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Optimized Trend Trading

  • #1
  • First Post: Edited Feb 10, 2009 8:51pm Feb 1, 2008 6:18am | Edited Feb 10, 2009 8:51pm
Hello

Attached is a screenshot from my TopCat software for the EURUSD hourly for the last few days. Did quite well getting 500+ pips. Market conditions are horrible now so standing aside (and also having to do day job :-(( as well so no market fun!). In this display mode, the bars are coloured green where we are LONG and red where we are SHORT. (Don't get these confused with colour coding of up and down bars). TopCat is only interested in HI/LO so OP/CL not shown.

TopCat stands for "Trend Optimised Phase-Cyclic Analysis Trader" and uses some very fancy DSP from my days designing the Nimrod Searchwater radar. The main filter has a smoothing equivalent to a 40-bar MA but with a lag of around 0.3 of a bar, coupled with excellent phase linearity. Main filter is the blue line with the range-gate trigger in red. Crossover marks entry/exit.

So in trends, we do spectacularly well, capturing up to 85% of the trend. In choppy whipsaws the radar clutter filter tries to keep us out (in the screenshot these are the white bars).

Good hunting!!
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSD1.PNG Size: 94 KB
  • #2
  • Feb 1, 2008 6:22am Feb 1, 2008 6:22am
Hi codebreaker,

Are you sharing it with us or just showing it off?
  • #3
  • Feb 1, 2008 6:30am Feb 1, 2008 6:30am
Just thought folk might be interested...... That's all.

Especially in what can be done with sophisticated Digital Signal Processing. I have heards various rumours that 90% of all traders lose money and other rumours that 90% of all money is traded using some sort of MA (or one of the bewildering range of indicators based on them). I just wonder if there is a correlation here?
  • #4
  • Edited 6:55am Feb 1, 2008 6:44am | Edited 6:55am
you can use the painted bars indicator as well
If there is a coder around, maybe he can improve this indicater a little.
Attached Image (click to enlarge)
Click to Enlarge Name: painted bars-2008-02-01 13.39.gif Size: 39 KB
Attached File(s)
File Type: mq4 painted jr2007-34e.mq4   7 KB | 5,327 downloads
/ ... clarifying decisions ... /
  • #5
  • Feb 1, 2008 7:13am Feb 1, 2008 7:13am
No idea how this is different from a crossover. Attaching a local simple JMA crossover I curve fitted to resemble your chart.

Just because you found one of 52 weeks that make nice pips doesn't make it an exception to what you said:

Quote
have heards various rumours that 90% of all traders lose money and other rumours that 90% of all money is traded using some sort of MA (or one of the bewildering range of indicators based on them). I just wonder if there is a correlation here?
Ya know?

Where price goes, indicators follow, that's not really new

Both swing ends had pure price action setups; we actually just had a chat session on this pair and the swings yesterday over at J16
Attached Image (click to enlarge)
Click to Enlarge Name: blablah.gif Size: 25 KB
Trust price. Know yourself.
  • #6
  • Feb 1, 2008 7:16am Feb 1, 2008 7:16am
if you don't mind, could you post the details of the jma cross
/ ... clarifying decisions ... /
  • #7
  • Feb 1, 2008 8:29am Feb 1, 2008 8:29am
Quoting walb99
if you don't mind, could you post the details of the jma cross
Doh!

The irony

There is no point in it...I just randomly picked two time periods, one faster, one slower. OF COURSE they will cross when direction changes!
Because PRICE will have moved.

The whole point I was trying to make is that PRICE will show you the same information any moving average will, just sooner and more precise.

There is no point to MA crossover systems..
Trust price. Know yourself.
  • #8
  • Feb 1, 2008 11:10am Feb 1, 2008 11:10am
Not quite sure what to say, really.....

I don't quite see how a system that:

o gets one into a trend early,
o keeps you in to the end, and
o keeps you out-of-the-market during non-trending consolidation periods

can be described as having "no point".

Sure, this was a good week - that's why I posted it. Other weeks are awful for trend followers, but I'm not trading then! (I do actually have a life outside of all this!!)

If anyone can tell me why such a system has "no point", I'd be mighty glad to hear it....
  • #9
  • Feb 1, 2008 11:16am Feb 1, 2008 11:16am
BTW, are folk paying good money for this JMA thingy? Looks to me like a simple raised-cosine-windowed root-nyquist filter with the coeffs tweaked by the trusty old Remez Exchange algorithm. Should take around 10 minutes on MatLab to knock up something equivalent or better...
  • #10
  • Feb 1, 2008 11:19am Feb 1, 2008 11:19am
Quoting Codebreaker
BTW, are folk paying good money for this JMA thingy? Looks to me like a simple raised-cosine-windowed root-nyquist filter with the coeffs tweaked by the trusty old Remez Exchange algorithm. Should take around 10 minutes on MatLab to knock up something equivalent or better...
Are you selling your system?
  • #11
  • Feb 1, 2008 11:27am Feb 1, 2008 11:27am
I hadn't thought about selling it. My aim was to trade it!! I figure to make more sheqelyim (Hebrew plural of sheqel ??) by putting my own money where my mouth is than trying to relieve other folk of theirs...

