Hey @robots4me
This is a godsend!
I have had so many problems getting a chart to work this week...
I thank you...
This is a godsend!
I have had so many problems getting a chart to work this week...
I thank you...
2
Basket Knights - A Basket Trading Round Table
- #922
- Nov 22, 2019 4:31am Nov 22, 2019 4:31am
- Joined Dec 2017 | Status: Trader | 4,378 Posts
I just had a light-bulb go on that I'd like to share -- feel free to disagree...
I just realized the Index is not really that important -- instead, it's how you compose your trading basket. The Index is only used to generate signals, whereas how you select which pairs to put in your Group A (trend) and Group B (opposite) baskets is what will determine profitability. All we really need from the Index is a rough idea of whether the trend is bullish or bearish. Using an Index helps to smooth things out, as does the super trend-following Tidane indicator. However, what I've just discovered is that the Tidane indicator alone (or the Smoothed HA) may, alone, be sufficient for that task -- i.e. to determine the current trend.
Consider the screenshot below:
The upper chart uses EURJPY alone as the index, whereas the lower chart uses the R4M5 index (of 5 pairs). Look at the signals generated by the two indexes -- they are very similar.
But now look at the estimated Profit / Losses using the two indexes. In both charts below the Group A and Group B baskets are the same. The only difference is where they are getting their signals from:
The Green line is the net profit, the blue is Group A profit and the purple is the Group B profit. You can see the net profit in both charts is very similar -- even though they are using quite different indexes. The reason they are so similar is because (a) Group A and Group B are exactly the same for both charts, (b) the signals are very similar in both charts.
It is almost as though the super trend-following Tidane (or Smoothed HA) indicators smooth the data in a way similar to combining multiple pairs in a index. In the end all we want is a general idea of what the current trend is, and then we compose our Group A and Group B baskets accordingly.
I am NOT advocating to drop the use of indexes but, rather, to point out the pairs you put in your Group A and Group B baskets are what is most important. And I don't wish for anyone to change their current basket trading methodology. I'm putting this out there for contemplation and discussion.
I just realized the Index is not really that important -- instead, it's how you compose your trading basket. The Index is only used to generate signals, whereas how you select which pairs to put in your Group A (trend) and Group B (opposite) baskets is what will determine profitability. All we really need from the Index is a rough idea of whether the trend is bullish or bearish. Using an Index helps to smooth things out, as does the super trend-following Tidane indicator. However, what I've just discovered is that the Tidane indicator alone (or the Smoothed HA) may, alone, be sufficient for that task -- i.e. to determine the current trend.
Consider the screenshot below:
The upper chart uses EURJPY alone as the index, whereas the lower chart uses the R4M5 index (of 5 pairs). Look at the signals generated by the two indexes -- they are very similar.
But now look at the estimated Profit / Losses using the two indexes. In both charts below the Group A and Group B baskets are the same. The only difference is where they are getting their signals from:
The Green line is the net profit, the blue is Group A profit and the purple is the Group B profit. You can see the net profit in both charts is very similar -- even though they are using quite different indexes. The reason they are so similar is because (a) Group A and Group B are exactly the same for both charts, (b) the signals are very similar in both charts.
It is almost as though the super trend-following Tidane (or Smoothed HA) indicators smooth the data in a way similar to combining multiple pairs in a index. In the end all we want is a general idea of what the current trend is, and then we compose our Group A and Group B baskets accordingly.
I am NOT advocating to drop the use of indexes but, rather, to point out the pairs you put in your Group A and Group B baskets are what is most important. And I don't wish for anyone to change their current basket trading methodology. I'm putting this out there for contemplation and discussion.
