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v2v dynamic trading system

  • #321
  • Edited 11:31am Feb 20, 2020 10:35am | Edited 11:31am
v2v dynamic trading system: ... a Project Looking Glass


─ TDZ MomenTicks
─ v2v MomenTicks

 

  1. A significant improvement in the application of DSMA algorithm to both v2v & TDZ MomenTicks.

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Click to Enlarge Name: v2v_linear_weighted.png Size: 55 KB


(uploaded again)
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #322
  • Feb 21, 2020 6:40pm Feb 21, 2020 6:40pm
v2v dynamic trading system: ... a Project Looking Glass
Attached Image

  1. A significant improvement in the application of DSMA algorithm
  2. updated template
  3. updated profile

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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #323
  • Edited 4:04am Feb 22, 2020 3:53am | Edited 4:04am
v2v dynamic trading system: ... a Project Looking Glass

 

  1. Adjusted the lower time frame (M1, M5, M15) algorithm for linear weighted (volume or ticks) momentum (LWM).
    ...kind of fixed the issue, but it's because of this LWM minuscule data (changes in between candle bars) at the lower time frame

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Note: There are times you may need to use chart zoom in or use MTF mode at the lower time frame
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #324
  • Feb 22, 2020 6:35am Feb 22, 2020 6:35am
...relaxing, Palawan... Philippines
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #325
  • Edited 10:33am Feb 24, 2020 6:24am | Edited 10:33am
v2v dynamic trading system


MomenTicks is a Linear (velocity * price) / Weighted (volume or tick data * velocity) Momentum (LWM)

 

  1. Fused the Laguerre of RSI with TDZ MomenTicks

    1. The existing code (Laguerre of RSI) made by David W. Thomas was based on John Ehler's Laguerre Filter to avoid the noise of RSI. However, IMHO the said filter flattens the underlying trends and then, resulting in a sudden change of direction (from flat to directional up or down). Thus, I applied DSMA (by John Ehler ─ TASC magazine 2019) and Jurik MA smoothing filters with LWM algorithm or under TDZ setup in order to see what's getting filtered.


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Supporting document about Laguerre of RSI
Attached File(s)
File Type: doc Ehlers (Time Warp).doc   282 KB | 418 downloads
Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #326
  • Feb 24, 2020 8:55am Feb 24, 2020 8:55am
v2v dynamic trading system: ... a Project Looking Glass

  1. v2v MomenTicks

    1. Now with Laguerre MomenTicks

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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #327
  • Feb 24, 2020 6:25pm Feb 24, 2020 6:25pm
v2v dynamic trading system: ... a Project Looking Glass

Updated & Optimized:

  1. HA_APB
  2. TDZ MomenTicks
  3. v2v MomenTicks

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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #328
  • Edited 7:56am Feb 25, 2020 7:36am | Edited 7:56am
v2v dynamic trading system: ... a Project Looking Glass

Laguerre MomenTicks: updated LWM calculation
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #329
  • Edited 2:20pm Feb 25, 2020 11:48am | Edited 2:20pm
v2v dynamic trading system: ... a Project Looking Glass

v2v MomenTicks:

  1. Change MTF behavior ─ This fixed the issue with MTF switching behavior.
  2. Made Laguerre as the default v2v MomenTicks

TDZ MomenTicks:

  1. Made Laguerre as the default TDZ MomenTicks

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re-uploaded...
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #330
  • Feb 27, 2020 5:30pm Feb 27, 2020 5:30pm
v2v dynamic trading system: ... a Project Looking Glass

  1. Fixed minor issues between DCP vs Laguerre button behavior under v2v MomenTicks.

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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #331
  • Edited 6:25am Feb 28, 2020 5:44am | Edited 6:25am
v2v dynamic trading system: ... a Project Looking Glass

 

  1. This system welcomes... The Singular Spectral Analysis ( SSA ) of MomenTicks

    Brief Wikipedia definition:

    "In time series analysis, singular spectrum analysis (SSA) is a nonparametric spectral estimation method. It combines elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems, and signal processing"
    Attached Image (click to enlarge)
    Click to Enlarge Name: SSA_v2v_Momentum.png Size: 132 KB

    Basically this toll is an idea of how we can use this scientific tool as a technical analysis instrument. You do not need to understand in-depth what SSA is, you need to understand what it does. It decomposes the time series and then reconstructs them.

    Singular Spectrum Analysis (SSA) is a method that takes all the variability in a series and breaks it into a few oscillation patterns that we refer to as eigenvectors. It also gives a measure of the significance of these patterns or eigenvalues.

