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Twoblink and "The Secret Sauce"

  • #61
  • Jun 16, 2006 3:56am Jun 16, 2006 3:56am
So my "ideal" indicator, I'd like it to be laggy.. I want however, the lag to coincide with the confirmation of a trend break or an new trend.. Get it? So controlling the lag, seems to be a bit problematic.. Because too many scenerios for any one equation to handle..

Or is it? I'm wondering about that because I if the information is the price and the price is the information and the equation is based on the price, which means the equation is based on the most current and relavant information, then it should know all..

I need one of these:

http://www.dvd.net.au/movies/t/07952-1.jpg

as an indicator...
google:
  • #62
  • Jun 16, 2006 4:02am Jun 16, 2006 4:02am
Quoting twoblink
Hull's Moving Average, averaged with Moving Average = HMAMA..

So I've got HMAMA going, and I kind of like it. It's not so sticky like HMA, but it's not so laggy like MA.

HMAMA= (HMA+MA) / 2

Why HMAMA is effective:

One of the problems with MA crossover methods is that the MA's really lag. And when you have a sideways movement, you get the flip up/flip down problem.. and get thrown around along the line. HMA moves really smoothly and moves quickly, and so HMA doesn't have the same problem. But HMA moves too fast and sticks too tight IMHO for it to be an effective xover indicator. Also, it tends to overshoot on the big moves.. MA doesn't.

So when you combine the two, you seem to get the best characteristics of both.. (or maybe you will end up with the worst characteristics of both, not sure yet).

But so far, I LIKE IT.

If I traded it like a regular MA xover.. it seems to work well..

I consider an entry signal to be when the body of an entire bar has crossed over the HMAMA. The exit signal, the same.

HMAMA 34 on the 1 Day charts seems to work beautifully.
I'm pondering about [whatever]MA usage. If it signals only on bar close it misses a lot, if it signals on "every tick" then the signal beats my brains out and eventually it shakes you in and out. If you look in hindsite then all looks well and beatifull (nice, smooth MA lines) but if its on every tick then the reality differs a lot. I know that this maybe is discussed a thousand times but still I don't have the solution yet.

I'm experimenting now with both styles.. when a tick signal is made, I enter small position, if it is confirmed at bar close, then I add.. and similar on exit.

I have a system based on vegas daily method (with some improvements) and on backtests and real life bar close just doesn't work, but on ticks.. it makes 3 digit percent a year.

I don't know much about Hulls MAs, I use Juriks. Maybe I should dig up the Hull stuff, duno yet.
  • #63
  • Jun 16, 2006 4:07am Jun 16, 2006 4:07am
and about that "your system sucks" kinda people.

almost every software nowadays has an "ignore" button for a reason (and its not trading).
  • #64
  • Jun 16, 2006 4:10am Jun 16, 2006 4:10am
Dinner time!

I might go ahead and try Wave~Tide~Ripple [ing] the OCC. Multiple time frames to confirm or deny movement in on direction..

The problem though is the multiple filtering..

Let's say, we watch the 1 Day, we trade the 1 hour, and we watch the 15M.

If the 1 Day is point up, then that basically says, you've negated 50% of your signals... Is that a good thing? And watching the 15M, would you just NOT enter on a 15M counter signal, or would you actually exit? I wouldn't exit I don't think, just not enter.. But those are opportunities.. So it's a math contest between if this will prevent loses more, or hurt profit more..
google:
  • #65
  • Jun 16, 2006 4:15am Jun 16, 2006 4:15am
piccolo,

Hull's is by the Guppy guy in Auzzie..

as for tick vs close. That is the failure of the OCC in the 4H chart. OCC is HEAVILY dependent on the entry. In fact, the exit is not as important as the entry in OCC IMHO. But I tried it bar close, and it sucked.. You miss out too much in 4H. I tried it per tick, and I had 50% false signals..

So that's the problem....

