To code the volume suppression circuit just make and OR circuit with the binary inputs from the XLS chart columns V W and X. the XLS chart created by Scott is entitled Signal chart (1). To code up the entry signals use an OR with inputs from the AE and AF going into an OR. these are the STF5 long and short signals Scott obtained by analysis of the J column. The True output of the OR is the "HIT T" enter signal. To go long or short at the HIT T time use a signal from the respective columns AE or EF. The exit or reversal signals are more complicated since there may or may not be sidelining involved. the signals on the AI and AJ columns are not what I would use since they originate from the slow line of the STS14. If the ST14 is used I use the fast line. So some columns need to be added to the XLS sheet to be able to have feeds to the logic for trading the indicators. I'll put up the logic and anyone can modify Scott's XLS to have the feeds for the ATS. I'll do all of this before the 19th which is my last day of 2008. We now have most of the suppression done and we will have a beginner system up for an ATS soon. you can OR the two suppression outputs to have the signal needed to "gate" the entry signals. In this case we need to only be gating the Hit T through when no suppression is in effect. To suppress a trading signal the True output of the OR which combines the two suppression "truee" outputs needs to be "inverted" to change the "1" of TRUE to a "0" which is used as a gate in and AND circuit whose other input is the "hit T" "1" when the output of the above mentioned signal "signals" by becoming a "1" as scott shows on the XLS. As you see on the XLS, scott was able to use the 1600 bar lookup table of PACE vs volatility to get the values of the go/ nogo range of each volume PACE. He also has included PACE shift columns in two manners: the shift presence shown on column AC and the amount of shift in column AD. I'll do the exit/reversal logic in the next post.
Here's the exit reversal logic. As may be seen on the annotated charts I do daily, there are times when we reverse because of an entry signal preceing an exit signal. There is an advantage to taking the earlier signal; to get on the "right side of the market". But soimetimes we need to sideline out of a trade because the market sentiment has not changed as yet. Sentiment overrides a hold if an exit signal has not arrived. Since the number of contracts is different I have kept the identity of the type of trade available with another circuit and an inverter attached to the True output of that circuit. The "I" box is an inverter. This means that if it is not TRUE that we have a reversal, then we have an exit. I will combine all the circuits thus shown into the beginner trading total logic next. As has been pointed out by Spyder, the SCT trading always provides a trend for P,V trading. Beginners start out in SCT trading using a level 3 trading system which is coarse. When indicators are used for trading, there are times when beginners are sidelined. the reson I am supporting Scott's interests is because he wishes to construct an ATS using indicators that are tuned to the ES market. He is calling a cash cow which it is. I am not doing the coding; Scott is. He assigned me the job of explaining the signals and logic of using a four indicator system and excluding price as a signal generator. That is why I post the first daily chart without price. It helps make the point of how signals are combined from an efficient sets of indicator signal generators. Here you se the use of rwa data feeding and Excel sheet which is set up to generate binary signals from the raw data. This step adds certainty or go/no go to the ATS. Binary logic is then deployed using the column binary feeds. Many coding languages can handle binary logic quite simply. at this point with the look up table in use for the volume (PACE volume) I can explain how to have a "not away" lookup table for the MACD absolute signals we are using. the feature the original designer built into MACD was it's power as a go/no go signal generator. I use the 1.4 value to differentiate am rockets. from that came the 30 minute trading to yield 75, 000 dollars a year trading one contract to make 6 points a day in one opening trade. For not away conditions for beginners trading all day it is important to deal with the times that market "tells" are not apparent or not trusted by a person who has little market skills and/or purposeful experience. We divided volume into ten ranges according to volatility equal size groups. the extremes each represented one grouping. Inside those are four double size groups that have names. Thus, ten equal groups become a distribution of six groups with the larger groups centrally located. V, W and X columns represent, for volume the times when price to noice is the hardest to handle. We suppress beginner ATS trading during this time for indicator based trading. Now we can turn to not away using the same technique. ew can set ranges for MACD the same way for given volatility of price bars using 1600 bars as before and distributing the bars into 10 equal groups and seeing their distribution over MACD descrete ranges. Since MACD is an absolute indicator this will work out around the neutral value in a nice way. There is not chance whatsoever that this outcome will faintly resemble the trend consolidation myths that abound. when the values appear we will have a non stationary look up table that will fit the current market conditions. A rough estimate of the entwining near zero can be made about any time. Using stats like this is a common ATS development technique. A lot of the going from 3x to 6x using P,V in ATS development comes from reliable lookup non stationary information.
This wraps up the first pass on indicator trading. the illustration shows how the XLS book entitled Signal chart (1) provides the binary signals to logic which, in turn, feeds a trade platform. There are several ways to feed a trade platform. This platform would have a "T" for trade and the number of contracts would be set up for either a simple entry or exit or a reversal. The red and green signals provide the direction to the trade platform. The other signals are timing signals for any possible action: Enter, Exit or Reversal. There are two gates in the logic. The Suppression logic gate is a combo of absolute indicators (volume and MACD), relative (oscillator STOCH). What the signal does, if present, is PREVENT a trading signal to go to the trade platform. In logic terms the gate has to invert the suppression signal and form an AND circuit. This is simple coding for an ATS. The Enter gate operates from the inverted input of the Reversal logic output. In effect if an reversal is called for, then an enter signal if generated is prevented from going to the trade platform. This is simple coding for an ATS. My feeling is that scott can knock this out quite easily. Once that is done, the logic can have a clock added to it to use the status of the columns, intrabar so that trades can be taken as and after the bar volatility is reached. I've seen some people watching some coding being done; the watchers and those coders, as has been remarked already, are quite humorous. Probably the person who inquired about putting an indicator ATS up on the Collective 2 which he already paid for, could whip out the code. If he does I request that it be free until the end of May when the payment made expires. after that I request. if the code is still available that it be free there. Scott, as agreed can use the code he develops for his use and hsaring with others. Profits from the cash cow should be shared to solve local problems.
