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Let's build together a system which makes 1000%/month

  • #401
  • Edited 11:34pm Sep 9, 2014 11:24pm | Edited 11:34pm
Ok finally version 1.5 i think is bug free, sorry for the frequent corrections, but i mislooked over a few bugs.Anyway if you find any other bugs report it to me immediately.

But so far its as bug free as possible, and i also ran a quick correlation test to demonstrate its capability.

Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDM1.png Size: 25 KB


I took 100.000 M1 bars from MT4 from a custom time period. The indicator PERIOD was set to 1440 M1 bars which is 1 day.

Then i put my data into excel,and it turns out there is only a 16% correlation between the DAILY VELOCITY & PRICE, which is very tiny.

So perhaps you need to set other periods, so please experiment with it, because more minds can work better together than alone!

Here is my result:

Attached File(s)
File Type: xlsx 1 DAY CORREL TEST.xlsx   34 KB | 411 downloads
"There's a sucker born every minute" - P.T. Barnum
  • #402
  • Sep 10, 2014 1:21am Sep 10, 2014 1:21am
Quoting Proximus
Ok finally version 1.5 i think is bug free, sorry for the frequent corrections, but i mislooked over a few bugs.Anyway if you find any other bugs report it to me immediately. But so far its as bug free as possible, and i also ran a quick correlation test to demonstrate its capability. {image} I took 100.000 M1 bars from MT4 from a custom time period. The indicator PERIOD was set to 1440 M1 bars which is 1 day. Then i put my data into excel,and it turns out there is only a 16% correlation between the DAILY VELOCITY & PRICE, which is very tiny. So...
Didn't Bill Williams do this market velocity thingy with the AO and AC oscillators?

What is different/better than any other velocity concepts out there?

Edit: Gann Fans also measure market velocity. So does the ROC oscillator.

Just playing devils advocate here.
If you are good at something, never do it for free--Joker
  • #403
  • Sep 10, 2014 1:39am Sep 10, 2014 1:39am
Quoting jmn5611
{quote} Didn't Bill Williams do this market velocity thingy with the AO and AC oscillators? What is different/better than any other velocity concepts out there? Edit: Gann Fans also measure market velocity. So does the ROC oscillator. Just playing devils advocate here.
I have no **** clue what those indicators measure but by the name "Awesome Oscillator" it doesnt seem very scientific isnt it?

Gann Fans are just lines drawn to the chart, and pretty subjective...

The ROC oscillator measures acceleration, i`ve wanted to look into it, but i didnt had time to do it so far.


But my indicator measures velocity, i also posted an indicator which measured speed, the difference between velocity and speed is the direction, while speed is only a scalar , and absolute one , velocity measures the direction of the price vector.
In simple terms, my velocity indicator measures the speed, while including the direction, so

  1. if the indicator is >0 that means that the (speed is increasing and price is constant ) OR ( the speed is constant and the price goes up)
  2. if the indicator is <0 that means that the (speed is decreasing and price is constant ) OR (the speed is constant and the price goes down)

So to determine which one is increasing you should use both indicators together, and look for divergence between speed & velocity:


Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDM1.png Size: 44 KB


Sorry if i didnt explained well how to use the indicators, i thought its self explanatory
"There's a sucker born every minute" - P.T. Barnum
  • #404
  • Sep 10, 2014 1:40am Sep 10, 2014 1:40am
Prox, I see you are interested in currency strength. Here is an indi for you to look at.
Attached File(s)
File Type: zip css 10.7_6xx.zip   335 KB | 498 downloads
If you are good at something, never do it for free--Joker
  • #405
  • Sep 10, 2014 1:47am Sep 10, 2014 1:47am
Quoting jmn5611
Prox, I see you are interested in currency strength. Here is an indi for you to look at. {file}
Thanks but i already made myself one
"There's a sucker born every minute" - P.T. Barnum
  • #406
  • Sep 10, 2014 2:13am Sep 10, 2014 2:13am
Quoting Proximus
{quote} So to determine which one is increasing you should use both indicators together, and look for divergence between speed & velocity: {image} Sorry if i didnt explained well how to use the indicators, i thought its self explanatory
If you are going to be an expert in anything, it is good to know history. This will keep you from re-inventing the wheel.

