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Old Jun 29th, 2008, 05:59 PM   #1
vikana
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Join Date: Apr 2001
Location: California
Posts: 1,575
Forum dedicated to analysis and testing of Jack's PVT System.

To avoid all the usual banter associated with JH threads, I've agreed to heavily moderate this thread. Only content related to PVT, testing of PVT or clarification of PVT details are allowed.

Let's make this productive. I think it could help all sides evaluate and learn.
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Old Jun 29th, 2008, 07:02 PM   #2
jack hershey
 
 
Join Date: Feb 2003
Location: Tucson, AZ
Posts: 8,633
Second attempt

This is what precipitated the advent of this thread by the moderator of this forum:



--------------------------------------------------------------------------------
Quote from vikana:

I'm still open to keeping a forum under Strategy Trading exclusively focused to systems, code and technical discussions. I will remove everything unrelated.

I recently extended this offer to Jack H. but he declined. I'm open to keeping it general, if there is an interest.
--------------------------------------------------------------------------------



The attached was posted in the thread (As stated and cited) you subsequently moved to chit chat.

Start with this attachment. The trading rules are in the middle in color. The Universe is posted frequently in the threads previously mentioned to you. Likewise, the Universe selection is coded using several different scripts for several different platforms that are available as alternatives for US and foreign exchanges. Previously, I have suggested in the thread you moved to chit chat that the Sidney exchange be included.

The name of the system is PVT.

The coding (you among others volunteered to do and post) to do PVT follows from the rules and the monitoring on a 30 minute fractal. Or if one wishes to simulate an employed trader who can only monitor EOD data in the evening after work, use that EOD type back test.

This will serve two purposes:

1. To eradicate once and for all the prior posts on backtesting the PVT trading where the backtesting posted in your forum was not backtested by you to confirm its faults.

2. To show a complete backtesting code in whatever code is desired and to show that the code can be corrected to get a quality back test performed.

Examples of the results of using this successfully in a forward test are already published, refered to and posted.
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File Type: gif scan0040.gif (678.4 KB, 514 views)
 
Old Jun 29th, 2008, 07:03 PM   #3
jack hershey
 
 
Join Date: Feb 2003
Location: Tucson, AZ
Posts: 8,633
The following Q's were also asked in the Feedback thread:


[Vikana:]Great news Jack! I've set up the thread as previously committed.

http://www.elitetrader.com/vb/showt...324#post1976324

I suggest you copy the content above over (to keep your name associated with it).

I have a couple of questions I'd like to understand:

1. could you please define the various terms in the table (column headers).
2. what's the underlying contract or stock you used (good starting point)
3. for me, I would benefit from a clearer description of the rules between the two graphs.
 
Old Jun 29th, 2008, 07:17 PM   #4
jack hershey
 
 
Join Date: Feb 2003
Location: Tucson, AZ
Posts: 8,633
my post to Q1 was just destroyed on the way to the thread.
I think I am having difficulty posting for some reason. bear with me if it takes a while to get the posts up.
 
Old Jun 29th, 2008, 07:21 PM   #5
jack hershey
 
 
Join Date: Feb 2003
Location: Tucson, AZ
Posts: 8,633
Q1 second attempt.

the column headings are as follows:

EST Eastern standard time

Tuc Tucson time during what the rest of the country alls daylight savings time. AZ does not change times since we just ranch all year and do citrus all year and mine all year in tunnels and pits.

30 minute These are volume bar values for the 30 minute period in the row. they are %'s of total day's volume so they add up to 100% for a day.

Cummulative. This is the sum of the rows of 30 minute volume up to and including the row. It is the % of the total volume of the day that has occured to this point in the day.
 
Old Jun 29th, 2008, 07:28 PM   #6
jack hershey
 
 
Join Date: Feb 2003
Location: Tucson, AZ
Posts: 8,633
more question 1 on columns.

The remaining columns are a look up table for making money during the day.

DU means Dry Up volume

FRV means First Rising Volume

Peaking Volume means the highest volume at the end of a trade.

All trading learning takes place elsewhere. Presently, learners go to the journal nemas Iterative refinement which is heavily monitored just as this one will be. In the beginning of that Journal you are directed to many other resources. Here in this thread we are just carrying out some overdo housekeeping.

In the cells of these three columns you see decimal precentages.

THe DU percentages show how a Dry Up day unfolds. DU is the immediate precursor of taking a trade. You use DU days to WAIT.

The last value at the end of the DU column is very important as we will see.
 
 
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