I am "trading white" right now.. No indicators, just the price.. Doing well so far..
google:
  • #66
  • Jun 16, 2006 4:40am Jun 16, 2006 4:40am
you made me look deeper and judging by this picture, gaussian looks the fastest, hull in the middle and juriks the slowest.


source: https://www.tradestation.com/Discuss...Topic_ID=40589

something to work on for me.
  • #67
  • Jun 16, 2006 4:44am Jun 16, 2006 4:44am
Sorry system can only handle 600 x 600 image, please repost. the image.
Scott



Quoting piccolo
you made me look deeper and judging by this picture, gaussian looks the fastest, hull in the middle and juriks the slowest.


source: https://www.tradestation.com/Discuss...Topic_ID=40589

something to work on for me.
  • #68
  • Jun 16, 2006 5:19am Jun 16, 2006 5:19am
Quoting smjones
Sorry system can only handle 600 x 600 image, please repost. the image.
Scott
doesn't matter, it's in the link.

make a size check and show only 600x600
  • #69
  • Jun 16, 2006 6:46am Jun 16, 2006 6:46am
So I've been a little lost today, even though I think I made great progress.. I basically need to go back to the sauce hunting..

So we've got the price, supposedly whispering secret information, morse code if you will, into our ears.. The problem is, where's the secret decoder ring??

http://www.valleyadvocate.com/binary...lash-3763.jpeg

How do you remove the randomness of the market? Or is it randomness at all? Or is the problem, I keep removing the randomness, and end up throwing the baby out with the bathwater?

Let's start with the most fundamental.. The SMA. What's wrong with the SMA? It lags too much. So what, we go to WMA. Still lags too much. We move to EMA. What's the problem? It reacts too much to the last known price so it whipsaws.

Let's talk about crossovers using EMA's. The theory is, when the short one and the long one both point up, then the market is moving up. If they both point down, then the market is moving down. But you are still going to get whipsaw'ed if you have the short one worming up and down around the long one. Which happens when? When the market is confused. But you only know the market is confused in hindsight.. You don't know it then, and you can't discriminate against signals..

It's called a "headfake" like in basketball. So.. the secret is easy.. Don't look at the head..

We gotta attack the body...

In a candle, the head and tail are the highs and lows. The open and close make up the body. So what does the body tell us??

What about body to shadow ratio? Should I plot that??
google:
  • #70
  • Edited 8:48am Jun 16, 2006 8:18am | Edited 8:48am
I programmed in the Mr. Guppy's indicator. Excellent. Aside from usefulness, you can oooh and wow your guests. It makes you look important. Tell them you are mining for gold in the Congos..

Dunn, and Seykota have an innate understanding of the market. That much I'm certain. Mr. Guppy seems to be in this elite group as well. So I'm taking a look at his indicator, to see what I can glean from it.

He talks a lot about "compression". When things start getting in agreement. The fanning of his indicator, he says a bunch of people getting excited. Very very smart dude..

I'm still convinced that:

Price chart + ONE indicator + Secret Sauce = Retirement.

Right now then, I'm looking at what the smart people do, and trying to find the common thread. Vegas says "Price = Information" is their common thread. Yes. But that's like telling someone to "use a stop". But not tell them where to put it.. That's not helpful. It's information, but then again, so are infomercials. How to extract the good stuff..

Again, I want to eat the raw fish, and not just the rice..Order the Sashimi, not the sushi...
Attached Image
google:
  • #71
  • Jun 16, 2006 1:21pm Jun 16, 2006 1:21pm
Quoting twoblink
Right now then, I'm looking at what the smart people do, and trying to find the common thread. Vegas says "Price = Information" is their common thread.
First - I don't know anything about your system, todays the first time I clicked on your thread and only cause I'm just reading last posts for the hell of it. SO u can call me a moron too if u want

Something else that Vegas said that has stuck with me. Not only does the price hold information but how it moves. He equated it to watching a football game. As you watch you can start to feel the momentum start to shift from one side to the other. You know and sense it - know what I mean. Price is the same. As you watch it you can start to see (feel) the shift in momentum. This I believe is the missing piece that can't be coded, or hasn't yet. Maybe you'll be the one.
Good Trading.
In trading, there is no bullshit. You either make money or you don't.
  • #72
  • Jun 16, 2006 1:36pm Jun 16, 2006 1:36pm
Here is another version of the GMMA (guppy) averages....I really like how it shows trend. Compression and expansion...makes for great entries....just something esle to add to your toolbox
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  • #73
  • Jun 16, 2006 1:58pm Jun 16, 2006 1:58pm
At 2:51am.. 16 hours since I woke up.. I think I understand. I might have found the sauce..

