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  • guandi commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3035 days ago
    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  
  • JohnLast commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3036 days ago
    Actually the high frequency algos do the same they place mostly limit orders, otherwise they will get killed by the spread.
  • JohnLast commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3036 days ago
    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...
  • londontrader commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3036 days ago
    ok i think u might be right,it showed some bad trades
  • JohnLast commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3037 days ago
    От 23 септември 2011 Two screen shots:   От 23 септември 2011
  • JohnLast commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3037 days ago
    My fists tests show that it does not repaint.   
  • JohnLast commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3037 days ago
    I would like to ask you not to make such statements without proof. I am going to check this too.  
  • londontrader commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3037 days ago
    this is repainted 100%
  • guandi commented on a bookmark Algo Futures and the WOW index by Carl Weiss 3037 days ago
    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...
  • JohnLast commented on a page titled Fractal dimension patterns 3037 days ago
    6. Eventually the algos run a lot of stops and Flah Crash occurs ;).
  • JohnLast commented on a page titled Fractal dimension patterns 3037 days ago
    So the sequence is: Market State creating a pocket  of predictability The algos find a solution simultaniously even if their logic is different The algos form a super algo nerd  The algo nerd creates an order flow The order flow...
  • JohnLast commented on a page titled Fractal dimension patterns 3037 days ago
    So far we try to analyse the activity of the high frequency traders and the algorithmic traders as a whole. Their microscopic activities affect our macro world. As we cannot compete directly we could try to have some clues what is going on on the...
  • CamaRon commented on a page titled Fractal dimension patterns 3037 days ago
    Well written !  As you know, I still feel we have to dig deeper in this fractal matter :)
  •     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...
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  • JohnLast created a page Fractal dimension patterns 3038 days ago
    Here I list some patterns from the fractal dimension indicators. Fractal break -out Basically the ideal price movement is in a price channel. The price channel can be horizontal (range channel) or directional (trend channel). In fact it...
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    • JohnLast 3037 days ago

      So far we try to analyse the activity of the high frequency traders and the algorithmic traders as a whole. Their microscopic activities affect our macro world. As we cannot compete directly we could try to have some clues what is going on on the macro level.

      We have some evidence from using two different approaches that there are some pockets of predictability. One of the evidence is offered by the research of Mr. Zapart. And we exchanged some correspondence with him. His idea was to show that at some moments the entropy drops down and the market gets really more predictable.

      The other evidence is from the chaos theory field. There is evidence that when we have a large Hurst exponent the market gets more predictable.

      The last tool is the Lyapunov exponent that determines how much in the future we can look.

      That all means that under some specific conditions the order flow will rule the market. That is due to the fact that at some specific moments there is a solution and the machines are able to detect it. And if they are able to detect it, they create nerd type order flow, and the order flow makes the price moving in a specific direction.

      And that predictability is completely independent from the notions of trend or range. I call this a phase space of the possible solutions. Very often there is a directional solution and many algos are able to detect it and act accordingly. The idea comes from the i Robot boom of Asimov. There is a mass psychology of the robots too. Sometimes (under specific conditions that can be measured) they act as a super nerd. And that causes flash crashes. So I apologize it is a bit confusing. But we have a behavioral hypothesis, and some tools. And most of all your approach is a big part in this picture.

      The WoW index with the analysis of the order flow may be a valuable tool.

    • JohnLast 3037 days ago

      So the sequence is:

      1. Market State creating a pocket  of predictability
      2. The algos find a solution simultaniously even if their logic is different
      3. The algos form a super algo nerd 
      4. The algo nerd creates an order flow
      5. The order flow move the prices 

       

       

    • JohnLast 3037 days ago

      6. Eventually the algos run a lot of stops and Flah Crash occurs ;).

  • JohnLast created a page Phase Space Singularities 3038 days ago
    The theory is that the market is not a signal. What we have is a multidimensional phase space. In those multidimensional space there are fractal attractors. There are many of them there are simple and complex (point attractors, cycle attractors...
  • От 04 октомври 2011 Here I just compile some things I have written on TSD and Forex Factory.  Fractal dimension use   The FGDI is the fractal dimension graph indicator (slight upgrade of the FDI fractal dimension...
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    • JohnLast 3019 days ago

      Please look at the change of the market structure between the pruple zones and the blue zones. The market change its regime during those periods. And that has very practical consequences, for  example imagine you have trained (optimized your model) during blue zone and all of a sudden the market is going into a purple zone. What is going to happen. I guess your system may fail to work, and of course a constant optimization bar per bar would not help. You are going to optimize for completely different market states all of the time. And that lead to the hypothesis that your results would be not very consistent. And whatever you optimize it would be based on luck because you do not know beforehand how much those market states are going to last and how they would change. 

      So the question arise what we can do?

      1. We can take into account those shifts in market structure when we optimize our systems. We need a stable market structure in order to succeed. 

      2. We can design a a system that would work on both market conditions. Could we? Yes we can, for example buy and hold would work on both market conditions provide the market is trending upwards. However we go from one uncertainty into another (market trend direction and the profitability of the Buy & Hold strategy).

      Whatevever we do there are uncertainties. Howver the market state teches us not to take a directionnal signal when the market state is not persistent.  

  • JohnLast published a blog post Dark pools against High Frequency Traders 3040 days ago
    Dark pools against High Frequency Traders
  • Anelia commented on the file Hurst Difference Total 3049 days ago
    Interesting. Is it possible to have the same with entropy?
  • JohnLast commented on the blog Predicted volatility and timing 3049 days ago
    There is a correlation between the increase tic Volume and the ATR. I am not rigourous i know.