They have another name for that......it is called...............momentum.
If you are good at something, never do it for free--Joker
  • #407
  • Sep 10, 2014 3:08am Sep 10, 2014 3:08am
Just came across this thread and thought i would share some of my thoughts.
Yes there is a holy grail out there.
but the question is where?
did dan zanger find the holy grail.
yes he did.
I do believe a trader can make about 30% growth to 50% growth per week.
I witnessed that myself.
In 2 to 3 weeks the guy use to double his account.
He found the Golden Goose as he use to call it.
I hope you guys here find the golden goose with the golden eggs
i am a nobody
  • #408
  • Sep 10, 2014 3:54am Sep 10, 2014 3:54am
Quoting jmn5611
{quote} If you are going to be an expert in anything, it is good to know history. This will keep you from re-inventing the wheel. They have another name for that......it is called...............momentum.
I like how forex jargon hijacks scientific terms and then it attributes it to something totally different, its pretty pathetic.

Momentum = mass * velocity, since the market doesnt have a mass, its pretty hard to calculate momentum.

So there is speed, velocity and acceleration in the market, what you described is called acceleration not momentum.

If we want to be scientific here then we should keep the scientific terms too, and not confuse it
"There's a sucker born every minute" - P.T. Barnum
  • #409
  • Sep 10, 2014 4:13am Sep 10, 2014 4:13am
Quoting ForexKnight
Just came across this thread and thought i would share some of my thoughts. Yes there is a holy grail out there. but the question is where? did dan zanger find the holy grail. yes he did. I do believe a trader can make about 30% growth to 50% growth per week. I witnessed that myself. In 2 to 3 weeks the guy use to double his account. He found the Golden Goose as he use to call it. I hope you guys here find the golden goose with the golden eggs
I dont know how reliable his patterns are, especially in the FX market which is a totally different market.

Stock market is predominantly going up than down, so its much easier to trade, while FX market goes up just as much as it goes down.

Also in volatile conditions i think you can make much more than that in FX than in stocks.A compounded daily volatility based trade can make 5-10%/ volatile days around all pairs which move.Add that up and you can easily make 100-200%/week, perhaps the 1000%/month is also achievable.

BUT you need the edge first, damn thats always a problem
"There's a sucker born every minute" - P.T. Barnum
  • #410
  • Sep 10, 2014 4:18am Sep 10, 2014 4:18am
Quoting Proximus
{quote} I like how forex jargon hijacks scientific terms and then it attributes it to something totally different, its pretty pathetic. Momentum = mass * velocity, since the market doesnt have a mass, its pretty hard to calculate momentum. So there is speed, velocity and acceleration in the market, what you described is called acceleration...
Ah, my young friend, but the market does indeed have mass. It is measured as sentiment. That would be the number of traders long or short, which equates to a number, which would indicate a weight.

However, I do not wish to argue semantics with you. perhaps you can find a way to turn your indicators into something that actually makes money.

I am pulling for you!
If you are good at something, never do it for free--Joker
  • #411
  • Sep 10, 2014 4:27am Sep 10, 2014 4:27am
Quoting jmn5611
{quote} Ah, my young friend, but the market does indeed have mass. It is measured as sentiment. That would be the number of traders long or short, which equates to a number, which would indicate a weight. However, I do not wish to argue semantics with you. perhaps you can find a way to turn your indicators into something that actually makes money. I am pulling for you!
Perhaps, but its not the same mass as considered in physics, so the formulas doesnt work for that.

The wording should be clear and the terms need to be used with the appropriate phenomena, because otherwise it confuses people, if there is already an agreed term for something why invent another one.

==============

Anyway, money making is the priority, i couldn't care less about the indicators themselves, i only look for usefulness.

