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Volatility Impulse (VI) trades

  • #81
  • Dec 12, 2008 5:59am Dec 12, 2008 5:59am
Aleksey + Thatwasme

Thanks for posting this fascinating method. It's really got me thinking.
I rewrote the formula in Amibroker AFL (since i almost exclusively use Amibroker) but I'm not sure if it's correct, can someone please post an AFL for the PCCI_M indicator?
Thanks in advance.
  • #82
  • Dec 15, 2008 5:52am Dec 15, 2008 5:52am
Interesting thread!!!

PCCI_ M indicator doesn´t give the same signals in TS like in MT4.

Anywone can help ??

Really thanks!!
  • #83
  • Dec 21, 2008 5:34pm Dec 21, 2008 5:34pm
Quoting Aleksey
.
Why are there two colors on your indicator? Why this difference?
Thank you for your answer!
  • #84
  • Dec 21, 2008 5:35pm Dec 21, 2008 5:35pm
Quoting swakop
Hi Aleksey, hi thatswasme,

thanks for this thread.
Here is my chart. I've a PCCI - signal and with the open price of the new candle I open a sell order.
sell @ 1.3165, sl = 1.3263, tp = 1.2969

If the sl or tp will not hit, than I close the order by the close price. Is it correct?

Thanks for your support,
have a nice day, swakop

(sorry, but my german is perfect)
Is this post correct?
  • #85
  • Dec 22, 2008 12:49pm Dec 22, 2008 12:49pm
I tested this strategy is tradestation with the posted code. Basically Buy at market if Value2>1 or Sell Short at Market if Value2<=-1

The results were not stable across multiple time frames. the 720m chart did produce a nice equity curve but the strategy fell apart at daily, 60m, 120m, 240m, 5m

Any thoughts?
  • #86
  • Dec 22, 2008 4:11pm Dec 22, 2008 4:11pm
Quoting knocks420
I tested this strategy is tradestation with the posted code. Basically Buy at market if Value2>1 or Sell Short at Market if Value2<=-1

The results were not stable across multiple time frames. the 720m chart did produce a nice equity curve but the strategy fell apart at daily, 60m, 120m, 240m, 5m

Any thoughts?
Please post you test results here for daily and 720m frames. Try this one rules: buy at market if Value2>=1, stop at low of previos bar, close positoin at the end of current candle. Sell at market if Value2<=-1, stop at high of previos bar, close positoin at the end of current cadle. Tests on many pairs, results must be post here. Good luck.
  • #87
  • Dec 23, 2008 4:38am Dec 23, 2008 4:38am
Quoting knocks420
I tested this strategy is tradestation with the posted code. Basically Buy at market if Value2>1 or Sell Short at Market if Value2<=-1

The results were not stable across multiple time frames. the 720m chart did produce a nice equity curve but the strategy fell apart at daily, 60m, 120m, 240m, 5m

Any thoughts?

Perhaps it has something to do with the frequency of the digital filter, maybe other frequencies could resonate better in other timeframes.

But also possible that only the 12H TF can work for some reason. I do not quite understand the theory behind the method, but it is very interesting without doubt.
  • #88
  • Dec 24, 2008 7:49am Dec 24, 2008 7:49am
hey guys, was wondering if someone can be kind enough to make an EA for this method (very mechanical system?) would greatly help for back testing purposes.
  • #89
  • Dec 24, 2008 3:03pm Dec 24, 2008 3:03pm
Quoting Arilou
Perhaps it has something to do with the frequency of the digital filter, maybe other frequencies could resonate better in other timeframes.

