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Nine Market States - Simplified Formulae
15 replies, 1285 viewings
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OmniVest User Forums
General Discussion Topics
Nine Market States - Simplified Formulae
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Last Activity 4/15/2019 7:43 PM 15 replies, 1285 viewings |
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Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile |
http://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=7805 [Edited by Jim Dean on 4/21/2014 11:30 AM] | ||
| John W Elite   Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
With regard to the MA length in particular, I've also used doubling moving average lengths and 1.5 squared with success at the symbol level, but have not done any testing with regard to market states. As a matter of interest, industrial control systems are commonly damped using a square root approach, so there is a lot of engineering logic to support your proposal to successively double (or square) the length of the MA's. GUTS is a really good smoothing approach, and an exit above or below some multiple of the standard deviation of the slope makes good sense. The approach looks good, if you need help 'putting this to the test' please let me know. I'm happy to contribute. WELL DONE AND THANK YOU FOR SHARING! YOUR GENEROUS CONTRIBUTIONS ARE OUTSTANDING AND SIGNIFICANTLY ADD TO THE INTELLECTUAL CAPITAL OF THIS SITE, AND DEFINITELY ADDS TO MY (OUR) PERSONAL KNOWLEDGE. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I've also found that a geometric progression is necessary for the MA's (the Fast and Slow RSI's etc. Steve & I have tested). Sometimes a 1.5:1 has given us better resolution, but things are so inter-dependent that it gets messy to sort out - as you know. That's when the Excel Macro runs come in handy - lots of data helps to clarify the effects. Hopefully, the new tools and download capability Ed is providing will lead to some significant discoveries this year. Thanks again for sharing so much of your research... Mark | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
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| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
[Edited by Jim Dean on 4/21/2014 11:30 AM] | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Keith | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| Larrie Cable Member Posts: 36 Joined: 10/11/2012 Location: Bedford, NH User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
Thank you, | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
http://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=7805 It contains a considerable amount of additional detail beyond the earlier postings, notably at the beginning and the end. [Edited by Jim Dean on 4/21/2014 11:52 AM] | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Excellent work. And thanks for your willingness to share this info. I hope Nirvana sees the value and provides canned DLs for the 9 market states that others can use as the basis for either new DLs or Strategy Lab pairings. A couple comments after reading the linked post. 1) Maybe it's because of my background, but I trust "black boxes" more than homo-sapiens (especially myself). Computer algorithms are infinitely more capable at analyzing large quantities of data, accurately, consistently, and without emotional bias. Don't disparage black boxes. The world runs on them. I want my trading to be driven by an appropriately intelligent black box. 2) By your own account, 10 years of research. Miles and miles traveled down the wrong roads. Again, probably because of my background, I'd be looking for a way to work smarter, not harder. (I'm sure you worked as smart as you could given the tools available. And it's obvious you worked very hard.) But those funny black boxes (called computers) can, given the right source code, crunch through man years of trial and error testing in orders of magnitude less time. Which segueways to my point - I hate to see people spend hundreds to thousands of hours of hard labor because they don't have the right tools. I hate to see an entire user population forced to travel the same labyrinth in an attempt to reach the same goal. Especially when it is within reach to create a GPS to success. (A GPS doesn't force everyone to the same destination, nor does it require a single route, or the same starting point. But it does simplify and ensure (with reasonable certainty) arriving at one's destination. And it sure beats guessing. A great example of a black box solution!) My plea - for every complexity that is added to provide more flexibility to the researchers, please add a tool to leverage that complexity (and the knowledge gained by researchers) while making life simpler for those who want the intelligent "black box" trading GPS. Cheers Keith | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
I understand and agree with your points ... what I mean by "black box" is not intended to disparage really complex and powerful tools ... I'm relating to: a) a minority of the big group of people who might want to use the "box", who ... b) personally just don't feel comfortable using stuff that they don't have a pretty good conceptual handle on. It would be absurd in the extreme for everyone to have to understand everything about every useful device or routine - we'd be living a very simplistic lifestyle, for sure! My little story about the "journey" I took was intended to DIScourage people from trying to do it themselves ... I was USING computerized tools all that time, and a reasonably strong math (mech eng'g) and programming and systems-engineering background ... yet it still led to many blind alleys. That's why I've presented this information ... hopefully to help people short-cut the long journey. But I've tried to present it in a way that will help that "minority who want to understand" to feel comfortable about using it. | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
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