P-Indicator algorithm?

R

ronblack

Is anyone here familiar with the p-Indicator developed by Michael Harris? Is there an algorithm available?

Although the formula used to calculate the p-Indicator is given in books and articles by Mr. Harris, I have been unable to figure out the details and program it. It appears this is a very complicated indicator and it is not easy to figure out the algorithm for it. I have contacted Tradingpatterns.com and asked whether they plan to sell software to calculate the indicator but from the response I got it seems that Mr. Harris is using it for his proprietary trading and has no plans of selling software to the public at this point.

I have heard that at least two traders have figure out how to calculate the p-Indicator in Excel and another one in Tradestation using Easylanguage. Any help with this one will be greatly appreciated.

Ron
 
Quote from JimmyJam:

You can purchase information on the indicator here:

Trading Probabilities

They have interesting articles, and you might find something to further along your education.

JJ
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Thanks Jimmy, I have the article but no details are given in it about an algorithm for calculating the p-Indicator.

Ron
 
I did a quick search on the tradestation forum, Michael Harris publishes there. I think it might be there, a search on p-indicator brought up all sorts of results but I'm not going to look through a 50 page thread to find it.

I took a quick read on one of Harris's articles, it looked like retreaded stuff from Toby Crabel's book, and if I might say so, it was not too exciting.
 
Quote from maxpi:

I took a quick read on one of Harris's articles, it looked like retreaded stuff from Toby Crabel's book, and if I might say so, it was not too exciting.
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Thanks maxpi but I think Crabel's book are outdated material given that he talks about point targets of 2.5 points in S&P when that index was in the range of 300-500 and at the time he wrote his books. Despite the fact that Crabel completely missed the possibility of using percent targets he only talked about strategies based on opening range breakouts and other fairly well-known patterns.

I think the article by Michael Harris you found at Tradestation archives is introductory material and seems not to make any claims of originality. For a few original ones on price patterns take a look at these articles:

http://www.tradingpatterns.com/About_Us/articles/articles.html

I think this one is very interesting:

http://personal.fidelity.com/myfidelity/atn/archives/august2003.html

IMO Michael Harris is a leading authority on the subject of price patterns and risk and money management. His articles and books have helped me enormously:

http://en.wikipedia.org/wiki/Money_management

Ron
 
Crabel was just working with some patterns, he simplified things and dealt with points instead of percentages. To me that is a matter of his working style and I like it. I have seen that the brightest people do the simpler things at times and get the simpler and more elegant answers as well.

If you toss out the sharpe ratio part from the first article on the first link you provided because it is applicable more to gauging mutual funds, assuming we on ET don't trade mutual funds, then you can get as much or more info from the kelly math simulator at

http://www.hquotes.com/tradehard/simulator.html
 
Quote from maxpi:

Crabel was just working with some patterns, he simplified things and dealt with points instead of percentages. To me that is a matter of his working style and I like it. I have seen that the brightest people do the simpler things at times and get the simpler and more elegant answers as well.

If you toss out the sharpe ratio part from the first article on the first link you provided because it is applicable more to gauging mutual funds, assuming we on ET don't trade mutual funds, then you can get as much or more info from the kelly math simulator at

http://www.hquotes.com/tradehard/simulator.html
More...

According to that page if the probability of win is 80% and your Win/Loss ratio is equal to 1 then you should use 80% of your capital for optimal position size.

You wouldn't do that, would you?

First, note that the optimal position size does not even depend on the price of the asset. A fine recipe for disaster this Kelly formula IMO.


Ron
 
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