Operating Matrix/PV Scoring Study

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laziz314159

I don't usually start threads, but I spent some time on this and thought it would be cool to share.

In an attempt to grasp what Jack's been saying about market operating points, I constructed a pv-score indicator and ran a small study on it (attached).

This isn't so much an attempt to construct something immediately tradeable as much as an attempt to flesh out a generalized theory of market operation.

I would appreciate any comments and suggestions about where to go from this jumping-off point.

Kind Regards,
Laziz
 

Attachments

Jack was saying? Nice work. I tried to understand that one idea and spent several hours on several occasions trying to figure it out. I simply don't have the patience for dealing with Jack.

I also don't have easy access to volume info on the futures contracts. However, since you have done much of the 'gut' work already, it seems the next thing to do is look carefully at your frequency counts and try to extract some rules for trading. I'd like to be able to get involved in that as I have some statistics-like software for rule generation.

Thanks again for posting, gotta go.
 
Quote from laziz314159:

I don't usually start threads, but I spent some time on this and thought it would be cool to share.

In an attempt to grasp what Jack's been saying about market operating points, I constructed a pv-score indicator and ran a small study on it (attached).

This isn't so much an attempt to construct something immediately tradeable as much as an attempt to flesh out a generalized theory of market operation.

I would appreciate any comments and suggestions about where to go from this jumping-off point.

Kind Regards,
Laziz
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This is really good research!

The coding of indicator state as binary bits representing a number is clever, though well known. It is a nice representation that neatly avoids all kinds of convoluted trading logic. I believe it was the Neural Net people that came up with this representation.

I really enjoyed reading it, and may use some of the ideas in it. I don't have any feedback at this time, but if I come up with something, I will give back.

Did you say this is all from Jack, the Jack Hershey Grob guy? :eek:

nitro
 
Quote from nitro:

This is really good research!
[
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Thanks!

The coding of indicator state as binary bits representing a number is clever, though well known. It is a nice representation that neatly avoids all kinds of convoluted trading logic. I believe it was the Neural Net people that came up with this representation.
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That's where I got the idea from-- the neuroshell boards and 'reading between the lines' of the jurik documentation.

I really enjoyed reading it, and may use some of the ideas in it. I don't have any feedback at this time, but if I come up with something, I will give back.
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Please do. I'd like to see more sharing of work here.

Did you say this is all from Jack, the Jack Hershey Grob guy? :eek:
nitro
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Yeah, totally. I've coded most if the Hershey stuff this way, for my own edification (rockets, icebergs, with some work on sct).

IMHO, if one stretches one's tolerance for vocabulary, one's mind can be blown by the hershey stuff.

Thanks for your kind comments.

Regards,
Laz
 
Quote from bdixon619:

Jack was saying? Nice work. I tried to understand that one idea and spent several hours on several occasions trying to figure it out. I simply don't have the patience for dealing with Jack.

I also don't have easy access to volume info on the futures contracts. However, since you have done much of the 'gut' work already, it seems the next thing to do is look carefully at your frequency counts and try to extract some rules for trading. I'd like to be able to get involved in that as I have some statistics-like software for rule generation.

Thanks again for posting, gotta go.
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Don't feel bad. I spent a few hours on it a couple of times a month for the last 6 months. It just came to me while I was working on pv scoring and all clicked at once. < insert your own joke about neo and the matrix here >

I originally thought it was a lattice of all the indicator (macd, stoc vol, price, ??) in n-space. I've known maybe 2 people in my whole life who could _operationally_ visualize something that complex. I lost track of one, but assume he's faculty at an Ivy, and the other was a physics ph.d. candidate just out of rehab (heroin).

Alas, it's much simpler than I initally feared. (that is, if I've got it right).

If you want to play with the data, pm me your email addy and I'll try to get it out by the end of the week.

Regards,
Laz
 
This isn't so much an attempt to construct something immediately tradeable as much as an attempt to flesh out a generalized theory of market operation.

The current month's issue of Futures magazine contains an article by a guy who has been pushing in this direction: that of breaking the market into rising or falling phases and calculating the probabilites of each for any number of steps. The problems I see for his efforts are those of too simple and too complex. One step ahead for two possibilities is an independent trials experiment. Several steps ahead is just like analyzing runs and reversals, although he has seen the problem from a different perspective.

The point which has stuck with me from your Attachment is that of breaking the 2-bar continuity of the acc/dis indicator by using a '0' if there is no change in close from one bar to the next. I have just carried forward the sign from the previous state of the close. If I read you correctly, this avoids the consequences of not including volume (either up or down) when the close presents a no change condition.

 
Quote from bdixon619:

This isn't so much an attempt to construct something immediately tradeable as much as an attempt to flesh out a generalized theory of market operation.

The current month's issue of Futures magazine contains an article by a guy who has been pushing in this direction: that of breaking the market into rising or falling phases and calculating the probabilites of each for any number of steps. The problems I see for his efforts are those of too simple and too complex. One step ahead for two possibilities is an independent trials experiment. Several steps ahead is just like analyzing runs and reversals, although he has seen the problem from a different perspective.

The point which has stuck with me from your Attachment is that of breaking the 2-bar continuity of the acc/dis indicator by using a '0' if there is no change in close from one bar to the next. I have just carried forward the sign from the previous state of the close. If I read you correctly, this avoids the consequences of not including volume (either up or down) when the close presents a no change condition.
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Right-- say this bar has no change in close, and x in volume. Putting the raw acc-dis vol at 0 is an attempt to acknowledge that the volume/direction on the next bar is more important. I haven't tested the difference (I doubt it matters much practically, unless you lengthen the phases to 16ma, 8vol, 4a/d or greater), but acc/dis should tick up/down one bar faster this way.

Thanks for the futures mag pointer; I'll check it out.

--laz
 
Quote from laziz314159:

Right-- say this bar has no change in close, and x in volume. Putting the raw acc-dis vol at 0 is an attempt to acknowledge that the volume/direction on the next bar is more important. I haven't tested the difference (I doubt it matters much practically, unless you lengthen the phases to 16ma, 8vol, 4a/d or greater), but acc/dis should tick up/down one bar faster this way.

Thanks for the futures mag pointer; I'll check it out.

--laz
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That's a subtle point! But if you are just using two states, how is it faster? I contend the trend doesn't change direction until it actually changes direction! BTW thanks for the .csv info. I'll post my results but it will be a few days as I am busy with a lot of distractions these days.
 
Quote from bdixon619:

That's a subtle point! But if you are just using two states, how is it faster? I contend the trend doesn't change direction until it actually changes direction! BTW thanks for the .csv info. I'll post my results but it will be a few days as I am busy with a lot of distractions these days.
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Ahh, but that bit isn't trend, it's just acc/dis.

example:

bar 0 is positive close, 1.5k vol, bar 1 is even close, 3k vol, bar 2 is negative close, 2k vol. If you just carried the sign forward, acc/dis wouldn't tick down until after bar2, whereas the present construction ticks down on bar2.

I think carrying the sign foward would synchronise the jma(8) and acc/dis too much. It's all an inkblot test anyway. ;)

Thanks for your comments,
Laz
 
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