Hi Dennis -- Thanks for your explanation.
We'll look forward to more of your postings. Thanks, Howard On Jan 4, 2008 3:50 PM, Dennis Brown <[EMAIL PROTECTED]> wrote: > Howard, > > First, my definition of a leading indicator is one that is predicting a > future price pivot point as opposed to a lagging indicator that tries to > determine that a pivot pint has occurred in the recent past. Of course > nobody can predict the future in the markets 100% of the time, so the use of > leading indicators is based on probabilities and therefore good money > management is key to success with them. > > I have experimented with a number of such indicators. The ones I like the > best are created as trading bands based on the expectation that prices are > cyclic in amplitude with several frequencies related to different > timeframes. I also use these with hand drawn support and resistance lines > (I am still working on how to program these --truly an art form at present). > The other key is to look for volume spikes along with extremes of price to > help differentiate the most likely pivot points that are are about to > happen. > > Algorithms for leading indicators are more successful if you can > accurately determine the character of the market --trending up, trending > down, or range bound --then use different algorithms. This determination is > always a lagging indicator, so you don't get to take advantage of it at the > beginning of a change in character, but the market usually stays in one mode > for enough time to take advantage of it for several trades. I am still > working on doing better on this. > > Of course a successful system can be created with only lagging indicators, > but I find a combination of leading and lagging can be synergistic. > > I create many of my indicators by eye and simulated trading results shown > graphically in real time. I observe the prices, determine the ideal way to > trade it, then look for clues in the charts for how to determine these > trades algorithmically. Several years of full time staring at charts, > simulated trading, real trading, observing the methods of successful day > traders, and working with AB algorithms and charts have given me quite an > appreciation of the art and science of short term trading --in addition to > the psychological components. > > I find that different markets have different trading profiles. The most > successful traders find their own trading style and specialize on one way of > trading (with a proven edge) in one market, and do it over and over again. > At present, I am only working with the broad market futures like ES or ER. > > As an aside: > I would be further along with my AB system, but I have spent 90% of my > time working on: > Making the AB UI more suitable to my type of system. > Making algorithms to clean up the data from suppliers. > Finding ways to speed up my algorithms to make them run fast enough for > complex analysis in realtime. > > In all fairness to TJ, what I want and what he offered was not the same > thing. However, AB has almost all the speed and flexibility I need to add > the functionality to the UI and RT charting for my purposes --though with a > lot of experimentation, time to figure out how, extra AFL code, and with > help from TJ and the members of this list. I am certain that with time TJ > will add all the missing pieces I desire to have ever more elegant solutions > for day trading. > > I will share pieces of my system that I think will have general benefit to > AB users from time to time when I feel that I have > them sufficiently debugged to solve more problems than they create. :-) > > Best regards, > Dennis > > On Jan 4, 2008, at 2:07 PM, Howard B wrote: > > Hi Dennis -- > > Can you tell us a little more about the indicators that you find are > leading? > > Thanks, > Howard > www.quantitativetradingsystems.com > > > On Jan 3, 2008 7:13 PM, Dennis Brown <[EMAIL PROTECTED]> wrote: > > > Steve, > > > > I have observed many day traders. What you say is true. However, > > there is an art to it that the traders themselves don't even > > recognize. It has become second nature to them like riding a > > unicycle when they are in the Zone. > > > > It is a good idea to realize that a new person must develop that art > > first or he will just as surely blow up his account. > > > > Working with indicators does not mean that they have to be lagging > > indicators. Leading indicators are also possible to create. After > > all that is what