Some thoughts...

Who uses this indicator toolset?

The technique outlined in this blog, in its current version, is suitable for discretionary traders. An API is available and other tools can be developed inside or outside TradeStation. Some of those tools may be published or sold separately at some point, but it is for the time being more important to me to deliver interesting analysis tools, independent on each and everyone's trading strategy and money management.

How did this technique come about?

Well, 15 years of experience, system development, trading have certainly helped me eliminate a few dead ends, hence a few guidelines here given, which may suprise a few 'dogmatic' traders, shaped by most trading tools commercially available... including TradeStation.

Most indicators, either custom made or built in trading platforms, do calculate one or several mathematical outputs at each bar. One may also (correctly) say that prices are noisy, chaotic in nature, which obviously make "market reading" rather difficult. However, in my opinion, the problem is elsewhere... Indeed, most of the time, there is simply nothing to read in the market, and more pragmatically, buying and selling are essentially discrete decision points. This simply means that trading is inherently dependent on an event driven technique. In other words, if you wish to crunch large amount of numbers in any crude or sophisticated way, irrespective of the rare salient events where effective decision making is only sensible, well... you might just be wasting your time... and LOTS of so-called trading gurus are quite willing to take you for a ride along the meanders of the never ending quest of the Holy Grail...

Any sound decision can only make sense in perspective or context, unless you stick to quick scalping or to the simplest reversal strategy, assuming you get your pivot calculations right too.The best way to represent context is to work in a multi-time frame environment (2, 3 or even 4 time frames). It seems obvious that a move in your time frame of choice, determined by indicators lining up nicely either long or short, can only show strength if supported by a similar set-up in a higher time frame. Choice of adequate time frames may however not always be easy. For synch purposes, time frames will often be in multiples like 1, 2, 4, 8 minutes. In addition, some will prefer finding confirmation from 2 or more higher time frames. Others may find more suitable to balance their time frame analysis with one higher and one lower time frame. It is likely that using a conservative rule base over 4 time frames can reduce trading ambiguity to next to zero.

There are always times of congestion, relative market inactivity, which will inevitably affect indicator calculations. One way to reduce such impact on indicator reading is to opt for tick charts or volume charts, or alternative market representations like Renko charts.
Markets are highly dynamic. Prices are chaotic, non stationary etc... Still, this is no reason to try and throw everything but the kitchen sink into your favorite trading platform. Do not forget to still be able to fully understand the method you are trying to put together... You are the trader... don't ever forget this subtle point. Successful traders always know the finest details in trading calculations.

Markets are chaotic, and contain fractal features. Once you have found a sound technique, it should work the same on another set of time frames, as well as on other financial instruments. This is the 'acid test'. Many models just fit one instrument on a single time frame, and are bound to fail sooner or later. There may of course be some adjustments needed (not more than a few degrees of freedom if possible) to adapt from one instrument to the next, but not more than that.

More to come soon... and comments welcome as always...
bv