Trend or Range and beyond it: Market state analysis
Algo Futures and the WOW index by Carl Weiss
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This is a very interesting site. On this site you can monitor the order flow in some markets: SP 500; Gold and Crude Oil.
What is this?
This is the WOW index. It has been created by Carl Weiss. The Weiss Index or as he call the WoW index monitors the order flow. The algogoup is deploying a R&D program trying to understand of how changes in Order Flow affect changes in Price.
There are two signals:
1. There is a classification algorythm showing if the order flow is going up or down. Main idea, never fight the ticker.
2. The signals are coming when there is some divergence in the order flow momentum. Here I will cite Carl Weiss.
"Wo-Mo is proprietary class of algorithms developed by Algo Futures that monitor each transaction in a particular market and output streaming sets of values from which, the aggregated change in momentum of the ferocity and half-life of Buy and Sell program invocations can be inferred.
This ongoing ‘action and reaction’ activity within the automated trading environment is the major determinant of changes in Price in the short-term.
When the aggregated behavior of the automate program trading is aligned and congruent, trends are created. When the behavior is chaotic, Price is chaotic.
The WOW Indices are composed from the outputs of some of our real-time SP 500, Dow 30, STOXX 50, & Crude electronic futures order flow momentum interpretation algorithms."
I woulf lije to thank guandi for the link. Is it interesting? Yes it is. That is why I got to bed a 2:30 in the morning last night.
You can have a plugin in your site check how it looks like at the bottom of my blog.
A short video on you tube: http://www.youtube.com/watch?v=xFrTqts0PQc&autoplay=1
Comments
hello John,
glad you like that. i was hoping that they will incorporate currency futures at some point in time. It will be nice to see if we can use WOW index as a signal/trigger to trade spot forex.
best regards.
-guandi
this is repainted 100%
I would like to ask you not to make such statements without proof. I am going to check this too.
My fists tests show that it does not repaint.
Two screen shots:
ok i think u might be right,it showed some bad trades
In fact the signals for me are not really trades. There are some possibilities and they need to be taken with limit orders and not market orders.
As for me the important information are the stripes. I think if I can use an algorythm in Rapid Miner to predict them. But I would have to make manually the excel files and prepare the inputs so it is not very convenient.
Actually the high frequency algos do the same they place mostly limit orders, otherwise they will get killed by the spread.
i think you are right, lots of possibilities, i am looking to try a MT4 broker which offer the SPY, CL etc and see if we can leverage the signals from WOW.
is there a way to pipe the info from WOW to MT4?
best regards.
-guandi
I think Carl Wiess has paid services with a proprietery trading platform. My thaught is to see and analyse for us when those signals would be more reliable, to filter them. The hypothesis is that the signals are more reliable when the fractal dimension is low.
More on this concept is here.
Guys go outside do some sport take fresh air, spend time with your families and friends. My mentor tells me to never think about the market if I do not have an open position on it.
And he spends all his week -end with his familiy. Markets are closed why bother.
TRy to market detox.
Hi John :)
Do you really... like it?
I do not trade S&P 500 but as the S&P 500 is higly correlated with the EURUSD I have a look at it.