Ok, looking at chart again did the NL go negative before the chart ? Is this the purpose of NL?
The ACD Method
- Thread starter sbrowne126
- Start date
Thank you, yes I think knowing how to phrase questions is the first step, from that basic understanding a lot will follow.
Curious. if you are familiar with Excel and you don't require (you may) the rich,maths features of an OOP such as python, then why not stay with Excel VBA.
Is the issue more of fundamental programming skills as in opening files, reading to array,
performimg maths, and output results OR the curve of learning a new language( not as hard
If you have the basic programmimg skills).?
Charts and graphs in VBA I found strange and buggy, however outputting results to a 'sheet' and manually charting as you would any spreadsheet is easy.
Specifically, reading a file to array, calculating "swings" by advancing through the array and calculating percentage from a mean or reference , and writing results to an array (or sheet of file) for later analysis is quite doable with basic programming skills.
The difference is that with Excel you are performing all the work and not "calling" packaged
code to do the calculations. My bias is of course doing things manually as I date myself as pre OOP.
Is the issue more of fundamental programming skills as in opening files, reading to array,
performimg maths, and output results OR the curve of learning a new language( not as hard
If you have the basic programmimg skills).?
Charts and graphs in VBA I found strange and buggy, however outputting results to a 'sheet' and manually charting as you would any spreadsheet is easy.
Specifically, reading a file to array, calculating "swings" by advancing through the array and calculating percentage from a mean or reference , and writing results to an array (or sheet of file) for later analysis is quite doable with basic programming skills.
The difference is that with Excel you are performing all the work and not "calling" packaged
code to do the calculations. My bias is of course doing things manually as I date myself as pre OOP.
Can I offer some advice? Go to DataCamp. It's $6 a month. They basically teach you R and Python doing actual real exercises. I found learning this stuff from scratch is the most painful thing in the world. In DataCamp, they have a course called financial trading in R or Python. The way the course works is they give you the code and you actually do the exercises and learn from doing. So you will learn how to download the stock data, create charts, build an algo, test the algo and run the performance. It's honestly the best short cut. A lot of the courses are even free so you can try it out before you pay the $6 a month but honestly $6 a month is what, a sandwich? It's nothing and you can quit when you want. And they are adding new courses every day.
https://www.datacamp.com/
Once you start using number lines you won't ever have to look at a chart ever again. I think the beauty of number lines is that it's more data driven and lends itself well to statistical analysis. The number lines contain information that you won't see in the chart. A chart is like looking at a car on the outside and trying to diagnose what is wrong with it. The number lines is like reading the code off the internal chip in the car's computer that tells you exactly what is wrong with it. Sure, eventually whatever is ailing the car will show up in the form of smoke coming out from under the hood or the engine just stopping. The idea is to find the problem before that happens and that is what number lines do.
Here is one of the courses:
https://www.datacamp.com/courses/financial-trading-in-r
Course Description
This course covers the basics on financial trading, and gives you an overview of how to use quantstrat to build signal-based trading strategies in R. It will teach you how to set up a quantstrat strategy, apply transformations of market data called indicators, create signals based on the interactions of those indicators, and simulate orders. Lastly, you will learn how to analyze your results both from a statistical and a visual perspective.
Everything involving programmatically coding something relies on basic coding and statistics. Python is not a secret weapon here (it can be done with any language) it's just that a lot of the "quant" types have gravitated towards it for whatever reason and there are existing libraries available.
All the basic time series calculations are trivial and any basic language won't present a barrier. It's the statistical portion where it's going to get more difficult.
All the basic time series calculations are trivial and any basic language won't present a barrier. It's the statistical portion where it's going to get more difficult.
I really can't give you a straight answer because I don't know the limits of VBA. I have a few macros that automate the posting of the ACD scores, daily data and other metrics I gather from the Sierra Chart spreadsheets.
Some years back I spent months working out the ACD standards I apply until today. It was a painful manual process. Are they still the best ones today? I don't know, it would take a few months to figure out for each and every instrument I trade.
I spend the most time working on trade management. I can't think of anything worse than picking a good trade, then having a poor entry and poor exit, the latter especially. About 5 years ago I stopped day trading the ES as it was death by a thousand cuts. Only my excellent risk management and discipline stopped me from blowing out that account. I spent the next 4 months watching CL on a 5 minute chart during RTH and recording every swing. After that I analysed the data and found a pattern to it all. Examples, I cannot remember the numbers, after a 20 tick move, a pullback would be 6 ticks at most within 2 standard deviations from the mean, after 40 ticks a 15 tick pullback, after 60 ticks a 22 tick pullback, anything more was an outlier or a change of direction. From entry a 14 tick stop below the 20 EMA was all that was needed 94% of the time, if it went beyond that it was either an outlier or you got the direction wrong. Now it would probably take a few days to run through 4 months of charts measuring this for 1 instrument, for the 40 or so instruments I track, weeks or months. I would actually like to expand my FX universe, I don't because it is too much work manually.
Watching those charts, I noticed price would break through 20 and 50 EMA, then in the middle of nowhere, reverse. On a hunch I added 20 and 50 EMAs from 15m, 30m and H1 charts to the 5 minute chart and there you were, the reversal points were exactly where those MAs were. The nice thing about algos is they are entirely predictable, they just execute. The unfortunate thing is we don't know in advance which algos are applying what. How about code that identifies which MA the first bounce is off in real time, and the probability the next one will do the same?
I have years of data on disk. I'd like to be able to query that data on swings for a 10 minute chart, hourly, 4 hourly, relate that to the current volatility environment, correlate that across all the crosses of a particular currency, or a commodity class like precious metals or energy.
I don't know, can VBA do this readily?
Also, I believe that with Python you can write code to do web scraping and pull stuff off Twitter say. I follow someone on Twitter who calls out trades in the same instruments I trade. She is profitable because her winners are like 10R, very tight stops, but she gets it wrong most of the time. I see a call, I pull up my ACD metrics and say she's nuts, and sure enough, most of the time she is. If you had an 80% probability of being right by fading a professional trader, could you trade that profitably? I think I could.
So that's the basis of my thinking. As was said earlier, I don't even know how to ask the right questions now. I'm just looking for the ability to spend a few days coding to achieve months of manual work on charts in minutes, and do it for all sorts of things. For that I'm willing to spend the next year of my life learning. I spent a year learning to trade options, I don't do it exclusively anymore, stopped when Mav said why limit profits when you have a better return from taking on directional risk with good probability, but the concepts are still gold and I always have options to fall back on when I need capped risk.