Programming and Back Testing Volume Profile and Value Areas

MattZ said:
In my opinion, it takes 3-5 years in real trading and screen experience to have a grasp of any given method.
Paper trading is too limited in scope, psychology, and execution.
More...

Thanks MattZ,

This is where I am now. I have about 2 years of real time screen trading the charts. Just really trading what I see from price action and some trendlines and resistance and support. I lost money too, but money well lost to teach me.

I often wonder how to traders come up with trading strategis to backtest, and I belive that comes from just trading experience and starring a the chart everyday and thinking.

I hope my thoughtshirt makes sense
 
MattZ said:
In my opinion, VolumeProfile strategies are appropriate for discretion type trading and very hard to backtest with automation. It's a manual process of going back and checking sets of data and conditions.
More...

MattZ,

This comments will save me alot of time trying to figure out how to program and backtest Volume Profile. I currently discretion trade it.

Thank you for comment.
 
SimpleMeLike said:
Thanks MattZ,

This is where I am now. I have about 2 years of real time screen trading the charts. Just really trading what I see from price action and some trendlines and resistance and support. I lost money too, but money well lost to teach me.

I often wonder how to traders come up with trading strategis to backtest, and I belive that comes from just trading experience and starring a the chart everyday and thinking.

I hope my thoughtshirt makes sense
More...

This is only a matter of opinion of course, but my experience has shown that sitting in front of the screen and starring does not give you magical powers or give you enough natural (intuitive) skills to trade with. You must have a method that you are comfortable implementing.

I understand that everyone has his/her risk capital and you can't just throw money at it. But, changing methods every few years is a mistake that many traders do. Something new does not always bring success.
I encourage you to explore Volume Profile and combined with what you have done before it could lead (potentially) to a method you are comfortable with. However, there was nothing wrong with the approach (price action) you traded before (IMHO). Your loss could have been a result of poor risk management, risk tolerance or trading markets that don't match your risk capital.

I highly suggest keeping a journal of your trades. Something in an excel spreadsheet that ties performance statists and graphs. You may gain a serious insight into how you trade....a picture is worth a thousand words. I wish you well and read this: http://www.optimusfutures.com/trade...-stop-doing-after-5-years-of-futures-trading/

THERE IS SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
 
MattZ said:
This is only a matter of opinion of course, but my experience has shown that sitting in front of the screen and starring does not give you magical powers or give you enough natural (intuitive) skills to trade with. You must have a method that you are comfortable implementing.

I understand that everyone has his/her risk capital and you can't just throw money at it. But, changing methods every few years is a mistake that many traders do. Something new does not always bring success.
I encourage you to explore Volume Profile and combined with what you have done before it could lead (potentially) to a method you are comfortable with. However, there was nothing wrong with the approach (price action) you traded before (IMHO). Your loss could have been a result of poor risk management, risk tolerance or trading markets that don't match your risk capital.

I highly suggest keeping a journal of your trades. Something in an excel spreadsheet that ties performance statists and graphs. You may gain a serious insight into how you trade....a picture is worth a thousand words. I wish you well and read this: http://www.optimusfutures.com/trade...-stop-doing-after-5-years-of-futures-trading/

THERE IS SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
More...

MattZ

Thank you so much for the advice and link. I do keep a journal of trades and picture of each trade. This really helps. I believe I am on the right track
 
SimpleMeLike said:
Hello all,

Hopefully I can get some help or advice here.

Currently I sim/paper discretionary trade support and resistance made up of Volume Profile, Value Areas, Pivots, High of Day, Low of Day, Open and Close on the ES, and CL based on a strategy I just wrote up over the past 6 months. I am still in forward testing trial and error mode. I would save alot of time by programming a strategy and backtesting it.

Lately, I have been doing extensive research and reading on programming and backtesting my trading ideas.

Is there any way to program and backtest historical daily Volume Profile and Value Areas over the past 5 to 8 years?

I can obtain Volume Profile and Value Areas day-to-day going forward, but I would like to backtest a strategy around Volume Profile and Value Areas from past data.