Get a hold of yourself.. don't get too excited..

Shoot.. I teach all day tomorrow.. Otherwise, I'd program a simulator to verify my results..

I feel like Neo from the movie "The Matrix" when he can see..

I reread all of the "turtletrader.com" pages, as well as the trendfollowing.com pages..

It all makes sense now.. I'm so excited I don't think I can sleep..
Attached Image
google:
  • #74
  • Edited 10:02am Jun 17, 2006 9:02am | Edited 10:02am
So I'm going to expose the consipracy.. and then I'm going to do something horrible, I'm going to JOIN the conspiracy.. You might want to turn the light down low for this one, and make sure you sweep the house for bugs... and you can't forget your tin foil hat..

http://www.justtotheleft.com/images/...n_foil_hat.JPG

So you have websites like:

http://turtletrader.com/
http://www.trendfollower.com/

And the book by Michael Covel "Trend Following".

So all these people, Bill Dunn, Ed Seykota, etc.. Claims Michael Covel, are "Trend Followers". Then he interviews them one by one, and each of the tells you the same ol' lie. "There's no Holy Grail." Wait Wait Wait, if there's no Holy Grail, how the heck are all of you averaging above 28% a year for 20 years? Is it something in the water? Secret Horoscope chart? I know, you wear a red cape and blue spandex..

If there's no Holy Grail, there at least has to be a cup that runneth over with free beer or something. Because OBVIOUSLY, these people are doing some the rest of the population is not. No Holy Grail.. Ok, I can except that, but I have to expose the fact that there is SECRET SAUCE.

So, you see them telling you, TrendTrading is the way to do it. The Trend is your Friend. It's the only way to make long term ROI. It's what the cool people do. It's what the stupid people don't do.. yada yada yada..

Flip through Covel's book. Does he tell you what the secret sauce is to SUCCESSFULLY trend trade?? Nope. Ask Bill Dunn. He will tell you the same conspiracy answer "There is no Holy Grail." In fact, they will go OUT OF THEIR WAY, to tell you what's ingredients are NOT in the secret sauce..

And I quote:

from: http://turtletrader.com/entry.html


Quote
No Predictions

Trend Following is not based on support and resistance lines or areas of congestion. Trend Following is not based on Fibonacci numbers, the golden mean, nor is it related to the works of Gann or Elliott. The following predictive indicators are not used in Trend Following:


 

  1. No Bollinger bands
  2. No RSI
  3. No MACD
  4. No OBV
  5. No stochastics
  6. No ROC
  7. No Williams %R
  8. No P/E ratios
  9. No momentum
  10. No Advance/Decline lines, etc.
  11. More ...

These indicators are all designed to predict what a market will do. You can discount all indicators designed to predict a market move. They are not, by themselves, a predictive trading system. Technical indicators are only useful as part of a complete reactive trading system. The Trend Following uses a straightforward reactive, technical indicator as part of an overall-trading plan. The only true method for trading is a long term trend following system that reacts to the market.

Don't fixate on the technical indicator used in any trend following system. It's important, but it is not the key. It’s the tool, but not the kit. Moreover, by itself, a technical indicator is meaningless.

 

  1. More on indicator issues.
  2. Here are examples of useless Technical Analysis.
  3. Breakouts.


So right there, they tell you what they "don't" use. Amazing huh? Again I refer back to the movie "The Italian Job". They did everything "by touch", and they are the type that thinks, Technology DOESN'T guarantee speed and accuracy..

http://turtletrader.com/technical-indicator.html

they tell you to "avoid the seduction" of technical indicators. That's like telling a little kid to not touch the gun..

So I read through the entire site of the turtletraders TWICE last night.

Remember the formula I had posted earlier:

Price Chart + Indicator + Secret Sauce = $$$

If I looked at all of them, and subtracted out the indicators, then I'd have Price Chart and Secret Sauce...