- #926
- Nov 22, 2019 5:32am Nov 22, 2019 5:32am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
Hi Ty and Basket Knights, Like Husky77 I'm also sticking my head out.I've been following the thread closely and with you guys doing such a great job, I really didn’t have much to add, until Husky77 posted. Like Husky, I’m also a basket trader using EAX to manage my basket (GVC’s C8 Risk-On/Risk-Off basket). Since I started trading baskets, I’ve been trying to marry the idea of Offline charts (or something similar) with EAX, and I have a simple idea that might...
Thanks for modifying (and sharing) the Pivots indie from Davit's Pivots thread. [EXTRA kudos for sharing the source code!].
I placed it over the C5 H4 Index below and it worked very well.
On my regular single pairs (e.g. GJ) chart though, I use the attached Indicator by Nostromo (also from Davit's thread HERE). Same thing as the one you shared above EXCEPT that Nostromo's doesn't have the "hassle" of trying to figure out what the Broker's New York candle close/open is. It handles all of that automatically.
So...I was wondering, could you look under the hood and see if you could modify Nostromo's indie to work on our Offline charts like you did the above?
Thanks.
PS: ADR_Marker is set for 10 days only. It can be downloaded from Davit’s Pivot Trading thread, or with permission of Ty I can post it here if you are interested.
Regards and Stay fluid,
Ty
My job: I speculate and manage risk.
- #927
- Nov 22, 2019 6:21am Nov 22, 2019 6:21am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
My job: I speculate and manage risk.
- #928
- Nov 22, 2019 6:33am Nov 22, 2019 6:33am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
My job: I speculate and manage risk.
- #929
- Edited 10:12am Nov 22, 2019 7:10am | Edited 10:12am
- Joined Nov 2016 | Status: Trader | 233 Posts
I placed it over the C5 H4 Index below and it worked very well. On my regular single pairs (e.g. GJ) chart though, I use the attached Indicator by Nostromo...
He-he... the only thing I can bring to the table regarding coding is the logic. I don't know any coding language and unfortunately can't code. The changes I made to the Pivot indicator that I posted a while ago was to hard-code only the settings to such a degree that we only have to change the weekly open & close candles. You are right, we need a coder to modify one of the Pivot indi's for us to work on offline charts.
Why does that particular indi work then? What these Pivot indi's all need in order to work correctly is a full week's data - and specifically the previous week in order to display this current week's Pivots correctly. The indi is looking for your broker's start candle and your broker's finish candle of the previous week. This is also the part where it becomes tricky... Most brokers' start candle is on a Sunday evening and you have to make sure you include that Sunday candle. So for me, those settings are Sunday evening 23H until Friday evening 22H
And this is the part where you have to forgive me for using the picture you posted above as an example of how things can go wrong.
. Have a look at your Pivot indi settings again, and you will notice that the start and finish candles will be set for this week, instead of last week. How do I know this? I saw your two start/finish vertical lines on your chart produced by the Pivot indi. I always ask the indi to show those lines so that I can double check (in the data tab) that the line is well and truly on the first and last candles of last week. In your chart, it is set for this week. So for this week's trading (18 - 22 Nov) the Weekly Pivots are based on last week's data (11-15 Nov) and based on my broker (including the Sunday candle), these are my settings.
Back to the coding issue. Nostromo Pivots (and Voty for that matter) are great because they do the weekly start/finish candle adjustments automatically. That will be great for offline charts, provided that you actually have that many candle in your chart. Not really a problem for an H1 offline chart built from 1000 candles, but what if you drop down to M15. Lets see: it is Friday today and I still want last week's data to display this week's pivot points, so in effect I need two weeks' M15 candles for the indicator to display correctly. How did I get this? Firstly, remember that last week's Sunday start candle needs to be visible to the indi throughout this whole week. Secondly, how does offline charts work? If your offline chart holds 1000 candles - the older candles will fall away as the new candles form. So put the two together and you might find yourself in a position where your start candle from last week falls away as this week progresses and BOOM - no more pivots... or worse: false pivots!