Any recommendation of existing programs or indicators or programmers or previous experience trying to accomplish the same thing?

Thank you
More...

Backtesting volume profiles values is relatively easy using Sierra charts. Providing you can clearly document your conditions to enter/ exit.

http://www.sierrachart.com/index.ph...tepInstructionsConfigureDrawVolumeProfileTool

Sierra charts volume profile study outputs subgraph values for all sorts of profile values, eg POC, VAL,VAL,HVN,LBN VWAP etc. So alerts could be setup using Sierra charts simple alerts conditions, these conditions could then be outputted to a SC spreadsheet study, where you would have further access to Volume at price data. Creating formulas in the spreadsheet study you could create a system that could be backtested over historical data.

http://www.sierrachart.com/index.php?page=doc/StudyChartAlertsAndScanning.php
http://www.sierrachart.com/index.php?page=doc/SystemsAlerts.php

If your system used custom Volume profile variations, or you had complex conditions and needed to reference comparable times stamps over x amount of days, then you would need to use ACSIL, which is Sierra charts C++ interface. I doubt this is the case.

http://www.sierrachart.com/index.php?page=doc/AdvancedCustomStudyInterfaceAndLanguage.php

If you don't have any experience using the likes of excel, or a background in C++ then your best option is to pay a dev to create this.


-
 
Macca1 said:
Backtesting volume profiles values is relatively easy using Sierra charts. Providing you can clearly document your conditions to enter/ exit.

http://www.sierrachart.com/index.ph...tepInstructionsConfigureDrawVolumeProfileTool

Sierra charts volume profile study outputs subgraph values for all sorts of profile values, eg POC, VAL,VAL,HVN,LBN VWAP etc. So alerts could be setup using Sierra charts simple alerts conditions, these conditions could then be outputted to a SC spreadsheet study, where you would have further access to Volume at price data. Creating formulas in the spreadsheet study you could create a system that could be backtested over historical data.

http://www.sierrachart.com/index.php?page=doc/StudyChartAlertsAndScanning.php
http://www.sierrachart.com/index.php?page=doc/SystemsAlerts.php

If your system used custom Volume profile variations, or you had complex conditions and needed to reference comparable times stamps over x amount of days, then you would need to use ACSIL, which is Sierra charts C++ interface. I doubt this is the case.

http://www.sierrachart.com/index.php?page=doc/AdvancedCustomStudyInterfaceAndLanguage.php

If you don't have any experience using the likes of excel, or a background in C++ then your best option is to pay a dev to create this.


-
More...

Thank you for your response.
 
SimpleMeLike said:
Hello all,

Hopefully I can get some help or advice here.

Currently I sim/paper discretionary trade support and resistance made up of Volume Profile, Value Areas, Pivots, High of Day, Low of Day, Open and Close on the ES, and CL based on a strategy I just wrote up over the past 6 months. I am still in forward testing trial and error mode. I would save alot of time by programming a strategy and backtesting it.

Lately, I have been doing extensive research and reading on programming and backtesting my trading ideas.

Is there any way to program and backtest historical daily Volume Profile and Value Areas over the past 5 to 8 years?

I can obtain Volume Profile and Value Areas day-to-day going forward, but I would like to backtest a strategy around Volume Profile and Value Areas from past data.

Any recommendation of existing programs or indicators or programmers or previous experience trying to accomplish the same thing?

Thank you
More...

One can back test pretty much anything imaginable with TradeStation's Easy Language. I have been using it about 15 years.
 
Steve Alexander said:
One can back test pretty much anything imaginable with TradeStation's Easy Language. I have been using it about 15 years.
More...
Thanks Steve, i am currently reviewing NinjaTrader or Tradestation as my platform for programming. NinjaTrader is free to trial, repeatly.
 
MattZ said:
In my opinion, VolumeProfile strategies are appropriate for discretion type trading and very hard to backtest with automation. It's a manual process of going back and checking sets of data and conditions.
More...

VP is just another one technical indicator. No more no less. Any programming language can do it in 1-2-3. I've did several profile strategies on C#. The only one difficult - you need a ticks instead of bars.
 
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