The Importance of Simplicity

Quote from EliteThink:

Natalie, how are you finding and mapping the probabilities of bar patterns?

thanks.
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At the moment, the hard way, i.e. by hand and updating in a spread sheet everyday. Starting a new study requires a huge amount of input to bring in the past occurances up to date. the more data you use the the bigger the task (unfortunately). But I've been recording this kind of thing now for over 4 years.

You end up by finding a few favourite patterns that work well for you, and you are able to instinctively run with (after a period of messing up and getting it wrong etc.)

The Raw information is of little consequence really, it's how you use and apply it that makes a difference, and again there is an element of looking for a needle in a haystack, and currently the data that I have created by hand misses many many things.

So in the meantime while I'm doing that, I'm writing a bespoke piece of software with a friend to do this from historical tick data. ( I started a thread elsewhere on that, but had little response, on the board although I did get a couple of private messages of encouragement although nothing that could be called guidance based on experience.)

After that, by using plug ins to the programme we'll be able to test the same things incorporating indicators too now that should lead to some very interesting results...

Natalie
 
Quote from wally_:

Someone mentioned here Vic Spearandeo. He indeed is a great master of simplicity, but also one of those who did a great deal of decent statistical research. A lot can be learned from his books unlike from the books of Tom DM and other 'New Age' researchers who so much abhor statistical analysis.
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hi Wally,

Any books in particular you could recommend to read (Plus if you know where to obtain it)?

thanks
Natalie
 
Quote from Girlpower:


Any books in particular you could recommend to read (Plus if you know where to obtain it)?

thanks
Natalie
More...

Don't know when Wally will be available. I mentioned Sperandeo with regard to trend reversal. His first book was Methods of a Wall Street Master. Highly recommended. He later wrote another called Principles of Professional Speculation. However, I was told that there wasn't much new in it (which is often the case with second books, particularly if the first one was a long time coming), so I haven't read it.

Nobody's better if you want to understand trend.

--Db
 
You and I are doing essentially the same thing, but approaching it slightly differently. Can I ask a couple of questions?

I'm wondering if you have methods for openings if the price is inside the first 1/2 hour range?

Also, what kind of methods do you use later in the day for reversals?

And, how do the 3min bars help you as opposed to the longer ones I use?

Thanks
Natalie
 
Quote from Sophomore Jinx:

This is a terrific thread, very thought-provoking and encouraging to those of us in the hopeful KISS crowd...I was wondering if any of the principals of the thread might be willing to post some screen grabs depicting what exactly they're doing (breakout methods especially). I'm getting a bit confused as to who's using which bars in which context, for what reason...

.
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Sorry, I do not have a clue how to post it on this board. Just not that technologically advanced. Mine is just the Don Miller course followed exactly. To the letter. No deviations.
 
Quote from dbphoenix:

Natalie and Mike,

How far back do you (can you) go in your backtesting?

--Db
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That depends on the time frame for the bars. Right now I could sure use a truckload of continuous ES tick data in ascii format if anyone can supply it going back maybe 3 or 4 years.

Any back testing I do is totally manual (by hand) I don't have the systems yet to do it mechanically...

Natalie
 
Quote from Girlpower:



That depends on the time frame for the bars. Right now I could sure use a truckload of continuous ES tick data in ascii format if anyone can supply it going back maybe 3 or 4 years.

Any back testing I do is totally manual (by hand) I don't have the systems yet to do it mechanically...

Natalie
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If you would, I'd appreciate it if you'd go back beyond a month, say August and September, and see how your results differ if you don't trade days that gap 3% or more (there aren't likely to be many such days).

--Db
 
Quote from Girlpower:



At the moment, the hard way, i.e. by hand and updating in a spread sheet everyday. Starting a new study requires a huge amount of input to bring in the past occurances up to date. the more data you use the the bigger the task (unfortunately). But I've been recording this kind of thing now for over 4 years.

You end up by finding a few favourite patterns that work well for you, and you are able to instinctively run with (after a period of messing up and getting it wrong etc.)

The Raw information is of little consequence really, it's how you use and apply it that makes a difference, and again there is an element of looking for a needle in a haystack, and currently the data that I have created by hand misses many many things.

So in the meantime while I'm doing that, I'm writing a bespoke piece of software with a friend to do this from historical tick data. ( I started a thread elsewhere on that, but had little response, on the board although I did get a couple of private messages of encouragement although nothing that could be called guidance based on experience.)

After that, by using plug ins to the programme we'll be able to test the same things incorporating indicators too now that should lead to some very interesting results...

Natalie
More...

Interesting. I'm working with 5 min data in ts6 and going through it by hand also to see what patterns work. I think the bars are too small to really gain significance but i'm finding ideas that work with a daily filter. As you eluded, it is massively time consuming.

I'm almost ready to wrap things up and move to other compressions though. Thanks.
 
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