Staying In My Lane - A Read-Only Journ(al/ey)

Update:
Longer term Research Projects:

1. Using OCF and conformity to OC Principle as a "Edge Discovery Tool" - Complete
2. Using OCF and conformity to OC Principle to evaluate any system strategy for long term positive expectancy - Complete (my beliefs are confirmed)
3. Using OCF to pinpoint transition between Trending and Ranging market conditions (In Progress - This is tough!)
4. Mandlebrot, Tesla, Bill Williams/Chaos. Is Leonardo Da Vinci next ? or Quantum Physics (waiting for my son to get to text book). I need to quantify the measurement of speed. No need to read more. (Complete) I am continuing my path to form/develop my own theories without any bias from what is out there!
5. How many trades does it take to always end up in profit at the end of OC (Criteria: only one contract at a time, only one trade open at a time, any combination of SL/TP/BE/nothing at all, no scale-in or scale out (i.e no adding to losers or winners)
6. How many OCs does it take to generate 100% of $$ profit using only one contract per $2000 of trading capital and using same rules as #5 above.
7. Coastal to Inland non-stop traversal of price thru time (maximum positive expectancy using maximum number of opportunity cycles)
8. Extension of #5 above.... How many trades does it take to ALWAYS meet the profit goal of OC Range in ticks. OC has a start and end time forming a range in ticks so how many trades will it take to exploit the ENTIRE OPPORTUNITY CYCLE range ? (answer lies somewhere in brute-force trapping of micro-medians until daily fixed Tick goal = Range size goal is met)
9. Is there a relationship between Risk:Rewards and progression of OC? I believe there is a decay of Risk AND Reward as opportunity passes thru the begin and into the end of cycle. Risk increases and Reward decreases and hence the decay in the overall RR Ratio. Interesting!! Is this the reason why DFMs during the first 25 percentile is far superior performing than RTMs I bet this is the main reason why flags and pennant patterns are formed intrinsically within the prevailing price action.

Time to call it a wrap and end this research/testing process. I will delete the posts with test results as I was only trying to highlight the process along with the rigor involved. Not sure how many got it but it is what it is. Time to chill out....

VEE, did you know that almost every drug on the market has the potential to cause anaphylactic shock in a percentage of the population. What you are trying to do is produce a drug that is free of side effects in 100 percent of the population. I think you are being too strict. You have allow some leeway. Thoughts?

Agree. There is no perfect drug with no side effects and no strategy that will result in 100% wins across all market conditions. (Good Analogy!) But drug companies still have to know all the unknowns to the best of their abilities via proven methodologies of clinical trials to satisfy their ethical, moral and legal obligations to their patients and shareholders. Even after spending billions in research, there will always be a dude getting an adverse reaction to their drug and that is an acceptable liability because they have done their due diligence. Same concept applies to strategy development as well. Do your best and leave the rest to the market ! There is absolutely no guarantee the market will behave exactly the way it does on the past so testing from that POV is useless. My process shared is all about doing proper due diligence. If I blow my account on day 1, it would really mean nothing more than a paper cut to apply a band-aid because I have done everything in my power and ability to do all the right things that are within my control. Knowing too much is a curse at times :-)

Part of me is also showing a capability that exists without giving a dime to the market. This is a superior approach compared to blindly following strategies found on forums. Now that I have the right "infrastructure" design in place, I have the ability to test pretty much any trading strategy via a simple plug and play. I always like to spend the effort upfront to ease the life down the road. I still refer as Automation and not a algo as it can trigger any algo or manage trades or just analyze market conditions for me. Even after all this, I will still be trading manually for a while and then invest in the right scale of server and technology. Makes sense?

Well, you guys have allowed me to open up a little about what I do while we talk shop. Clinical research, engineering, and IT overlap. I know exactly what you are trying to do. You are using AI to give you as many possible outcomes as possible before you execute so that when you do you can do it with firm confidence. I myself trading wise am an obvious disciple of Al Brooks. Philosophically I am a student of Nassim Taleb and Mark Douglas. The only thing we can control in the market is risk, and to a limited degree how much our entries make sense. The thing about trading is that those of us who can use machine logic cannot program "feel". An awful lot of trading is about feel. As you know I use LTCM often as the folly of those of us who are "smart". We build these models, we debug them, we run them, and they work. The caveat is that they work under certain axioms. If the axioms fail, our models will fail. I have been at this for 20 years, and I am starting to think that the common gambler will often beat the guy from MIT because the mathematical mind has to quantify everything. I think sometimes we just have to find the setup that makes sense to us, and pull the trigger with a size that we can accept, and let go from there. I have a YouTube link on my profile page which is fun, but at the same time gets to the core of what we are trying to do as traders. We all fall into one of two camps. The evolution is an amazing thing to watch, and lets those of us who are serious grow both personally and professionally. Sorry for the ramble.

Well said Jim. Although I would state that it's the "common" gambler who understands expectancy, proper bet sizing, and the law of large numbers in order for his/her expectancy to play out over a large number of frequent bets.

Good Response my friend. You are so right about math and gambling.

