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Color Charts and Filter Don’t Agree
Last Activity 3/4/2019 1:50 PM
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John W

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Subject : Color Charts and Filter Don’t Agree
Posted : 2/11/2019 8:04 PM
Post #30298

I copied the color charts formula for Macro Market State and pasted it into a filter.

The color chart shows Market State in the volume window as red background (bear market) across all of the timeframe shown, but the filter shows several bull market states occurred over this same period.

Which is right, the color chart or the filter?

I suppose the answer is that the filter processes the longs before the shorts and the color chart is processed in the order laid out in the color chart?







[Edited by John W on 2/11/2019 8:45 PM]

Attached file : CC01.png (97KB - 149 downloads)
Attached file : CC03.png (26KB - 143 downloads)

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mholstius

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Subject : RE: Color Charts and Filter Don’t Agree
Posted : 2/12/2019 9:40 AM
Post #30299 - In reply to #30298

Good observation John… and an opportunity to give some more detail on what happens with the Macro Bull & Bear.

Macro Bull = (SMA(BOP(20),20) > 0)

Macro Bear = (SMA(BOP(200),20) <= 0)

The key here is that they use different values for the BOP(): 20 for Bull and 200 for Bear.

This allows for overlap of the 2, and also periods where neither is true.

So, there are actually 4 different possibilities;
Bull
Bear
Overlap Bull & Bear
Default: Neither Bear or Bull

In the following snags I’ve added an indicator that’s +1 if Macro Bull and -1 if Macro Bear.




The top snag corresponds with the period in your post and shows that there are 2 periods where the Macro Bull & Macro Bear overlap and are concurrent.

The lower snag is a period later in 2001 that shows all 4 possibilities:
Bull, Bear, Concurrent, and Default (Neither Bear or Bull)

When I have time, I’ll do something similar for the Micro Bear & Bull…
Just kind of busy at the moment.

Hope this helps,
Mark


[Edited by mholstius on 2/12/2019 9:41 AM]

Attached file : MAcro Bull Bear Snag.png (246KB - 116 downloads)

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Jim Dean

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Subject : RE: Color Charts and Filter Don’t Agree
Posted : 2/12/2019 9:43 AM
Post #30300 - In reply to #30299

What is the practical meaning of "concurrent bull and bear", other than a measure of how much the metric itself is not reliable? Is that the point?
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mholstius

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Subject : RE: Color Charts and Filter Don’t Agree
Posted : 2/12/2019 11:17 AM
Post #30301 - In reply to #30300

Your question is well taken, Jim - and the answer has to do with the development of ATM over time.

ATM originally only had a top down architecture.
It would evaluate the first rule and if true, stop there, etc…

So, when M&M was originally set up, it would look for;
1. A Macro Bear state
2. A Macro Bull State
3. If Neither existed, it went to the Default (neither Bull or Bear)

In John's first chart above without CMS enabled, it would stay in the Macro Bear State and ignore the "underlying" Macro Bull States.

ATM was upgraded to allow Concurrent Market States, so you can now enter trades in any of those 4 Macro states.

You can choose to enable CMS or not. You just have to appreciate what’s happening in the logic if choose to…




There’s a lot of flexibility with ATM since you can mix Non Concurrent Market States (top down logic) along with Concurrent Market States.

Hope that helps,
Mark


[Edited by mholstius on 2/12/2019 11:18 AM]

Attached file : CMS.png (192KB - 99 downloads)

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Jim Dean

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Subject : RE: Color Charts and Filter Don’t Agree
Posted : 2/12/2019 11:42 AM
Post #30302 - In reply to #30301

Thanks for the reminder ... you're right, CMS is powerful

However, wouldn't it be wise to build the market state rules so that "meaningless" or "dangerous" overlaps in CMS, if they mechanically show up, always have null results? That is, construct the BOP script rules with "and not" clauses to preclude mixtures?

Sometimes, the concurrence of two rules actually might be meaningful, such as a trend rule and a volatility rule. In that case, the "and not" isn't needed or wanted.

IMHO, when building logic, I strongly believe that it's wise to design the spreadsheet or program or ATM table, etc to prevent "dumb" or "misleading" potential results, insofar as possible (even though that might take a bit more thought and time initially). Especially true, when I expect others to utilize it who aren't as intimately familiar with the inner workings ... &/or to prevent me from forgetting about those nuances, if I come back to it a year later.
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mholstius

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Subject : RE: Color Charts and Filter Don’t Agree
Posted : 2/12/2019 1:06 PM
Post #30303 - In reply to #30302

You’re right that there can be multiple combinations of the rules, depending on what someone wants to accomplish.

I don’t wish to presume what that might be, so I leave it up to everyone to modify the rules themselves by combining them using “and” or “and not” to suit their goals.

To that end, I’d previously posted a color-coded set of the rules for each of the states. I’ll attach that rtf (text) document again to this reply to make it available without having to search for it in some previous post. ("Macro and Micro market state formulas.rtf")

The attached text file of the rules can be especially useful to make it easy to copy & paste a particular Market State into a filter ahead of a GA block in a strategy in order to train the GA for that state.

Mark


[Edited by mholstius on 2/12/2019 1:08 PM]

Attached file : Macro and Micro market state formulas.rtf (4KB - 16 downloads)

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John W

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Subject : RE: Color Charts and Filter Don’t Agree
Posted : 2/12/2019 2:41 PM
Post #30304 - In reply to #30303

Mark, I asked the question originally when I noticed macro bull market trades occurred in a period when the color chart showed a macro bear state.

THANK YOU for the comprehensive explanation which explains WHY.
Your explanation would earn a high distinction in a subject essay in a Masters’ Degree.
..AND I know how long those snag’s take to make and post, WELL DONE!

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