you are doing in your mind. ;-) > > > > Best regards, > > Dennis > > > > > > On Jan 3, 2008, at 5:37 PM, scourt2000 wrote: > > > > > > > > I offer up this kind of information to help give someone what they > > > want. But, in this instance, I'd like mention what's far better than > > > any of this CCI/RSI/MACD/Stochastic/blah-blah "stuff", adaptive or > > > otherwise. > > > > > > This is what works since the dawn of trading (I'm speaking mainly to > > > you e-mini futures traders out there who are getting too caught up in > > > indicators and trying to massage them to infinity in an effort to > > > reduce your loss percentage): > > > > > > Go to a price chart, NOT an indicator. Find support and resistance. > > > Buy the stronger supports. Sell the stronger resistances. Scalp the > > > weaker ones. Trade heavier with the trend. Manage the trades. > > > > > > Your research is your confirmation. The better your research, the > > > better your real-time performance will be. If you need "momentum > > > confirmation" to get into a trade, then please never tell me that > > > you're getting in 1-2 bars "ahead of the world" because I'm 1-2 bars > > > ahead of YOUR world and what I'm doing is leading price, not > > > following it from an indicator derived from price. > > > > > > There's no follow-up to this on my part. I'm not engaging anyone in > > > an argument over this. I have seen literally 100's fall by the > > > wayside in the daytrading e-mini world, playing around with > > > indicators. The ones I consistently see still in the game and > > > trading well are the ones who pay attention primarily to support and > > > resistance from a price chart, not from some indicator. > > > > > > There are exceptions to any general rule. But your likelihood of > > > winding up in the blown-out account list is much higher by playing > > > with indicators instead of simple, common support and resistance > > > through multiple timeframes. > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, > > "scourt2000" <[EMAIL PROTECTED]> wrote: > > >> > > >> > > >> Bill, > > >> > > >> Sounds like you're interested in John Ehlers' work on adaptive > > >> indicators that he explained in Chapter 22 of his book, "Rocket > > >> Science for Traders". He took some common momentum indicators > > >> (including the CCI) and coded them up to be adaptive in > > > Tradestation > > >> Easy Language. > > >> > > >> Also, you can find a couple of articles about this at > > > tuckerreport.com > > >> > > >> > > >> --- In [email protected] <amibroker%40yahoogroups.com>, > > "bilbo0211" <bilbod@> wrote: > > >>> > > >>> --- In [email protected] <amibroker%40yahoogroups.com>, > > "Howard B" <howardbandy@> wrote: > > >>>> For this statement: > > >>>> somevar = CCI(parm); > > >>>> "somevar" will be an array with one element for every bar of the > > >>> data array, > > >>>> the value of that element the result of applying the CCI > > > function > > >> to the > > >>>> "average" of that bar ((H+L+C)/3), for the lookback length > > >> of "parm". > > >>>> > > >>>> What problem are you trying to solve? > > >>>> > > >>> > > >>> I want parm to be an array. > > >>> > > >>> What I am doing is trying to 'tune' the CCI to the dominant cycle > > > in > > >>> the market. > > >>> > > >>> Let me give you a simplistic example using moving averages. > > >>> > > >>> If you are trading a trending market (longer period dominant > > > cycle), > > >>> you want a longer period moving average to filter out the small > > >> (high > > >>> frequency) corrections that occur. > > >>> > > >>> In a trading range market (shorter period dominant cycle), you > > > want > > >> a > > >>> shorter period moving average that can react more quickly to the > > >>> shorter term changes in direction. > > >>> > > >>> I started by using the fft to estimate the dominant cycle but I > > > had > > >> a > > >>> lot of trouble coding something useful so I switched to Ehler's > > >>> estimate (using Laguerre filter, it's in the afl library). > > >>> > > >>> As crude as that estimate is, it improves the performance of the > > >>> indicators I tried it on. If I could get a more accurate measure > > > of > > >>> the dominant cycle, I am confident it would improve performance > > >> even more. > > >>> > > >>> That's why I want the period of the CCI to vary. > > >>> > > >>> I also don't see any point to include the C of a bar for intraday > > >>> charts. I use CCIa((H+L)/2,period). > > >>> > > >>> Bill > > >>> > > >> > > > > > > > >