Well... I when I did that, I was left with a ridiculous conclusion.. So ridiculous, that I thought, "This can't be it.."

But then, there's Sherlock Holmes..

Quote
"It is an old maxim of mine that when you have excluded the impossible, whatever remains, however improbable, must be the truth."


So let me tell you about the secret sauce. The secret sauce, is not what you think it is.. The secret sauce, is not what you expected. The secret sauce, is so simple, yet complex at the same time. With the secret sauce, you can make it as complex, or as simple as you want it to be.

Oh, it wasn't just the Turtle Trader's page that allowed me to find the secret sauce.. There was something else.. My "gambling" background..

So when I was in High School, my Sophomore year was boring, especially math class, and so my friend Kevin and I, decided we were going to spend math class doing "math" but for useful purposes..

So we tried to break the roulette wheel... 9 months later, we ended up with an optimized scheme to work on the roulette. I went to Las Vegas with it. Although I didn't make that much, the method did get me kicked out of a few casinos... I had forgotten about that until this past week..

The "Kelly Formula" played a HUGE part in me finding the sauce..
For those who are google illiterate, (and surprisingly, that's a vast number of you)



Quote
The Kelly's formula is : Kelly % = W - (1-W)/R where:

 

  1. Kelly % = percentage of capital to be put into a single trade.
  2. W = Historical winning percentage of a trading system.
  3. R = Historical Average Win/Loss ratio.





Links provided:

http://www.turtletrader.com/data.html
http://www.trader-soft.com/money-management/kelly.html
http://www.hquotes.com/kelly.html


And now, the "sad" part.. Now that I have found the Secret Sauce.. I will test it, verify it, and optimize it.. and... I cannot share it.. The Secret Sauce, is ridiculously simple. So simple, that if you just told someone, they won't believe you. In fact, I can't post it in this journal, because I would probably lose all credibility.

The value of the Secret Sauce, can only be realized by self-discovery. I however, have IMHO given more than enough hints to it, that those who would read between the lines, will find it for themselves and prosper.

So.. I am off to write up a simulator, and try to optimize the secret sauce now..

Those who have enjoyed my journal.. Thank you for reading.. The journal was wonderful...

I have spend 10+ hours a day on the forex for the past 30 days.. I estimate that I have put in 350 hours into studying the forex in this one month. 2am 3am etc.. was the norm and never the exception.

I read a book called "21 Secrets of Millionaires". In it, the author says that "Success is as predictable as the sun rising in the East, and setting in the West." I have the book on audio. I listened to it every day on my way to work for 6 months. I didn't believe him.. But I can say, with great confidence, that the journey was well worth it. I encourage everybody to put in 300 hours into studying the forex.. you won't grow a third eye, http://images.google.com/images?q=tb...8642HnPM_w.jpg
but you will learn things you never thought were learnable..


My journey took me to studying Missile Guidance Systems, multi-variable calculus. Who needs to drop acid when you've got the forex???

It all makes crystal clear sense, and in a way, I'm sad. In my quest for the Secret Sauce, I might have taken the fun out of the Forex market forever...
google:
  • #75
  • Jun 17, 2006 9:53am Jun 17, 2006 9:53am
What is SOOOO Ironic is, the "essence" of the Secret Sauce can be summed up in 3 sentences..

"Cut your losses, and let your profits run."
"Price = Information"
"Losers Average Losers"

I've heard these 3 lines all my trading life.. Who knew when combined, this was the Secret Sauce??
google:
  • #76
  • Edited 2:32pm Jun 17, 2006 2:15pm | Edited 2:32pm
Quoting fxvision
twoblink, it is unfortunately a broad misunderstanding than Gann died as a wealthy man. When Dr. Alexander Elder interviewed his son, who works as an analyst for a Boston bank, he found that Gann senior could not support his family from trading but earned his living by writing and selling courses.

Quote from Elder's book "Trading for a living" page 23, 2nd paragraph:

"When W.D.Gann died in the 1950's, his estate, including his house, was valued sligthly over $100,000. The legend of W.D.Gann, the giant of trading, is perpetuated by those who sell courses and other paraphernalia to gullible customers."