I will make an acceleration indicator, so that the trio should be complete and then we shall see how useful they are.Keep in mind we agreed that trend following will be this system's core strategy, so we need appropriate tools for it don't we?
"There's a sucker born every minute" - P.T. Barnum
  • #412
  • Edited 5:11am Sep 10, 2014 4:33am | Edited 5:11am
Quoting ForexKnight
Just came across this thread and thought i would share some of my thoughts. Yes there is a holy grail out there. but the question is where? did dan zanger find the holy grail. yes he did. I do believe a trader can make about 30% growth to 50% growth per week. I witnessed that myself. In 2 to 3 weeks the guy use to double his account. He found the Golden Goose as he use to call it. I hope you guys here find the golden goose with the golden eggs

Depends on what you mean by "holy grail":

1) Is it a profitable way of trading that can make you a full-time forex trader and provide you a comfortable living for as long as you live ?

Yes, such a thing exists, mostly with discretionary traders that have the ability to adjust to changing markets.

2) Is it a completely mechanical system that can give you amazing returns for a short amount of time ?

Such systems also exist but you have to know when to start and when to stop trading them, and that's the difficult part.

3) Is it a mechanical system that can work like for ever, in different markets even, and provide you with enough money to live at least comfortably ?

Most probably yes, but you need a large capital to begin with and the ability to stomach large drawdowns. Which means you are probably living very comfortably already.

Sure, many people have doubled or even decupled their accounts in 2-3 weeks. The question is, how many have managed to do this continuously for 6 months ? How about for 6 years ? Sure, Zanger did even better for 1-1.5 year, but could he sustain it ? I see now he sells subscriptions for $125 a month. Would he need to if he could sustain such a growth rate for even one more year ?

Also, if some exceptional traders achieve stunning results, this doesn't mean that anyone can do it. There are about 100 people who have run 100m in under 10 seconds; this doesn't mean that it's doable for everyone.
  • #413
  • Sep 10, 2014 6:19am Sep 10, 2014 6:19am
Quoting micmic
{quote} Depends on what you mean by "holy grail": 1) Is it a profitable way of trading that can make you a full-time forex trader and provide you a comfortable living for as long as you live ? Yes, such a thing exists, mostly with discretionary traders that have the ability to adjust to changing markets. 2) Is it a completely mechanical system that can give you amazing returns for a short amount of time ? Such systems also exist but you have to know when to start and when to stop trading them, and that's the difficult part. 3) Is it a mechanical...
Fully agree.

But i would add to point 2) that you must have quant knowledge to make the most optimal mechanized system.Simple chart traders cant put together a statistically proven method which is most optimally constructed.

There is always a system which is better than the current and without quantitative knowledge its pretty hard to "guess find" it instead of making a heuristic algorithm which chooses the best system and configures it to make it most optimal.

I`ve tried this also, but the problem is that i dont have anything to start from ,yet.
"There's a sucker born every minute" - P.T. Barnum
  • #414
  • Sep 10, 2014 8:04am Sep 10, 2014 8:04am
Quoting Proximus
{quote} that you must have quant knowledge to make the most optimal mechanized system.Simple chart traders cant put together a statistically proven method which is most optimally constructed. There is always a system which is better than the current and without quantitative knowledge its pretty hard to "guess find" it instead of making a heuristic algorithm which chooses the best system and configures it to make it most optimal. I`ve tried this also, but the problem is that i dont have anything to start from ,yet.
I don't understand this... Is it really necessary to have quant knowledge? What if its not really the case?
  • #415
  • Sep 10, 2014 8:16am Sep 10, 2014 8:16am
Quoting Relativity
{quote} I don't understand this... Is it really necessary to have quant knowledge? What if its not really the case?
For the most optimal system, yes it is necessary.

But an average trader can also put together a not so optimal, but still profitable system. The odds of he finding the optimal system, by guessing the parameters are very slim, thats why its easier if you make a heuristic algo which does that job for you, and for that you need quant expertise.

