Break up your indicators into: Mean Reversion Range Expansion Break up trading session into: Mean Reversion Range Exapnsion Analyze 1 year of tick data to see which time intervals are mean reversion or expansion and which indicators are optimized for both. The key with the above is your looking to curve fit curves that change months to months. Mistake people make is to not optimize every few weeks, and not change with the market structure. Also look at what the current macro price structure is. If price is in consolidation zone only deploy mean reversion Algo and vice versa.
i reverse when the market shows me i am wrong.....i just mentioned one scenario i do not let my stop be hit...
Some questions: "Mean Reversion" indicators versus "Range Expansion" indicators... Would "Mean Reversion" be the traditional oscillators? (Lane's Stochastic, et.al.)? "Range Expansion" -- like the confusion/abuse of "trend" or "momentum"?? (If yes, then I like your "Range Expansion" better -- it lends implication for what's to come...) But are we talking ADX, MACD ?? Or am I off in the hinterlands? "Analyze 1 year of tick data to see which time intervals are mean reversion or expansion and which indicators are optimized for both." As someone who *expects* there to be differences, I'm missing the insight of occasions where the 'both' might come in. Any help? "Mistake people make is to not optimize every few weeks, and not change with the market structure." Not so much a question, as just a blatant opportunity to use bold, y'know.... "Also look at what the current macro price structure is. If price is in consolidation zone only deploy mean reversion Algo and vice versa." I'll admit a certain aversion to declaring something like a "consolidation zone" without an empirical back-up. [AFTER I quit tick-scalping, I discovered the ATR, and figured out why tick-scalping worked so well, and then didn't. AFTER getting bled in short-only option vertical spreads (after years of calm, *boring* success), I discovered perhaps 'more-detailed' relationships between SMAs in the 1-year/1-day candles and the associated ATRs, IVs, and HV measures, to keep trouble at bay. And in analyzing the market in terms of options sales, I've returned to developing/finishing a simple regime for momentum/trend trading -- one that provides long and short trades, minimizes losses, and truly shrinks risk....] Is this a change in the market? Or a change in evaluation? Not sure -- and not sure I care. I'm busier than a 1-armed paper-hanger at this point, and just blown away by the catch-up game in front of me. Someone on ET made the crack recently that 'trading was not an intellectual challenge' or some such. *Really*??? Just when I think I've got it down, somebody changes the rules on me.
A global description is the algos are driving a car, but they can only see a 100 feet into the distance, so the algo's need to curve fit without crashing the car. So in essence you have the live server which is placing trades. And the simulation server running optimizations. Its forward testing concurrently with the live server placing trades. The live server is turning off and turning on algo's based on what the simulation server is indicating in terms of the future path of price curve.
"tommcginnis, post: 4721334, member: 80340"]Some questions: "Mean Reversion" indicators versus "Range Expansion" indicators... Would "Mean Reversion" be the traditional oscillators? (Lane's Stochastic, et.al.)?, All these years, the only indicators I use are: EMA's, Trendlines, Horizontal Trendlines (SR), Donchian Channels. EMA's are good for trend/range expansion. Trendlines can be used on micro and macro price structure similar to EMA's on larger timeframes and tick timeframes. Range Expansion to downside is usually seen correlated with a higher rate of change in VIX. So in equities I look at only a "higher" to look for range expansion to the downside. "Range Expansion" -- like the confusion/abuse of "trend" or "momentum"?? (If yes, then I like your "Range Expansion" better -- it lends implication for what's to come...) But are we talking ADX, MACD ?? Or am I off in the hinterlands? EMA's Trendlines SR's "Analyze 1 year of tick data to see which time intervals are mean reversion or expansion and which indicators are optimized for both." As someone who *expects* there to be differences, I'm missing the insight of occasions where the 'both' might come in. Any help? EMA's work pretty good for range expansion where price just moves in one direction, They suck in mean reversion session intervals or price consolidation zones on larger timeframes. "Mistake people make is to not optimize every few weeks, and not change with the market structure." Not so much a question, as just a blatant opportunity to use bold, y'know.... "Also look at what the current macro price structure is. If price is in consolidation zone only deploy mean reversion Algo and vice versa." I'll admit a certain aversion to declaring something like a "consolidation zone" without an empirical back-up. [AFTER I quit tick-scalping, I discovered the ATR, and figured out why tick-scalping worked so well, and then didn't. AFTER getting bled in short-only option vertical spreads (after years of calm, *boring* success), I discovered perhaps 'more-detailed' relationships between SMAs in the 1-year/1-day candles and the associated ATRs, IVs, and HV measures, to keep trouble at bay. And in analyzing the market in terms of options sales, I've returned to developing/finishing a simple regime for momentum/trend trading -- one that provides long and short trades, minimizes losses, and truly shrinks risk....] High ATR's in conjunction with VIX will give you better picture of what phase current macro and micro price structure is in. Is this a change in the market? Or a change in evaluation? Not sure -- and not sure I care. I'm busier than a 1-armed paper-hanger at this point, and just blown away by the catch-up game in front of me. Someone on ET made the crack recently that 'trading was not an intellectual challenge' or some such. *Really*??? Just when I think I've got it down, somebody changes the rules on me. Yes change in market.
I came by to pick up https://www.elitetrader.com/et/threads/who-should-i-ignore.320577/page-4#post-4645818 and https://www.elitetrader.com/et/threads/trading-experience.320574/page-4#post-4646658 nice to see things haven't changed. Everyone still trying to generate wealth by using their income savings as a basis never understanding it doesn't work that way.
After many years studying the market, I have found that the simpler the methodology you use the longer it functions the way it was originally designed without needing to be tweaked. However, it has taken many years to come up with something that works consistently on the markets and time frames that I use. You just need to keep watching your charts and doing a lot of thinking about what your trying to accomplish and then finding a way to do it.
Please don’t take umbrage, but I don’t believe you. IMO, none of that stuff will help you build a functional trading model. I see nothing concrete there.