End quote.

Good luck with your quest.
I don't mean to hijack the thread, but I googled Gann's story and found this on Wikipedia.com(http://en.wikipedia.org/wiki/W._D._Gann):

Quote
W D Gann's only son John Gann is alleged to have said that Gann never did actually make the sum that was claimed and actually lived off the proceeds of the books and courses that he sold. It is on the record, however, that John Gann worked with his father but that they went separate ways, either because they did not agree on how to analyse the markets or because Gann, Jr. was unable to apply his father's astrological ideas, or simply did not approve of them. Gann, Jr. went on to become a successful broker and analyst and trader in his own right, so whatever the truth of their falling-out, the possibility of a simple father-and-son rivalry should not be ignored. Not only this, but John Gann seemed to change his tune: "Foster indicated to us that Gann's son was not happy about his father. The elder Gann apparently was a task master and from other sources, a womanizer too. Gann's son told Foster, somewhat to this effect, 'Everything you need to know to make money in the markets are found in my father's books and writing.' Then there was a click. We now know that Gann's son died several years ago and his remote family is scattered throughout the country. What we also know was that Gann's son was a member of the New York Stock Exchange, trading for his own account. Now, concerning William D's estate. From sources I know to be relatively accurate, his Florida estate records showed an estate back at the time of his death in 1955 to be worth about $250,000. This was a nice piece of change back then, probably equivalent to maybe $4-$5 million today."
  • #77
  • Jun 17, 2006 3:42pm Jun 17, 2006 3:42pm
Quoting twoblink
What is SOOOO Ironic is, the "essence" of the Secret Sauce can be summed up in 3 sentences..

"Cut your losses, and let your profits run."
"Price = Information"
"Losers Average Losers"

I've heard these 3 lines all my trading life.. Who knew when combined, this was the Secret Sauce??
I have always been intrigued by pyramiding into a trade but skeptical. It seems as if each entry would need to be a new trade and you should have a reason for each trade, more then to say “I will add every 50pips”.


But then again averaging down seems very logical (look a the firebird system), you don’t know where the bottom is so you are taking the half life steps till you get there and then ride it up, problem is that there isn’t a bottom sometimes.


I have never seen any advice column suggesting you should use averaging down and http://turtletrader.com/entry.html is the first place I have seen it suggested that you pyramid in.
  • #78
  • Jun 17, 2006 10:55pm Jun 17, 2006 10:55pm
I dug up on the internet, a copy of Gann's original book...

In it, he rips Dow to shreds and basically says whoever is still believing in Dow's theory, is old news..

Interesting man. Whether he had money or not, really doesn't subtract from his genius. When you all have a bunch of indicators named after you, let me know. Until then, Gann is the man. Do I use any of Gann's stuff? Nope. But just because he went grail hunting doesn't mean there isn't a grail... The two are mutually exclusive.

like one of my favorite phrases "Just because you are paranoid doesn't mean they aren't out to get you." That is the fundamental theorem of conspiracy.

As for pyramiding.. There exists a method to optimize this.. What I'm working on as far as simulators this coming week...
google:
  • #79
  • Edited 12:07pm Jun 18, 2006 3:28am | Edited 12:07pm
The Secret Sauce

1 Cup Mayo (Best Food's Real Mayonnaise is the best)
2 tablespoons Dijon Mustard (Grey Poupon is the best)
1 Teaspoon Curry powder (it should look bright yellow)
1/2 teaspoon paprika (or however much heat you like)
juice of 1/2 of a lemon

mix until there's no more Mayo bubbles... Put into the frig and cover it with saran wrap for at least an hour before serving.

Serve with steak.


If you don't believe this is the best sauce you've ever tasted...
google:
  • #80
  • Last Post: Jun 18, 2006 12:16pm Jun 18, 2006 12:16pm
Since I have now found the sauce, I will not try to optimize the sauce... I will document this process the best I can.

So. Thank you everybody for staying with me on my search.

Veni Vidi Vici!!
Viva la Forex!!

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Optimizing "The Sauce"
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