. So we need at least 24hrs x 5 days = 120hrs, x 2 (for two weeks) = 240hrs, x 4 M15 candles in one hour = 960 candles. All still good, but for M5, you will need at least 2'880 candles, etc. And we all know how offline charts can eat resources...The second issue is that Nostromo & Voty pivot indicators display historic pivots also. What I just mentioned above needs to be quadrupled (and even more) if you want to display the histories on those charts.
The third issue is that they look for a specific TF for their calculations. In other words, if the indi is looking for the H1 candle, regardless of whether you trade from an H4 offline chart, you still need the H1 offline chart open permanently for the indi to work.
All sorts of pleasures for coders...
.Anyway, I am just SO thankful that I got ONE Fib Pivots indi to work correctly on offline charts and it still remains by far the greatest tool in my basket trading arsenal. Make those changes to that Pivot indi in your chart and the whole drama that played itself out this week on your chart will instantly make sense. In fact the last four days' worth of trading on the C5 & C8 baskets revolved around three lines - WP, R38 and R61 - a pattern that was broken just today for the first time this whole week.
Fix your thoughts on what is true, and honorable, and right, and pure...
- #930
- Nov 22, 2019 7:58am Nov 22, 2019 7:58am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
I took advantage of Fundamentals and Price extremes to pull-off a Counter-Trend trade on the CAD. Here're the steps I took: #1. The News/Calendar events for the week showed a chance (forecast) that CAD might appreciate. {image} #2. CAD crosses were at "extremes" and were simply BEGGING to be traded Counter Trend. #3. I selected 4 CAD crosses to use as a potential basket: EURCAD, GBPCAD, NZDCAD, USDCAD. #4. Just before the News release, I placed some Pending Orders (POs) on my selected pairs. This I did just in case Price "runs away" at News release...
More positive fundies for the CAD.
GBPCAD TP'ed. Still holding on to the rest.
*Just in case you were wondering, I aim to ATTACK AUDNZD (among a few others) next. (By the way, AZ is a part of the AUD Index, NZD Index, and the RB7 Index too).
Regards and Stay fluid,
Ty
My job: I speculate and manage risk.
- #931
- Nov 22, 2019 8:08am Nov 22, 2019 8:08am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
{quote} Ty, He-he... the only thing I can bring to the table regarding coding is the logic. I don't know any coding language and unfortunately can't code. The changes I made to the Pivot indicator that I posted a while ago was to hard-code only the settings to such a degree that we only have to change the weekly open & close candles. You are right, we need a coder to modify one of the Pivot indi's for us to work on offline charts. Why does that particular indi work then? What these Pivot indi's all need in order to work correctly is a full week's...
And this is the part where you have to forgive me for using the picture you posted above as an example of how things can go wrong.
I will correct the errors.
Thank you for all the valuable information - they WILL come in handy if we are unable to get a coder to help us out with the Pivot indies posted.
All sorts of pleasures for coders...
So...ANY takers?
Regards and Stay fluid,
Ty
My job: I speculate and manage risk.
Please go ahead and share it here.
Enjoy.
Lee
Fix your thoughts on what is true, and honorable, and right, and pure...
- #934
- Nov 22, 2019 10:25am Nov 22, 2019 10:25am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
My job: I speculate and manage risk.
- #935
- Nov 22, 2019 4:15pm Nov 22, 2019 4:15pm
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
My job: I speculate and manage risk.
- #936
- Nov 22, 2019 7:25pm Nov 22, 2019 7:25pm
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
C5 H4 (TD28,3) is now signaling a Buy basket. {image} As I mentioned previously, the basket has been caught in a range now for about a month. My gameplan remains the same: #1. Trade DCs (in this case, Buy lower and sell higher). #2. Trade breakouts (if any)...This, just in case the range is broken with fundamental support. Regards and Stay fluid, Ty *Edited: Error in Tidane Settings.
C5 H4 (TD28,3) is now signaling a Sell basket (re-aligning with the C14 TD28,3 which did not change into a Buy).