I really laugh at traders who use for example MA 200 with MA 50, without any justification whatsoever.I bet my pants that i can find 1000 more optimal MA crosses with my genetic algorithm, than the 200 & 50.
But average traders still stick with the 200 & 50 MA, because fx is full of superstitions, fallacies,rumors ,and faith based systems, where there is 1 trader which finds out something and then 99999 guys follow him without testing his system that is it working at all...

So if MA 136 with MA 625 turns out to be the most optimal cross, retail traders would not know it because they`ve accepted the 200 & 50 as a fact
because its a round number and its easy to memorize.

You just cant guess it,and you should not take other`s word for it, you must investigate yourself, so that is why quants are now in wallstreet offices, and average retail traders cant make a dime out of the markets
"There's a sucker born every minute" - P.T. Barnum
  • #416
  • Sep 10, 2014 8:33am Sep 10, 2014 8:33am
Quoting Proximus
{quote} For the most optimal system, yes it is necessary. But an average trader can also put together a not so optimal, but still profitable system. The odds of he finding the optimal system, by guessing the parameters are very slim, thats why its easier if you make a heuristic algo which does that job for you, and for that you need quant expertise. I really laugh at traders who use for example MA 200 with MA 50, without any justification whatsoever.I bet my pants that i can find 1000 more optimal MA crosses with my genetic algorithm, than the 200...
I understand where you are coming from. I am not taking the other word for it as well. I asked the question because the definition of 'optimal system' isn't clear.

Please do let me explain what I see. To me, an 'optimal system' does the following;
1-tells me the odds of the market at past important levels of price, current price and future projected levels of price
2-suggests exit and entry points based off #1
3-the odds of the market are updated on live basis
4-learns and shifts according to the market volatility and conditions on the go

Thats why I gave up on MA related stuff and delegated these 'indicators' to 'Secondary Analysis'. I understand that there's still some kind of value in their use, but I would prefer 'Raw Price point to Price point' analysis as my 'Primary Analysis'. After all, if we are entering price point and exiting price point, then lets get direct and serious? Thats how I see it. I hope you do understand my perspective.
  • #417
  • Sep 10, 2014 8:45am Sep 10, 2014 8:45am
Quoting Relativity
{quote} I understand where you are coming from. I am not taking the other word for it as well. I asked the question because the definition of 'optimal system' isn't clear. Please do let me explain what I see. To me, an 'optimal system' does the following; 1-tells me the odds of the market at past important levels of price, current price and future projected levels of price 2-suggests exit and entry points based off #1 3-the odds of the market are updated on live basis 4-learns and shifts according to the market volatility and conditions on the go...
Optimal system is the system which will make the higest returns possible with the lowest drawdown possible, that the market can allow.

Take Dan Zanger's example, he could made a 29,233% annualized return, and its far from the cap, if he could make that much return imagine how much more can the market allow ? Nobody knows.

But by taking his example as the maximum return possible (as he hold the world record now, so until somebody beats him we dont know that better returns are possible), everything under that return is sub-optimal, or worse.

That means that every system for stock trading which doesnt make 29,233% /year is not optimal

So the fact that if you were to trade based on P/E ratios and Corp cash flow metrics and use a BUY & HOLD strategy and make a lame 15% return/year, then you would be a very non-optimal trader, and would waste time with that method, when you should invest all your time in perfecting your strategy to atleast get closer to Dan's return.

Now obviously average traders are not market geniuses, but if you can improve your system, if you have that ability, then dont get stucked with obsolete versions ,and always improve it, and look for better yearly returns for example.

This is why big banks spend billions of dollars in Research & Development, of either their infrastructure or their methodology, to find the most optimal system out there.