But also possible that only the 12H TF can work for some reason. I do not quite understand the theory behind the method, but it is very interesting without doubt.
This is based on signal processing, a discipline in electrical engineering. The main purpose is to filter signal from noise. On first glance it seems HIGHLY parametrized and thus curve fit for a specific time frame. This is corroborated by the lack of robustness across time-frames. When I get an opportunity I will test based on previous posters input.
  • #90
  • Edited Jan 18, 2009 2:05pm Jan 17, 2009 9:41pm | Edited Jan 18, 2009 2:05pm
Hi everyone,

Here are updated results for the VIM. The system will be available for subscribers on my friends' website from 26th January. Please send me the private message if you are interested to receive its adress.
Attached Image (click to enlarge)
Click to Enlarge Name: VIM.PNG Size: 33 KB
  • #91
  • Jan 18, 2009 12:43am Jan 18, 2009 12:43am
Hello Alex

Your method is interesting for several reasons. It is for EURUSD, the only pair I trade now. It also looks for unusual volatility in a short period of time, which is another characteristic I used to monitor about 2 years ago.

May I submit a few of my own ideas here? These are similar to yours, but definitely not the same. Perhaps a different thread is appropriate.


I find that a measurement of bar height is equally effective as watching for CCI and other volatility measures. I am thinking of doing something like

IF(ATR(48) > 0.004) on the hourly chart and
IF(High[1] - Low[1] > 0.005) on the 12 hour then do something

The first line checks to see if the market is unusually volatile over the past 2 days, and the second examines the price action over the past 12 hours.

Thoughts? I am just trying to simplify a rather complex idea you've presented.
  • #92
  • Jan 18, 2009 1:13pm Jan 18, 2009 1:13pm
Hi Tdion,

Unfortunately to mix different time-frames is not a good idea if we are going to trade the volatility as its measure strongly depends on the chosen time-frame. The H12 time-frame is the only to apply such ideas, other ones cannot give stabile results.
  • #93
  • Edited Feb 13, 2009 8:00pm Feb 12, 2009 9:39pm | Edited Feb 13, 2009 8:00pm
Hi! Here is an update of the VIM results.
Attached Image (click to enlarge)
Click to Enlarge Name: VIM.PNG Size: 18 KB
  • #94
  • May 12, 2009 7:11pm May 12, 2009 7:11pm
So far the system has been upgraded. Now all the trading solutions have short stop loss levels but take profit levels are very sensitive to the market depth and in average in 3 times longer than stop loss ones. A trade may be closed by hitting one of these levels only but not after 12 hours how it was before. So a trader just has to initiate a position and do nothing further. Please see how it works for 2-3 weeks. EUR, GBP, JPY, CHF, CAD pairs will been used. As example the last trade in USDJPY pair was: sell=98.65, sl=99.07, tp=97.14.
  • #95
  • Edited 7:26pm May 13, 2009 5:27am | Edited 7:26pm
Let's start: USDCHF buy=1.1023, sl=1.0968, tp=1.1179, USDCAD buy=1.1613, sl=1.1547, tp=1.1784. There was a signal in EURUSD sell=1.3590, sl=1.3658, tp=1.3408 but it mightn't be applied as it correlated between USDCHF. No signals in GBPUSD and USDJPY.

1. EURUSD sell=1.3590, sl=1.3658, tp=1.3408 or USDCHF buy=1.1023, sl=1.0968, tp=1.1179,
2. USDCAD buy=1.1613, sl=1.1547, tp=1.1784.
  • #96
  • May 13, 2009 3:34pm May 13, 2009 3:34pm
Hi Aleksey,

Have the rules to the system changed from the first page? Can you please list the latest rules?

Thanks you very much.
  • #97
  • May 13, 2009 3:44pm May 13, 2009 3:44pm
I'll give some explanations further but for now am just showing how it works. Regards.
  • #98
  • Edited May 15, 2009 1:08am May 14, 2009 4:49pm | Edited May 15, 2009 1:08am
The position in USDCAD buy=1.1613, sl=1.1547, tp=1.1784 has been completed by hitting of the take profit level. Please note how exactly the take profit level was calculated. Maximal the market depth (high) was 1.1789.

I'm going to post 10 trading solutions and we'll be able to estimate the method. The first one is USDCAD=+171.
  • #99
  • May 15, 2009 5:04am May 15, 2009 5:04am
The next one:

3. USDJPY buy=94.91, sl=94.38, tp=96.22.
  • #100
  • May 15, 2009 6:10am May 15, 2009 6:10am
this must not be a signal of 12H chart...? Cant see such entry..
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