Schizo Greybox Trading

Discussion in 'Journals' started by schizo, Oct 11, 2015.

  1. schizo

    schizo

    I'm of the belief that a good trading system should be able to work in any market at any time of the day. Clearly, mine is not.

    Be that as it may, I wanted to take advantage of the ssslowww pace of the Globex to analyze the system more in detail.
     
    #101     Oct 12, 2015
  2. dartmus

    dartmus

    In an earlier post where you describe your strategy you indicated a desire to include a time factor which you hadn't been able to implement as of yet. Perhaps you should describe how you envisioned bringing time into the mix before pursuing this line of thought.
     
    #102     Oct 12, 2015
  3. schizo

    schizo

    Since a picture is worth a 1000 words...

    [​IMG]
     
    #103     Oct 12, 2015
  4. dartmus

    dartmus

    It's not clear what you're suggesting.
     
    #104     Oct 12, 2015
  5. schizo

    schizo

    Well, two things are worth mentioning. First, a projected price target should be reached within an x amount of time (eg. the black arcs are pretty much evenly spaced). Second, the momentum, as in downward or upward momentum, should be replicated in succession. When it does not, it should be flagged as "failure".
     
    #105     Oct 12, 2015
  6. dartmus

    dartmus

    The solution I offered normalizes the bar size to an optimal number of bars per session. This will limit the number of signals you can get per day but the bars will still form quicker during fast markets and slower during stalls.

    You have to determine how many tic bars you want per session. If you want 390 bars you simply divide the total number of tics in a session by 390. That result should be averaged over some optimal number of days and then you manually change your tickbar size everyday to match the average. This enables stabilizing the number of bars per session by allowing the size of the bar used each day to fluctuate.
     
    #106     Oct 12, 2015
  7. schizo

    schizo

    LONG 2007.25

    +0.50
     
    #107     Oct 12, 2015

  8. Will you stop posting to this thread already? You've made your point and it is utterly annoying.
     
    #108     Oct 12, 2015
  9. There's way too much noise at certain times. I think you could find a certain time of the day/signal where this strategy would work excellent.
     
    #109     Oct 12, 2015
  10. schizo

    schizo

    SHORT 2008.50

    +1.25
     
    #110     Oct 12, 2015