Just for fun, I added the indicators to my chart to see if they added any additional perspective. I'm not trading with them, just watching for now. I do have a question however if anyone would care to comment: I do not use the pre-market hours on my chart, thus my indicators will reflect more of what I believe to be a continuation of the previous days action. Is this correct or do the indicators need pre-market data? TIA. BTW, here is my chart for today. A lot of good tape trades today!
Apologies for my absence. I was in a car accident and got a little banged up. The pain is distracting and will slow me me down for a couple more days. No worries at all though, I will be perfectly fine. More than I can say for my vehicle. Anyway, I've read Jack's posts, which are terrific, and look forward to codifying the logic.
Scott we're in the same boat. It's funny and not funny at the same time. i got to enjoy what I thought would be a little banter on a check up....BUT.... back to the dressing changing routine yet once again. I'm sure you will enjoy the coding and then we can begin to cycle the code on and interabar basis. When this happens, we see the advantage of capitalizing in a timely manner on WHEN each bar volatility is reached. By then we will see the advantaes of the "flapper" aspect of bars. Some people have stated their fears, BUT on the other hand when a parasympathetic orientation to the markets is available, their true advantage may be seen. To "clock" along with an intrabar periodicity we just add a clock that puts out a "gating" signal periodically to pass the trading signals forward, intrabar, to the trade platform. I don't want to cheat on the indicator system but it is possible to soup up the circuits by adding in parallel the intermediate "leading indicator" of YM by duplicating the exisiting logic for the YM and then adding the S/S volatility compression, expansion and smart money go/no go signals (as in how the absolute MACD signal look up table works). You add into this the Wall logic of the ES DOM and by this time you can carve the turns to the nearest tick. Finally you can add the two tick charts (YM leading the ES) and use the two pair logic found in that arena. throw in the indicator ystem for fun too. As recommended to all others for all the years of mentoring and coaching, I recommend that the initial capital be taken out when the first doubling occurs. Then I recommend that cpaital in the markets be based on adding contracts. As has been seen by Neoxx's hard work on the adding contracts drill the various levels of signals for coding higher skill levels of trading, create on the semi log graph more contracts than the capacity of the ES market. At this point it is natural to add logic for the timing of partial fills. I feel that the harmonic component of formations comes into the picture here or you can use the advanced indicator work available. To handle the market capacity issues, you "normalize" the added contracts chart to show the Chart in terms of the daily ATR by a family of ATR curves on the chart. For the given day's ATR level (you will have intraday catenaries for time of day as well), you operate at the contract capacity and use partial fills to handle the capital deployed. The normal possible range of total contracts is 500 to 10,000. A simple odd harmonic example will suffice. The formations are "spikey" so you want to begin to nail at the capacity before during and after the spike. A spacing of "hit T"'s is called for 5, 7 or 9 would be common. If the T&S is showing 200's you use 200's; if 500's use 500's. At times of cascading the capacity drops markedly since stops are becoming market orders and accounts are being closed (almost all are small). The hear a narration of the 27FEB wipe out cascade google ofr it as well as the camtasia associated. They are separate files. Here you can hear how larger accounts are being closed and when it begins to happen. General comment: If you check out the derrogatory comment references you can follow the threads referenced to their conclusive aspects further down the line (paths) of achievement. They all end as did this effort: successfully. The effort made by Jim fisher in the Boston area that was indicator oriented for the scoring solution obtained (getting the binary Score forA/D) which finally dealt with a combo of volume MACD and Welles Wilder's RSI. In this coding here we are using a softer version, namely the STF5 50 cross over. More or less final comment: Personally I have had a lot of fun in my life enabling others who wished to "do the work". Once a person knows how the market works, he can just use anything he wants to be making money all the time. I got to go through the greatest era of all time in market type history. Roughly from no tooling to complete over kill tooling being available. Going down to the microcosm of market operation made possible by file after file of very frequent rows and doing the associated logic was a great scientific experience. Moreso, it was the greatest team kind of effort possible in science. I have heard from people all over the world who did the work successfully and now provide for so many others in such diverse and locally important ways. Pool extraction of markets does put money to use is so many wonderful and useful ways. In fifty some years of trading I never thought I would see the breakdown of integrity in the markets and people that happened. I always keep an active and acute view of the foreseeable future. When the end of JUN 06 arrived, it was so fortunate that finally change was imminant. The mess that was created just had to end. Since I work from a neutral bias orientation, I felt pressed to get the ball rolling on creating capital sources to conduct the repairs that would be required. Others made it possible to reach a critcal mass of helpful people. The global communications we have now assure that the "measles" is happening all over. I remember flying in twins to get from place to place through the night generations ago and seeing what became known as the "thousand points of light". The agricultural folks of the US have well contributed to the stemming of depressions and US financial difficulties time and time again. Today, families all over the world can have the capital they need to begin to make repairs. I am so glad that it can be extracted from the pools that no longer have the integrity required to drive them. I'm not going to miss the "B" people here but I certainly am going to miss the "A" people. There are "A" people all over the world. If you work to learn to make money, please pass it forward to others and use your newfound time and money to help solve local porblems that are inportant to you. My fondest comment of all is to those who were helped by Spyder and, most of all ,to Spyder. You have met one of the finest person's in the world. And, Spyder, you have made the greatest personal contribution that anyone could have made in these last few years. The world works person to person, critically, helping others with total integrity. Here in ET the world got to see Spyder, day after day, do the right thing selflessly because he, spyder, embodies the picture of what it is like to "be the man". My consummate thanks, Spyder. Thank you so much.