Designing and Building a Profitable Automated Trading System

Discussion in 'Automated Trading' started by ScottD, Dec 9, 2008.

  1. Between yesterday and today I think we can make a slicer so we can post segments of the day to keep things from getting boring.

    Please add the volume components so we can slice the day into volume pace ranges by pace shifts. The volume pace coding script is available and there is also an update component of it that gives you the Non stationary Window lookback for volume.

    We will be using a much shorter lookback for indicators and the price data. Obviously, the first cut is the biggest bar number in the indicator default set (14). BUT there will be longer stability periods of HOLDS for making money.

    For each pace shift lets throw up a chart that adds a piece and keeps the past parts of the day showing from the start of the day.

    Later, we can put up slices that slug out "end effect periods".
    It will be important to do these to show the "beginning" of "end effects" and then show the whole "end effect" period.

    Midday laterals will show up right away with the slicing.

    I'll do some slicing today to deal with the "notion" of slicing now that we have a couple of days available and we have some pages of context for the cash cow.
     
    #41     Dec 10, 2008
  2. ScottD

    ScottD

    Today's ES 2min chart
     
    #42     Dec 10, 2008
  3. ScottD

    ScottD

    Today's ES 15min chart
     
    #43     Dec 10, 2008
  4. Pre open situation and comments on the indicator functions.

    [​IMG]
     
    #44     Dec 10, 2008
  5. ScottD

    ScottD

    Today's ES 60min chart
     
    #45     Dec 10, 2008
  6. ScottD

    ScottD

    Today's ES Daily chart
     
    #46     Dec 10, 2008
  7. Here is a market contest look.

    For this we add coding to the MACD. Rays are used as "away" vectors. For manual trading on a chart they calibrate us for making money. The two dimensions are duration and "awayness" This "boxes up money making in rectanges as the day goes by. you can see we are still in an entry exit mentality at this point.

    The annotation suggests two effectiveness and efficiency advances.

    [​IMG]
     
    #47     Dec 10, 2008
  8. A glance at the fast STOCH.

    [​IMG]
     
    #48     Dec 10, 2008
  9. slow stochastic. Some more logic shows up here.

    [​IMG]
     
    #49     Dec 10, 2008
  10. This is a beauty for showing the S1B2 position trading using the indicators on the daily chart. It also illustrates how far from falling off the edge of the Earth trading can be.

    A nice drill is to print the chart and use the signals for entry, hold and exit all in the context of MACD "awayness" and durations.

    In the mid fifties and later a person could pencil in the $INDU equivalent on a daily chart for a stock trading context. The DJ value then was about 350.

    To do an annual estimate in December it is best the have about three years showing on a daily. The picture that emerges is how the global econometric considerations weigh in.

    Direct, indirect, induced and substitution effects are an array that turns out to be a fourth degree polynomial configuration, analogwise. The origin of the axis is not easy to presume.
     
    #50     Dec 10, 2008