If you were trading the C14 Sell basket you'd have either had to sit through some DD or you'd have taken the opportunity to enter more trades at your Sell DCs.
As for me, I stuck to my game plan...
My gameplan remains the same:
#1. Trade DCs (in this case, Buy lower and bank higher).
#2. Trade breakouts (if any)...This, just in case the range is broken with fundamental support.
Now we have a C5 Sell basket which is STILL in that range therefore my game plan remains the same:
#1. Trade DCs (in this case, Sell higher and bank lower).
#2. Trade breakouts (if any)...This, just in case the range is broken with fundamental support to the downside.
(*See attached visual)
Is the Price ready to break lower?...I guess we'll see.
Regards and Stay fluid,
Ty
My job: I speculate and manage risk.
- #937
- Nov 22, 2019 7:42pm Nov 22, 2019 7:42pm
- Joined Dec 2017 | Status: Trader | 4,378 Posts
{quote} I hear you R4M. Please allow me to add something from the...past. Those days, we had a few Basketters who used to TRY/ATTEMPT to "preempt" the C14 H4 HAS signal using an indicator (I forget the name now but I'm sure some guys here remember). Anyway the name of the indicator doesn't matter, what it does...errr...does. So, let's assume on our Index (in this case C14) the trend direction is determined by the TD28,3... What that indie did was to show (on one side of the chart) a colored ARROW (or a BOX) showing the Tidane direction for every...
THIS DYNAMIC basketting is KEY! It's like having an early TIP showing WHICH pairs would bring you the most potential profit.
Let me back up and try to explain a different way:
1. An Index + Tidane (28/3) is used to generate some signals. That's all the Index is used for -- to generate some signals and determine the current trend. What you do with the signals and current trend is up to you. You can add pairs from the Index to a Basket and trade those pairs, or you can use completely different pairs, or you can use some hybrid mix. The Index (used to create signals and determine the current trend) and the Basket (pairs that are actually traded) are completely separate entities.
2. It turns out that C5 Index + Tidane (28/3) generates signals and trends that appear ***VERY*** similar to GBPJPY + Tidane (28/3). Check out the screenshot below. The upper chart is C5 and the lower chart is GBPJPY. Don't look at the prices -- instead, just look at the Tidane and the its signals. The signals from the two charts are very, very similar. Since your basket doesn't change and since the signals are so similar, then your trading results will also be very similar.
3. Since the signals from C5 Index + Tidane are so similar to GBPJPY + Tidane then it must be that the Index is not the "magic sauce". So -- what is the "magic sauce"? The magic sauce is your basket -- i.e. the pairs in the basket.
4. The pairs in a basket can be separated into two groups -- those pairs that trade in the direction of the current trend and those that trade in the opposite direction of the current trend. I refer to pairs that trade in the direction of the current trend as the Group A basket, and those that trade in the opposite direction the Group B basket. When Tidane displays a Green dot (that indicates a BULLISH transition) I BUY the pairs in Group A and SELL the pairs in Group B. When Tidane displays a Red dot (that indicates a BEARISH transition) I SELL the pairs in Group A and BUY the pairs in Group B. I believe this is what most of us are already doing -- I've only added the concept of Group A and Group B baskets. Also, just to be clear, whenever a new dot appears you CLOSE all the trades from the previous basket before opening new trades.
5. This basket trading strategy is a "super" trend-following strategy -- and by "super" I mean long-term. If you trade signal-to-signal that means you may open new trades only once a month. This is really, really important and I don't think people appreciate this aspect -- you rarely need to actually trade because the transitions are spaced so far apart.
6. Because the transitions are spaced so far apart then market conditions will change during the lifetime of the current basket. At some points during the lifetime of the current basket there will be times when Group A pairs are moving against the trend and Group B pairs are moving with the trend. But we don't care because we know that in the end things will work out to our favor -- as long as our Group A and Group B baskets are correct.
