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  •  'If 15% of day traders are profitable,' says Drew Niv, chief executive of FXCM, 'I'd be surprised.' "[16]
  • hello all,   i found some lecture notes by the the author. http://konwersatorium.pw.edu.pl/wyklady/2010_VLZ7_01_wyklad.pdf   More papers can be read from his website here http://eleceng.dit.ie/blackledge  
  • I tried to make something but i failed miserably. 
  • Of course, the description is unclear The algorythm is based on the  "Plus least squared regression linear". If you could get the code in C, I can try more easily to rewrite it in MQ4.
  • Thank you Jaguar, but no one has to feel obliged if the instructions are not clear about how to make it, or he thinks that the approach is not enough perspective.  I think that the article is great however its weakest part is about the...
  • Yes, I know it"s difficult, but it's also the purpose of this website to show this kind of algorythm, and ask people like me to code this. I try my best effort to understand this and code it. Not sure about the result. I will try
  • The article is nice but still I do not know how to make a mql code for orthogonal linear regression. And I am a bit skeptik (a little bit) about the way you transform the fractal dimension into directionnal indication.  In the provided example...
  • I have a friend specialized in laptop hardware, and according to him from inside VAIO are very solid machines and with very well manufactured internal components. 
  • Yes, I jsut got my new VAIO ! such a light in the darkness! yes, I could try to do something. I have a nother stuff, very important, the EA Grid, inf first aim
  • Here is an interesting paper on using Fractal Market Hypothesis to predict the state of the market. any one want to try to code the indicator for testing?
    Comments
    • sire 2770 days ago

      Bonjour à tous et bravo pour votre travail.

      I'm also interested int the q-algorithm as I read all the blackledge papers.

      The ORL is a Deming regression considering delta=1. The estimators can be found here http://en.wikipedia.org/wiki/Deming_regression (another way is to calculate via matrix).

      As I'm not a great coder, I think after calculate the moment qj=1+2Hj to calculate new qj=qi with the previous estimators and the real xi & yi.

      Then applying the different moving averages.

      If it could help some, i would be interested in the mql4 code.

    • jaguar1637 2770 days ago

      Yep, I am too interested in coding in MQ4L, 

      I need the Code in C langage of this algorithm for this purpose

    • sire 2768 days ago

      As you know maybe it exist a Matlab coder package that convert .m files to .h ones for C++ or C# (need to check). Does anyone have eventually a such expensive package ?

  • JohnLast commented on a page titled Chart patterns or Chaos attractors? 3189 days ago
    When I think about the chaos attractors I think that chaos attractors can be found in the accumulation of market orders. Those orders act as point attractors for some big market players. This is closely related with the group about Oanda market...
  • JohnLast published a blog post Market State Analysis and System Trading 3196 days ago
    Market State Analysis and System Trading
    Comments
    • JohnLast 3154 days ago

      Today I made some similar tests with the ASCtrend expert. The tests were on 15m time frame and 30 m time frame. The results were very similar (on 1h the expert was loosing).

      The results were very similar with the performance of the Brain Trend. Can you infer any definitive conclusions from those results. I do not think so, but we have some hypothesis. Some experts are very correlated in their performance, so when they win they win together, when they loose they loose together. 

      Here both Brain Trend and ASCtrend experts are market followers, so they would perform very well in similar market conditions. So the job is to find a robust market follower, that is because there are market follower (trending systems that are not robust). And when the market state is there you just run it, even if the settings are not exactly the most optimum, and you never know what would be the best settings you are confident that it will work. And if the markets conditions are not there it can't work. And that is it, it can't. 

      Having that in mind, the quest for the perfect expert is pointless, there is not an expert that would perform anytime. So the work would be to find a robust systems for particular market state. And the processi is to switch between the systems, but that requires a critical set of meta-knowledge.

      In this example if you see that ASCTrend or Brain Trend do not work, it does not mean necessarily that they are worthless, it means that the actual market state is not within the performance parameters of the system.

       

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      От 08 ноември 2011

       

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      От 08 ноември 2011
    • JohnLast 3096 days ago

      Very interesting film, definetely for the watch list.

  • JohnLast added a new discussion topic Why popular methods of technical analysis fail to work? 3196 days ago
    Recently I took occasionaly part in a discussion in linkedin in the closed group Authomated Trading Strategies. The group is closed and it takes time to get approval in order to have access however it is worth especially if you can read between the...
  • JohnLast created a page Chart patterns or Chaos attractors? 3198 days ago
    Can we analyse the chart patterns as chaotic attractors? That is a modern explanation of the chart patterns that make sense. I will give a definition of an attractor using the Wikipedia. The problem is that the traders do not understand the science...
    Comments
    • JohnLast 3189 days ago

      When I think about the chaos attractors I think that chaos attractors can be found in the accumulation of market orders. Those orders act as point attractors for some big market players.

      This is closely related with the group about Oanda market orders information

      The idea is that the attractors are not only in the price itself but also in the market as accumulation of open orders. The idea is that to look only the price is a reductionist approach, the market orders are a part of the price. 

      And to say that the accumulation of market orders acts as a chaotic attroctor for the price fits well, even if it is not scientifically proved, and of course it is not a science, however all the applications of mathematical methods in finance is not science at all (otherwise we would not have crisis of any kind).

      Consider it as a hypothesis not even a tentative theory. 

      When I did some tests with Support Vector Machine model. On one model I applied the price alone, on another I applied the levels of market orders accumulation and how they change. The second level performed much better.

      Unfortunately I did not made any extensive testing because it is too much work to input those levels by hand and to input them into excel spread sheets in order to feed the rapid miner model. And I doubted too much of the relevance of the results.

       

       

    • JohnLast 3097 days ago

      As for chart patterns and chaos attractors I updated the following post. It is about 

      Accumulation of orders: accumulation and distribution between market participants and market makers in the Forex market. 

      The hypothesis is a somewhat extension of the principles of the VSA (Volume Spread Analysis) in the modern markets where the big institutional volume is not a king anymore. 

      The smart algorythms are trying to front run the big isntitutional volume, to that extent that it is using super fast algorythms itself to place the orders without revealing the direction (or even is using dark pools).

      So the accumulation of open orders is a case of attraction point for some market participants. With those levels you can even project beforehand the support and resistance zones.

      An extension of those ideas are the shots between the relationship of the market orders accumulation acting as chaos attractors and the market state characterized by the volatility and and fractal dimension.

      This stuff is interesting, because you can see how the market participants are responding to the market  and placing orders at specific spots (not randomly). Especially in EURUSD it is very pronounces with accumulation of orders at the round numbers acting as chaos attractors.

       

       

       

  • Modern technical analysis
  • JohnLast commented on the blog Predicted volatility and timing 3206 days ago
    I do not understand the question
  • jaguar1637 commented on the blog Predicted volatility and timing 3206 days ago
    Which indicator can fetch this move ?
  • R Grahana commented on the blog Predicted volatility and timing 3206 days ago
    Thanks john
  • JohnLast commented on the blog Predicted volatility and timing 3206 days ago
    Check this it is the Oanda open orders.
  • R Grahana commented on the blog Predicted volatility and timing 3206 days ago
    What indicator is that? Green and Red with Text "NET (Buy - Sell) Orders"