A little about being strict. All I am trying to achieve is daily, weekly, monthly, quarterly and annual profits. How I get my profits or how much drawdown etc is irrelevant if I can absorb the brief shocks in the market. When trading for income, strict adherence to process is required if I am going to expect income from trading.... most likely, I will NOT come across any strategy that is pass my scale so paying of debt is an alternative objective until consistency is maintained.

I will pull this if you think it is not appropriate.

http://watchdocumentaries.com/trillion-dollar-bet/

Edit: I put this here not for you. I know you have seen this, but this is one of those threads that I think will be archived for others after we have stopped posting here.

Everything is appropriate within the context of my journey so please continue to share our collective wisdom. I dont think I even qualify to call myself a quant as I am so NOT a math geek. Anything more than a +, -, x, / is just sufficient for my abilities. Nice video. Perhaps the path I have chosen will result in a big fat wasteland (to do my own research and reinvent the wheel instead of reading/learning from gurus). We shall see where this takes me. Atleast this time I am not locking myself in a room for days and weeks like I did back in 2016. Trying to contain my obsession this time :-

even if a path leads only to rule out something as not viable, is still not a complete waste of time.

Update:
Longer term Research Projects:

 

1. Using OCF and conformity to OC Principle as a "Edge Discovery Tool" - Complete
2. Using OCF and conformity to OC Principle to evaluate any system strategy for long term positive expectancy - Complete (my beliefs are confirmed)
3. Using OCF to pinpoint transition between Trending and Ranging market conditions (In Progress - This is tough!)
4. Mandlebrot, Tesla, Bill Williams/Chaos. Is Leonardo Da Vinci next ? or Quantum Physics (waiting for my son to get to text book). I need to quantify the measurement of speed. No need to read more. (Complete) I am continuing my path to form/develop my own theories without any bias from what is out there!
5. How many trades does it take to always end up in profit at the end of OC (Criteria: only one contract at a time, only one trade open at a time, any combination of SL/TP/BE/nothing at all, no scale-in or scale out (i.e no adding to losers or winners)
6. How many OCs does it take to generate 100% of $$ profit using only one contract per $2000 of trading capital and using same rules as #5 above.
7. Coastal to Inland non-stop traversal of price thru time (maximum positive expectancy using maximum number of opportunity cycles)
8. Extension of #5 above.... How many trades does it take to ALWAYS meet the profit goal of OC Range in ticks. OC has a start and end time forming a range in ticks so how many trades will it take to exploit the ENTIRE OPPORTUNITY CYCLE range ? (answer lies somewhere in brute-force trapping of micro-medians until daily fixed Tick goal = Range size goal is met)
9. Is there a relationship between Risk:Rewards and progression of OC? I believe there is a decay of Risk AND Reward as opportunity passes thru the begin and into the end of cycle. Risk increases and Reward decreases and hence the decay in the overall RR Ratio. Interesting!! Is this the reason why DFMs during the first 25 percentile is far superior performing than RTMs I bet this is the main reason why flags and pennant patterns are formed intrinsically within the prevailing price action.

Objective: Across all these research projects is to make MONEY by finding a consistent Daily/Weekly/Monthly/Quarterly/Annual income generating strategy that will yield profits 4 out of 5 days, 3 out of 4 weeks, 10 out of 12 monthly resulting in NET positive expectancy after costs/slippage/taxes etc. I am NOT focused on drawdowns, SLs, TPs, BEs, MaxDD, RoMAD etc. Pure profit potential within the confines of OC Framework. Even 1Tick of net profit after trading costs/slippage/taxes is acceptable for this portion of my research journey.

Criteria: Only NQ, Only Price vs Time Series, No OrderFlow, No MTF analysis, No correlations, No hedging, No risk mgmt, no trade management, no position mgmt, no predefined risk or profit targets, no RR, Any setup combination under the sun. only one contract position size. only one position open at a time using either of the two of entries 1) Divergence from Mean 2) Reversion to Mean. OC can be anything but for this project it will be NYSE session (entire session or only a portion of it). Ignore all other trading stats! Strategy MUST also conform to the universality and neutrality principles.

Testing Period: YTD 2019, Q1/Q2/Q3/Q4 2018 (only if YTD is successful)

Quick poll: Are the objectives reasonable, practical and achievable in this life time given the criteria ?

I am working and bored so here I am :-(

EDIT: I have decided to leave my test results etc out here for future reference and comparison.

Tying some theories together for the benefit of our readers:

My "theoretical" definition of a Trend: Movement of Price from point A in time to Point B in Time where the difference between A and B is greater than cost of trading. By this definition, Price is ALWAYS Diverging/Trending or Price is ALWAYS Converging/Reverting.... to the "Mean" i.e. midpoint of the Bid/Ask Spread resulting in Broker/MM always winning via trading costs and commissions regardless of which way price goes!

My theoretical definition of a positive expectancy system: An outcome of more than 1x the trading costs (spread/swap/commission/slippage/fees/etc)

Potential Profit Opportunity: How many trading cost multiples (measured in ticks or %) do you want to extract from a overall price movement resulting in a range within the opportunity cycle.

