I agree. Not yet anyway. That is why it is work-in-progress. It might be an absolutely useless exercise. But like Isaac Newton said: âThere are no negative results in science!" I will keep on working and listen to people's ideas. May be collectively we will come up with a useful indicator eventually. Thank you for your participating in this discussion.
I annotated part of your chart to illustrate a point. To design indicators or strategies based on market something or other, many people take on the job of doing inventions. Largely the orientation is to "discover" or compete or be right about something. There is another avenue that may be considered. It revolves around market principles. In a prior post I made a minor mistake. I suggest comparing two paradigms, one of which was the parameters of the market. I was careless and made an asumption that a reader would know the market parameters. It is not common for people to know the market parameters since they are rarely written about or researched as an objective. So my annotation may appear to be OT (Off Topic) here. At the fork in the road a person can either "invent" or "study" the market. By looking at the market (P, V) and the results of applying and indicator, a comparison can be made. The look at the market is: (pink)>>> (yellow)>>>(red)>>>>(green). Fifteen consecutive profitable trades result (Do crayola zig zag in the annotated area noting you always have a signal from the annotations.) The indicator bars are shown in the time sequence. there is one connection and it is found as a "confirmation" of a position already signalled previously (during a profit making segment already under way. Several myths of the market and trading come to mind. People invent and discover to be able to fit trading to their lifestyles. people try to find things (often called edges) that give them a competitive advantage. People think always being right is always important. There is a thread running about taking 5,000 to 250,000 over a long period of time (a year possiby). 2 points a day are required from ES per contract and the number of contracts will go from 2 to some number like 20 to 25 to achieve this invented goal and trading technique (a bracket trade to scalp a move under a couple of minutes. On the otherhand the market ofers a person trading 25 contracts in the same market (ES) several to many 100,000 dollar days every year. One strategy takes a year the other takes 2 to 3 days in a year. The point I make is to know the market and its parameters. Using pink, yellow, red, green is only a crude level and superficial way to be able to time and execute the 15 trades shown. By using what the person in the first example (5k to 250K) calls a clusterf@%# (a screen display that is comprehensive) more than the crude level can be accomplished by adding 10 more items to the four colors. The level of displaying 14 market parameters allows for having a baseline from which to refine extracting what the market offers. Moody Blues (I'm only a singer in a rock band) uses two great drummers as part of their delivery system. Each has more than 14 precussion items to play with and they only use three extremities and their eyes and ears. A trader has two eyes that play on the screen and his hands annotate several colors) and trade (several icons). the beat is slow compared to a drummer and there is a similarity in that both trader and drummer move from one item to another to get the job done. The drummer is fast and the trader does things at a 100 millisecond rate serially. Coding inventions and discoveries makes them much faster than the drummer and the slow trader (think of a guy making 2 points in two minutes and calling it a day because that is his strategy or the trader who trades all day get the occasional 100,000 dollars on 25 contracts) Programmed trading has a rep rate that is 10 times faster than the trader at a minimum. The input data flows much faster than the rep rate of the programmed trading simply because programmed trading outputs are compilations of many raw data input signals. jerry030 has described the heart of programmed trading in terms of quant dependent variable elements and degrees of freedom. His several alternative description allude to the fact that programmed trading systems, internally swell to all sorts of operations and then through induction (bad) and reduction, they have a few outputs. This is different than a single Excel spread sheet that describes making 2 points a day with x contracts determined by profits. 2500 of 3000 dollars makes 100 dollars a day is the complexity. Computers can see in real time what traders cannot. the consequence is either making a lot more money of processing a lot more data. The universal choice that the public is seeing is a lot more data processed and the results are displayed on multiple screens. More money is not being made by these efforts that diverge greatly from dealing with market parameters what the market offers. Going from pink>yellow>red> green to jerry030's programmed trading (if it is focused on parameters) allows a computer to go to the right place on its internal display (where there may be 25 to 75 degrees of freedom) at the right time (and do analysis over and over during one human type monitoring observation) and get the job done with regard to making money. Chosing the way to handle creating the degrees of freedom, apparently, is the nut to crack. I do not see it as inventing but rather following the path that is presented by the market's parameters and their dependent and interdependent relationships.
Ok, so...not to bring this further off topic but here goes. I am a slave to mathematics and programming i.e. i do it for the fck of it. Its my "thing." However, when it comes to trading, loving math and programming only gets me so far. This thread (I think) is less about finding "the next best thing" and more about tickling our mathematical fantasies. I would have to guess that most of the people replying to a "Kinetic Energy" post are doing so out of there own curiosity and self indulgence and not to find a perfect system that turns 5k into 100k overnight. I do appreciate the long and insightful post and just to be clear i believe that price is king and sometimes people get a little to obsessed with the squiggly lines on the screen.
