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dom993
Registered: Jul 2008
Posts: 538 |
05-01-12 07:24 PM
I have developed many (automated) trading systems, mostly based off price-action (swing H/L), using range chart and volume charts. I never had any reasonable resiliency to market noise & volatility changes, until I started to use price, time & volume all together to identify these swing H/L.
I have to admit, for years I underestimated the importance of time, which is pretty much the only "constant" from one day to the next.
Adding time-based conditions to the definition of your setups might help.
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masterm1ne
Registered: Dec 2009
Posts: 797 |
05-04-12 02:16 PM
Quote from dom993:
I have developed many (automated) trading systems, mostly based off price-action (swing H/L), using range chart and volume charts. I never had any reasonable resiliency to market noise & volatility changes, until I started to use price, time & volume all together to identify these swing H/L.
I have to admit, for years I underestimated the importance of time, which is pretty much the only "constant" from one day to the next.
Adding time-based conditions to the definition of your setups might help.
Yes, I have noticed how critical time and timing are in trading.
I'm sure a simple indicator showing intervals of X minutes in a will help keep track of time if using share/tick/range bars. Mind sharing how you calculate time using range and volume bars? I have come to the realization that usually, the more time you add to a patern, the more valid it is.
code:
//written in EasyLangauge - creates an oscillator that switches from 1 to -1 every time 5 minutes passes
Inputs:
MinuteChange(5),
IntervalColor(cyan);
Variables:
RefTime(0),
OscVal(0),
CurrentTimeMinusMinuteChange(0);
RefTime = T;
CurrentTimeMinusMinuteChange = CalcTime(RefTime,-MinuteChange) //The CalcTime function adds and subtracts minutes from a reference time
If T >= CurrentTimeMinusMinuteChange[1] then
OscVal = OscVal + 1;
If T >= CurrentTimeMinusMinuteChange[2] then
OscVal = OscVal - 1;
plot1( OscVal, "Min Interval" , IntervalColor, line);
Didn't test it :0
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dom993
Registered: Jul 2008
Posts: 538 |
05-04-12 08:06 PM
Quote from masterm1ne:
Mind sharing how you calculate time using range and volume bars?
Very easily, actually ... I keep track of the bar# for each pivot, from that I can retrieve not only all information that pertains to that pivot bar (including its timestamp), but also a great variety of information re. what happened since last pivot, or in-between pivots (elapsed time, cumulative volume, Highest High/Lowest Low).
Of course, the timestamp is the bar Last price timestamp, which is always different from the actual 1st-print (or last-print) of the pivot price, but using a reasonably small timeframe (I am now on 100-volume for CL), the difference doesn't impact much the system performance (I concluded that after doing detailed replay using actual 1st-/last-hit timestamps as a comparison)(I prefer using the bar Last price timestamp as it gives exact same setups in "end-of-bar" backtesting & real-time execution).
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