7. In the BDX reversal strategy we took advantage of the fact that price always reverts back to a midline or "fair value". We have no control over when that will happen -- only that it will happen. Similarly, here, we can't control when a pair moves in the same or opposite direction of a trend. But we do know that over a certain period of time -- i.e. in between signals -- that Group A pairs will tend to move in the direction of the trend and Group B pairs will tend to move in the opposite direction. This is the magic sauce -- when you trade from signal-to-signal (i.e. from 30000 feet) and don't concern yourself with details on the ground, then the probabilities are in your favor. Similar to when you are on a diet -- don't weigh yourself every 30 minutes and concern yourself when your weight goes up and down. Just stick with the diet and at the end of the month you'll see you've lost 2 pounds.
8. The tool that I referred to and @aaven asked about can estimate the P/L for each pair, given a particular set of signals (e.g. from an Index + Tidane). In this way I can very accurately compose Group A and Group B baskets. I know which pairs will tend to move in the direction of the current trend and I'll put those in Group A, and the pairs that move in the opposite direction will go into Group B. There are also pairs that don't move much at all with the given signals, and those pairs are ignored.
9. Using a different Index + Tidane (i.e. different signals and trends) will affect which pairs go into Group A and Group B. Furthermore, it is the correctness of Group A and Group B that affects your profitability.
- #938
- Nov 23, 2019 12:37am Nov 23, 2019 12:37am
- Joined Dec 2017 | Status: Trader | 4,378 Posts
@TyLamai -- with regards to trading an "NZD-centric" Index...
The chart above shows the signals from 3 different Indexes -- just focus on the Tidane signals and trends and ignore the prices. The upper chart (NZ4) uses an Index of NZDCAD,NZDCHF,NZDJPY,NZDUSD. The middle chart (NZ7) uses an Index of NZ4 plus 3 flipped pairs NZDAUD,NZDEUR, NZDGBP. The lower chart uses an Index of just NZDJPY.
You can see that the signals and trends in all 3 charts are very similar. Furthermore, even when there are minor differences there is no way to tell which set of signals is the best. So, if you want to trade an NZD-centric Index I think it is fine to use NZ4+Tidane or even just NZDJPY+Tidane.
These are the Group A and Group B baskets I would use:
Group A (NZ8A) basket:
AUDJPY
CADJPY
EURJPY
GBPJPY
NZDJPY
NZDUSD
NZDCAD
NZDCHF
Group B (NZ5B) basket:
AUDNZD
EURAUD
GBPNZD
GBPAUD
The chart above shows the signals from 3 different Indexes -- just focus on the Tidane signals and trends and ignore the prices. The upper chart (NZ4) uses an Index of NZDCAD,NZDCHF,NZDJPY,NZDUSD. The middle chart (NZ7) uses an Index of NZ4 plus 3 flipped pairs NZDAUD,NZDEUR, NZDGBP. The lower chart uses an Index of just NZDJPY.
You can see that the signals and trends in all 3 charts are very similar. Furthermore, even when there are minor differences there is no way to tell which set of signals is the best. So, if you want to trade an NZD-centric Index I think it is fine to use NZ4+Tidane or even just NZDJPY+Tidane.
These are the Group A and Group B baskets I would use:
Group A (NZ8A) basket:
AUDJPY
CADJPY
EURJPY
GBPJPY
NZDJPY
NZDUSD
NZDCAD
NZDCHF
Group B (NZ5B) basket:
AUDNZD
EURAUD
GBPNZD
GBPAUD
- #939
- Nov 23, 2019 1:14am Nov 23, 2019 1:14am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
My job: I speculate and manage risk.
- #940
- Nov 23, 2019 1:39am Nov 23, 2019 1:39am
- Joined Feb 2013 | Status: Not till I'm done... | 1,663 Posts
My job: I speculate and manage risk.