From a personal standpoint, I would not be happy trading a "black box" I had bought. I would need to know the guts of the thing. You can only do that by releasing source, then likely you never sell another...
  • #12
  • Edited 11:50am Feb 1, 2008 11:29am | Edited 11:50am
Quoting Codebreaker
I hadn't thought about selling it. My aim was to trade it!! I figure to make more sheqelyim (Hebrew plural of sheqel ??) by putting my own money where my mouth is than trying to relieve other folk of theirs...

From a personal standpoint, I would not be happy trading a "black box" I had bought. I would need to know the guts of the thing. You can only do that by releasing source, then likely you never sell another...
Thanks for the answer...
  • #13
  • Feb 1, 2008 11:32am Feb 1, 2008 11:32am
QQE SF 1 would look pretty nice too on the chart you posted as would most indicators. please post a nice and choppy range to really make us drool...or not?
  • #14
  • Feb 1, 2008 11:48am Feb 1, 2008 11:48am
Quoting cryten
QQE SF 1 would look pretty nice too on the chart you posted as would most indicators. please post a nice and choppy range to really make us drool...or not?

Hehehe
Exactly.

Say, don't I know that little critter guy from somewhere...

The reason there is no point is what you already stated..

Sounds so nice:
Quote
Other weeks are awful for trend followers, but I'm not trading then!
That's easy to type, isn't it?

See, er...the one single problem of anyone trying to trade?
They can't predict the future!
So, er..
They don't know WHEN things will be awful or not. You know, the whole not being clairvoyant thing of mere mortals n all that
So, er..during trending phases all MA crossovers "work", all oscillating, crossing, whateveryouwantopick thingies will make pips, obviously.
The only trouble is that pesky linear time continuum problem..

And why do they work?
Because they FOLLOW price.
This was also my point if you didn't notice it. The signal comes AFTER there's new higher highs and lower lows.
Price action can tell you this might be coming BEFORE this has already happened for x bars.

Anyhow. I admire and envy your ability of being able to foretell when a market will or won't trend in a week.
I'm quite certain around 99.9%-100% of all the other people one could ask do not know ahead of time with certainty.

Have a good weekend everyone.
Trust price. Know yourself.
  • #15
  • Feb 1, 2008 11:58am Feb 1, 2008 11:58am
Not sure if I can make you drool! Attached the hourly EURUSD chart from last 2-and-a-bit days ending at the 1700 bar about 45 minutes ago. As you can see, most bars are white, indicating that the clutter filter reckons the market is too congested to trade safely.

We might have had a few pips on the green bit and it looks like we are just opening a short position, but I don't trade at weekends so I am out.
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSD2.PNG Size: 20 KB
  • #16
  • Feb 1, 2008 12:52pm Feb 1, 2008 12:52pm
what do you think about this?
Attached Image (click to enlarge)
Click to Enlarge Name: Toptrend 2008-02-01 19.29.gif Size: 15 KB
/ ... clarifying decisions ... /
  • #17
  • Feb 1, 2008 12:59pm Feb 1, 2008 12:59pm
hey seekinglight..... when you mentioned ,,,, There is no point to MA crossover systems..... is that to say valid ma crossover systems do not exist...... or that such better systems exist that there is no point in considering ma's...... just wonderin that's all..... thanks .......h
to trade and code, keep both simple... no call to impress....h
  • #18
  • Feb 1, 2008 1:08pm Feb 1, 2008 1:08pm
trend indicator + "no trend"-filter
Attached Image (click to enlarge)
Click to Enlarge Name: top of the top 2008-02-01 20.04.gif Size: 24 KB
/ ... clarifying decisions ... /
  • #19
  • Feb 1, 2008 1:18pm Feb 1, 2008 1:18pm
i want to add fuel to the flames and quote MuddBuddha (he is trading a system using things like walb99 is posting: paintbars and volatility indicator).

Mudd is one of the most respected guys here( like Seek, Smjones).

"...break out of the forex dogmas that often exist concerning MA systems, Naked Trading, price action,funamentals, etc. All things have benefit to an open mind and all things hinder to a closed mind..."
  • #20
  • Feb 1, 2008 2:14pm Feb 1, 2008 2:14pm
Hi giraia_br!

Are you familiar with muddbuddhas step MA? I have a screenshot and the indicator, but have difficulties with the settings.
Attached Image (click to enlarge)
Click to Enlarge Name: step ma 2008-02-01 20.53.gif Size: 18 KB
Attached File(s)
File Type: mq4 StepMA_v7.mq4   6 KB | 3,490 downloads
/ ... clarifying decisions ... /
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