    “Eigen” is a German word, which roughly translates to “characteristic”. Eigenvectors are structure functions that best represent the modes of behavior in price. The eigenvalues are a measure of the variance that these modes account for. The eigenvectors can be ordered by eigenvalue, highest to lowest, so that the first few patterns retain most of the variance in the data. The ordered eigenvalues are referred to collectively as the Singular Spectrum.
    Attached Image (click to enlarge)
    Click to Enlarge Name: SSA_v2v.png Size: 71 KB

    ─ A higher number of SSA bars: Smoother results
    ─ A lower number of Lag SSA bars: Sharper results
    ─ A higher number of Computations: Sharper result
    ─ A less number of Computations: Smoother results

  2. Based on the original SSA of Price (advanced) by mladen with the required library file ( libSSA.dll ).
  3. As a guest tool for v2v dynamic trading system, you need to attach this tool manually (not included on v2v dynamic template) on your chart.
  4. Note: This is just the beginning of its integration to v2v dynamic trading system


re-attached: libSSA.dll
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #332
  • Edited 12:05pm Feb 28, 2020 11:50am | Edited 12:05pm
Tip of the day

 

  1. Using Dominant Cycle Period ( DCP ) as Lag length for Singular Spectral Analysis tool
  2. This may get automated soon as the process of improvements or enhancement continues for this system

Attached Image (click to enlarge)
Click to Enlarge Name: Tip_ssa.png Size: 78 KB
Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #333
  • Edited 1:54pm Feb 28, 2020 1:43pm | Edited 1:54pm
v2v dynamic trading system: ... a Project Looking Glass

  1. Updated all AutoNumBars feature with a default value 900 bars minimum ( if the feature is OFF )
  2. Updated templates (now with SSA of MomenTicks )


re-uploaded: reset VPR vertical line positioning when switching from M1 to M15
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #334
  • Edited 10:10am Feb 29, 2020 9:49am | Edited 10:10am
v2v dynamic trading system: ... a Project Looking Glass

  1. optimizations of some of the indicators/tools
  2. updated templates

Attached Image (click to enlarge)
Click to Enlarge Name: v2v_MomenTicks.png Size: 51 KB

Attached Image (click to enlarge)
Click to Enlarge Name: EU_MomenTicks.png Size: 57 KB


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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #335
  • Feb 29, 2020 10:55am Feb 29, 2020 10:55am
Attached Image (click to enlarge)
Click to Enlarge Name: EU_03-01-2020.png Size: 55 KB
Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #336
  • Feb 29, 2020 11:34am Feb 29, 2020 11:34am
Tip of the day
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #337
  • Edited 9:10am Mar 1, 2020 8:01am | Edited 9:10am
v2v dynamic trading system: ... a Project Looking Glass

 

  1. TDZ MomenTicks
    ─ Applied RSX filter to Laguerre TDZ

  2. Updated templates

Attached Image (click to enlarge)
Click to Enlarge Name: new_tdz.png Size: 53 KB


re-uploaded
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #338
  • Mar 1, 2020 8:11am Mar 1, 2020 8:11am
EUR/USD: Laguerre TDZ (RSX)
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Click to Enlarge Name: EU_laguerre.png Size: 59 KB
Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #339
  • Mar 2, 2020 3:40am Mar 2, 2020 3:40am
v2v dynamic trading system: ... a Project Looking Glass

 

  1. v2v MomenTicks

    ─ Volatility Ratio: Now using a default Period value of 25 but it can change dynamically by getting the maximum value between the default Period of 25 vs the value of Dominant Cycle Period (DCP) divided by 3 (not divided in MTF & DCP mode is ON). The data is derived from the Standard Deviation of Price (close) and powered by MomenTicks

    ─ Synthetic VIX (SVIX) Ratio (New): By default, the Period value is 20 but it can change dynamically by getting the maximum value between the default Period of 20 vs the value of Dominant Cycle Period (DCP) divided by 3 (not divided in MTF & DCP mode is ON). The data is derived from the Standard Deviation of Price (close) and powered by MomenTicks.

    This is based on the original research/studies of Larry Williams (activetradermag.com, December 2007), The VIX Fix. ─ A “synthetic” VIX calculation can be used in any market to reproduce the performance of the well-known volatility index.

    This SVIX Ratio allows traders to gauge the securities that do not have an official CBOE VIX ticker symbol.

    Both SVIX and Volatility Ratio explores the momentum and price ranges relative to relevant securities (stocks, CFDs or currency pairs) closing prices over a prescribed period.

    Attached Image (click to enlarge)
    Click to Enlarge Name: synthetic_vix.png Size: 57 KB


re-uploaded...
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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
  • #340
  • Edited 1:59pm Mar 2, 2020 11:35am | Edited 1:59pm
v2v dynamic trading system: ... a Project Looking Glass

 

  1. v2v MomenTicks

    ─ Change Period parameters (default values and process )
    ─ Code improvement/optimization

  2. TDZ MomenTicks

    ─ Laguerre TDZ code improvement/optimization
    Attached Image (click to enlarge)
    Click to Enlarge Name: Laguerre_momenTicks.png Size: 48 KB


    Attached Image (click to enlarge)
    Click to Enlarge Name: laguerre_svix.png Size: 43 KB


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Since Frank Sinatra sings in his own way, my chart sing... I did it, my way
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