The only reason I replied to you was the mathematical connection that you made between the market and your indicator. You figured out one aspect of the market that your indicator represents. This thread isn't going to have any purposeful yield simply because it will not be possible to buld any non fanciful linkages. The starting point constraints formed by misinformation prevents that. There most certainly ARE major and almost MAGIC connections possible by using math as the bridge from the markets to VERY IMPORTANT ANALOGIES. A person who is lucky enough to see the potential and ALSO be sitting in a mathematical and/or scientific orientation can take his skills and knowledge and use them to build a brdge from the market to an operating system that REALLY performs. We all know that any performing system really makes money and therefore making money is not very important since it just piles up. The heart of an effort where time is being spent is the bridge that is created. For me just as a reflection, my lifetime symbol is the bridge. I agree with you that there is great satisfaction in bridge building. A person sitting at the place called "making money" is faced with the problem of building from making money (A deep desire kinda thingy) to a place where money exists and can become available. This hardly ever works because to person has no building materials and cannot acquire any because his desires keep pushing everything out of view except money which he doesn't have. In reflection, I can look pragmatically at my personal tooling derived from using relay circuits to plug in measuring equipment to Theoretical Physics (think Manhattan Project staffing level collegial work). This range of mathematics, being available, I wouldn't touch quant with a ten foot pole for building a bridge to the markets from trading capital accounts. Making and building the connection is primarily a matter of reliability. What property of energy is most pertinent? For me it is insulation. How to insulate from unwanted considerations. On a crude level, just look at all the time between the trend changes on your chart. All the time is the money making time at the lowest slowest periodicity where insolation from any risk whatsoever is the only mathematical consideration. For me, I reached into the tool box and pulled out the "certainty" tool. I also concluded that if I could do it for long segments of profits, then I could do it more effectively and efficiently by moving from crude to the more and more elegant (I regard elegant as a mathematical term). You make the point that a person may not be able to make use of what he has acquired in knowledge to forward his performance in dealing with building a brdge to the markets. It is a very good idea to process this consideration by doing some critical thinking on the subject. Designing programming languages I regard as a kindred process to that of building a bridge for making money using the markets. A language, when complete, is based on "certainty" throughout. The market issues commands and instructions. The built bridge accepts these inputs and processes them to capital accounts that simply apply capital to make more capital and bank it into the accounts at the proper times. Receivers are designed front ends that must be tuned to the commands and instructions. Outputs of receivers are compatible with the remaining system that handles them and does the processing to automated trading platforms which contain the trading capital. The OODA and its feedback loops do not apply. Just as TV went from analog to HD, the market's transmissions went from teletype to data flow at high bandwidth because of the information content and market's upsizing. Automating a trader has happened also. the influence of improper considerations mostly buried the possibility that any trading platform did not have a front end on it that came from trader characteristics and conventions. Too bad. It will take one long time for trading program designers to take out all of the "trader characteristics" that now saddle programmers and mathematicians. Because I am so very old, I could not apply the computers of the day (600 and 700 series IBM and there was no Sabre at all), I programmed myself (See LeDoux, 2002) using "certainty" processing. I was totally risk adverse. Risk was not a requirement and that is the best insulation of all. I have had the great experience of watching from the outside and just using the financial industry to participate. Being tagged by the SEC for criminal activity frequently was quite an experience. They were slow learners. I think it is a fine idea for you to tickle your mathematical fantacies; I rarely run into people who who can or want to do the bridge building. Whatever the modus of doing it in whatever space, it has always been such a great enterprize until things were worked out. I am really attracted to these kinds of frontiers. The process that ensues is truly remarkable. It is mostly the person to person relationships that are remarkable and how minds can interact and create. Andreasen (2005) almost got a glimpse of this. Have you ever been to the monument in Wyoming where Murphy's Law was invented. They moved the railroad... LOL.
Being a 'computer scientist' with a strong interest in language design, I can say with quite certainty that I have absolutely no idea what the hell you are talking about... Seriously. 'A language, when complete, is based on "certainty" throughout.' Does that even mean anything? What the hell are you talking about? I assume you made some point in your post, but you completely lost me. Brevity is a virtue. As Blaise Pascal once so eloquently wrote, "I have made this letter longer than usual, only because I have not had the time to make it shorter."
I modified my code a bit and made it easier to determine upper and lower exhaustion. -1 is "resistance" and +1 is "support". I am showing the graph for the 17th to compare what i posted yesterday. I will post todays next.
LOL, I guess you are new here. That's Jack Hershey, and he has some type of aphasia. I don't know if he's full of chit, or a brain scattered genius. You decide.