will never have anything in common. I don't do CW and you do not do the pool extraction algorithm. I do not create "edges" and it certainly looks like a "rocket" is an edge to you. A rocket for me is a very high money velocity trade to kick off a cycle and I just use an regular exit to cross out of a rocket when the fuel is exhausted and cross into the best batter to replace the rocket then and there.

I understand time exits are not how one is supposed to exit a "rocket" but the way I look at it, if a "rocket" entry alone doesn't give more of an edge than a random entry, why not just throw darts? Had the entries by themselves shown a significant edge, I would have tested them with other exits.

This is a good comment on your personal proclivities. I am a very risk adverse trader who only trades at high money velocities using crossover trading among a very focussed batting group for each stream of capital I run.

My goal has always been to have this working like a huge machine with conveyor belts continually. Over the years I have worked to make this as cool as possible by taking advantage of electronic technologies. In 2008, that is possible even while I sleep so to speak.

For me, running 12 conveyor belts at 100,000 share widths and averaging 3% a day is what it looks like to me per person on a team. All belts are backed with stocks vieing for use of the belt (capital). At any time, a crossover is made with partial fills (20 in and 30 out on average).

Does this look familiar to you and is it like edge tading? No and no. I am glad you keep looking for this and that to complement your style and expectations. Looking into pool extraction isn't what will help you.

the straw that breaks the camel's back is timing and especially the timing associated with what you call "petering out". Obviously I trade in a portfolio manner. I have limited capital as does everyone. I have to deploy my capital every minute of the calendar. Most money is made when the market is closed.

I see the exponent of the compound interest formula as most important. i need to get my money to "work" in the shortest cycles. 2 1/2 days is a sweet period. It gives me an exponent of 100 annually. the "in" money velocity" is 3% or more. If it "peters out" below 3%, then I HAVE JUST GOTTEN THE EXIT SIGNAL THAT I AM SHOOTING FOR. It is time for me to crossover and BE in another batter that I have increasing to and above 3%.

Not saying nobody's making money trading rockets. But in my opinion if they are, they're either lucky or their discretion is doing the heavy lifting. Or both.

For you this is a great conclusion to reach. there is a great deal at hand in trading. I have found that a person really has to drill down to get anything done to begin to reach the potential of the markets.

To get a single and comprehensive FA/TA equities platform up and running is a major undertaking. In 2008, that is now possible and it can operate worldwide.

But for some people who feed their equities accounts with extracted capital from index trading, equities is the easy part.

The capacity of index markets is growing fast. Just as crosso ver trading is required in equities, it is also true that you have to be able to do partial fills in indexes to be able to exceed the capacity of the index market by a factor like, say five.
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Well, good luck.

The above will appear to you that I changed the rules yet once again. That is the way it goes.

I am a logician and I just spent my time creating machinery. I really hoped others could understand my long posts and ask Q's. They don't and don't.

Pool extraction doesn't fit into the CW and the myths of CW. Certainly it will always be thought of as something to judge with CW stuff. I liked having spent so much time as a parasite of CW in the slots I chose. Front running smart money was the most fun of all. Not to outdo smart money at all. It was to see how to make performance approach what the market offered.

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for christ sake guys, if you have nothing good to bring to the table, please get the hell out of this thread.

thank you jack for your support. I think i now have a solid base to recode the indicator for esignal. ill keep you all informed. i will have more questions if you don't mind.

regards.
 
Quote from jack hershey:

... what the market offered....


This has been stated, too, as "what the market has to offer," etc. One might consider the matter from a different perspective: contemplate "what the market may take." Once you do that, you may begin to question whether the market "offers" anything. Not that trading can't be profitable, but that the view that one could ever get any part of "what the market offers" isn't a useful view (if it's useful, then "what the market may take" is just as useful).
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Quote from doli:

Quote from jack hershey:

... what the market offered....


This has been stated, too, as "what the market has to offer," etc. One might consider the matter from a different perspective: contemplate "what the market may take." Once you do that, you may begin to question whether the market "offers" anything. Not that trading can't be profitable, but that the view that one could ever get any part of "what the market offers" isn't a useful view (if it's useful, then "what the market may take" is just as useful).
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I am an amateur so I do not concern myself with what is primarily on your mind by the conditioning you have been subjected too.

Any trader is free to step into the market and take what is offered.

So I do. I keep a routine: MADA.

this includes the market Sentiment and I STAY ON THE RIGHT SIDE AT ALL TIMES.

I know what time it is by the MODE of the market. The MODE declares if a trend is CONTINUING or CHANGING.

During CONTINUE, I HOLD and while holding I continue to be on the right side of the market.

CHANGE MODE appears occasionally and briefly. During this interval I drill down into the precision information and take profits and change sides of the market. I do this with a market reversal order. If I need to, I space five rapid fire partial fills to be able to trade at five times the market capacity.

You may not have the confidence, support and comfort I enjoy. It comes to a trader by taking what is offered all the time.
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Jack, Jack, Jack... why do you keep adding new conditions and making everything so complex? Trading doesn't have to be that way. One thing I haven't told you is that I test just about every idea I find because I like to understand what works and what doesn't. Which is why I tested your stuff to begin with. Only problem has been that you and your followers keep changing the rules, trying to negate and obfuscate my findings which is why we keep going around and around. Let me assure you that I know what I'm doing and if your stuff worked, I'd be the first to give you credit.

P.S. Not everything fails... here is the performance of a simple system THAT WORKS and doesn't use fundamental screens that I tested over 6000+ stocks:
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the reason why i want to be able to code the indicator is to correlate it with my existing trading. for exemple, one of my system i use is a very simple ''enter on the pullback'' trend trading system

i strongly believe that using the JH volume indicator as a filter would greatly improve the results of such a system. my manual testing of the indicator on ninja trader showed very promising results, keeping you out of a lot of bad trades, etc. I want to know more, and thats why i need to recode it on esignal. I have coded tons of automated systems on esignal that i actually use, so i know how to code. i just wanted some info, and most of what i needed has been provided to me in this thread. thank you everyone.

meanwhile im reading all the threads and im trying to figure out the rest.

I dont see where all the hate comes from, the method itself is simple. prices moves in channels, volume help you know whats going on, if a move is a real move, a retracement, a reversal, etc. Its quite simple actually.

this forum seems populated by a bunch of incompetent people that cannot achieve anything. I believe that those people are the one bitching and moaning all the time.

thanks again jack ehorn etc
 
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