And probably you can never find it, because there is always one better than the current, so the competition grows and whoever has the better system makes the most money.This is why retail traders stand no chance against banks as a retail trader cannot improve his flawed system, heck he cant even find a working one, while banks always improve their already working system...
"There's a sucker born every minute" - P.T. Barnum
  • #418
  • Sep 10, 2014 8:57am Sep 10, 2014 8:57am
Quoting micmic
{quote} Depends on what you mean by "holy grail": 1) Is it a profitable way of trading that can make you a full-time forex trader and provide you a comfortable living for as long as you live ? Yes, such a thing exists, mostly with discretionary traders that have the ability to adjust to changing markets. 2) Is it a completely mechanical system that can give you amazing returns for a short amount of time ? Such systems also exist but you have to know when to start and when to stop trading them, and that's the difficult part. 3) Is it a mechanical...
I agree with everything you say.
Yes pure mechanical systems dont last forever.
Most mechanical systems work only in trending times or only on the larger time frames.
I never did come across a pure mechanical system on the smaller time frames that last for long periods.
In my case i dont have a pure mechanical system because i dont believe in a pure mechanical system.
I believe the human mind is much more powerful toll than any indicator and if we spend enough time in front of the charts we will find that holy grail.
that holy grain is within us and no where else.
our minds can pick things that happen over and over again but an indicator will only pick up what we program it to pick up.
but the indicator will not adapt to the ever changing markets like our minds can.
so the guys thats long in the game of forex , are they using pure mechanical systems or are they using a solid trading plan. theres a difference in the 2
and i believe in the latter.
a solid trading plan with a good system is what we look for.
i am a nobody
  • #419
  • Sep 10, 2014 9:11am Sep 10, 2014 9:11am
Quoting Proximus
{quote} Optimal system is the system which will make the higest returns possible with the lowest drawdown possible, that the market can allow. Take Dan Zanger's example, he could made a 29,233% annualized return, and its far from the cap, if he could make that much return imagine how much more can the market allow ? Nobody knows. But by taking his example as the maximum return possible (as he hold the world record now, so until somebody beats him we dont know that better returns are possible),...
Ahh... Ok thank you. The definition is clearer now. I wouldn't exactly say retail traders do not have a chance (for a slice of the pie compared to banks), but yes, most can't even seem to find a working one with a solid basic edge as a start, let alone go for the 'world class level'. I am aware of banks spending money in R&D and there are many tiers in the 'forex food chain' if you can call it that way.

Therefore if you are saying 'succeeding on your own right within your tier', I would say retail level has some chance of making it. In that definition, retail level 'professional' trading would be making a living out of trading. He can optimize his system as much as he can for his level, but thats as far as he can go.

Obviously banks have to optimize further because they are also dealing with money that doesn't belong to them. They have to answer not only to themselves but their clients as well. Its a different playing field, optimized for that level, which is higher tier. Of course anyone on lower tiers would benefit learning from the higher tier, I do not doubt that. Having a bigger picture helps, but with context.... who are you trading for? Who are you trading against?...etc

But if you are saying purely by returns % regardless of tier.... I think thats another story, but I think your definition is generally sufficient.
  • #420
  • Sep 10, 2014 9:23am Sep 10, 2014 9:23am
Quoting Relativity
{quote} Ahh... Ok thank you. The definition is clearer now. I wouldn't exactly say retail traders do not have a chance (for a slice of the pie compared to banks), but yes, most can't even seem to find a working one with a solid basic edge as a start, let alone go for the 'world class level'. I am aware of banks spending money in R&D and there are many tiers in the 'forex food chain' if you can call it that way. Therefore if you are saying 'succeeding on your own right within your tier', I would say retail level has some chance of making it. In that...
% return or log returns are a pretty good tool to measure the profits, because the nominal return doesnt say anything, you need money to make money so the nominal value is not important.

While the % or log returns are good to sort of give a unit of measurement to the profit which is uniform, so that retail can compare himself to the benchmark returns of lets say S&P 500 or Berkshire stocks or 10 yr Bonds.

But one must also factor in the risk, this is what newbies ignore most, is the risk.It's funny because a few posts ago there was a little discussion about martingale systems...

And the risk free return is the most important, how much unit of profit can you make with the inherent unit of risk that you take by making it, and that is measured by the Sharpe ratio,Sortino ratio.

Which every trader should keep a record of, because otherwise he can overestimate his system profit, while completely ignoring the unneceasary risk that he takes.Good example is the martingale, making X profit while risking the entire account for it,and its very foolish
"There's a sucker born every minute" - P.T. Barnum
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