Opportunity Cycle Theorem: A mathematical/statistical/probabilistic framework that allows you to extract X Ticks from an opportunity cycle by attempting to execute Y number of attempts (trades) resulting in Z number of losses in Ticks where Z*Y is ALWAYS less than X

Strategy assessment using the Opportunity Cycle Theorem: If Z*Y results in more than X, the strategy is a failed strategy in the long run

I have lived my life being JADED with Spot FX. I am never going back to trading with a scam broker! I am NOT Jaded coming into Futures. Failure is going to be 100% on me and my abilities to succeed or fail. The transition has NOT been easy. I still look out for flaws and inconsistencies with the futures market regulatory structure to ensure my time spent here is going to bear fruits for generations to come. I shall prevail as there is no turning back now. I am ONLY doing this to secure my kids future. Rest will all go to charity of what's left ~

https://www.wikihow.com/Live-with-Being-Jaded

definitely.

Found some more creative ways (using the power of my subconscious spatial-visualization technique) to tap into the entire Opportunity Cycle or potentially even more.

I will stop here and time to pack and get ready for my vacation. I Shall Prevail in this endeavor !

Too early for getting excited. Reaching 2K ticks in 13 trading days gives me the inspiration I need to go on vacation :-)
Study Collection Version: v10.16(++) netting 2845 potential Ticks YTD using Standard MArket Replay @ 480 speed so not 100% accurate

Update:
Longer term Research Projects:

 

1. Using OCF and conformity to OC Principle as a "Edge Discovery Tool" - Complete
2. Using OCF and conformity to OC Principle to evaluate any system strategy for long term positive expectancy - Complete (my beliefs are confirmed)
3. Using OCF to pinpoint transition between Trending and Ranging market conditions (In Progress - This is tough!)
4. Mandlebrot, Tesla, Bill Williams/Chaos. Is Leonardo Da Vinci next ? or Quantum Physics (waiting for my son to get to text book). I need to quantify the measurement of speed. No need to read more. (Complete) I am continuing my path to form/develop my own theories without any bias from what is out there!
5. How many trades does it take to always end up in profit at the end of OC (Criteria: only one contract at a time, only one trade open at a time, any combination of SL/TP/BE/nothing at all, no scale-in or scale out (i.e no adding to losers or winners)
6. How many OCs does it take to generate 100% of $$ profit using only one contract per $2000 of trading capital and using same rules as #5 above.
7. Coastal to Inland non-stop traversal of price thru time (maximum positive expectancy using maximum number of opportunity cycles)
8. Extension of #5 above.... How many trades does it take to ALWAYS meet the profit goal of OC Range in ticks. OC has a start and end time forming a range in ticks so how many trades will it take to exploit the ENTIRE OPPORTUNITY CYCLE range ? (answer lies somewhere in brute-force trapping of micro-medians until daily fixed Tick goal = Range size goal is met)
9. Is there a relationship between Risk:Rewards and progression of OC? I believe there is a decay of Risk AND Reward as opportunity passes thru the begin and into the end of cycle. Risk increases and Reward decreases and hence the decay in the overall RR Ratio. Interesting!! Is this the reason why DFMs during the first 25 percentile is far superior performing than RTMs I bet this is the main reason why flags and pennant patterns are formed intrinsically within the prevailing price action.
10. Confirm the MYTH/Illusion behind Number of Trades Chart Type, Number of Volume Chart Type, Time Based charts and Range in Ticks charting types. Objective: Which charting type offers the best LONG TERM Consistency across ANY trading Style or Market Condition.

Objective: Across all these research projects is to make MONEY by finding a consistent Daily/Weekly/Monthly/Quarterly/Annual income generating strategy that will yield profits 4 out of 5 days, 3 out of 4 weeks, 10 out of 12 monthly resulting in NET positive expectancy after costs/slippage/taxes etc. I am NOT focused on drawdowns, SLs, TPs, BEs, MaxDD, RoMAD etc. Pure profit potential within the confines of OC Framework. Even 1Tick of net profit after trading costs/slippage/taxes is acceptable for this portion of my research journey.

Criteria: Only NQ, Only Price vs Time Series, No OrderFlow, No MTF analysis, No correlations, No hedging, No risk mgmt, no trade management, no position mgmt, no predefined risk or profit targets, no RR, Any setup combination under the sun. only one contract position size. only one position open at a time using either of the two of entries 1) Divergence from Mean 2) Reversion to Mean. OC can be anything but for this project it will be NYSE session (entire session or only a portion of it). Ignore all other trading stats! Strategy MUST also conform to the universality and neutrality principles.

Testing Period: YTD 2019, Q1/Q2/Q3/Q4 2018 (only if YTD is successful)

yikes brain freeze

I have a question VEE if you can help me i have a triel period with motivewave and last 2 days i scalped 2-5 ticks pr trade with sl of 10 ticks on sim and made 1225 of a 5k account and 725 today alone,but i had a whole bounch of trades so before pursuing this further what is the commision of say 2 ticks ore 10 dollars is it worth while???

EDIT:And yes i am with AMP.
EDIT:And yes was on Nasdaq