MM lines have now been recoded inside the DLL, not only to have more calculations available through the API and the shared memory segment.
There is at most a few EL functions left to be recoded in C++. Ultimately, everything will be portable to other data feeds.
DLL + new TS files available on request.
Next step is the recording of Recurrence Plots (as well as every other calc) in a database for neural analysis.
Expected release: Sep 08
Friday, July 4, 2008
Sunday, June 15, 2008
Recurrence Plots for TradeStation
The toolset is now slowly entering Phase 2 with a new tool soon to be integrated. Here is a short preview of Recurrence Plots for TradeStation.
Recurrence Plots represent a new and relatively easy way to detect patterns in chaotic environments. The principle is to determine a phase space representation and lay it out in such a way that salient features of the series appear as regular patterns and invariants on a 2D graph. Such picture can then be analysed graphically or analytically.
An interesting site on RPs is : http://www.recurrence-plot.tk/ (reading references below)
I have therefore implemented RPs in a VC++ program using the API provided by the toolset allowing extracting data and calculations in an external program. (Some minor updates were necessary, so a new version of the library itself will be soon released).
I here give you a preview of what RPs look like on a 60mins EURUSD chart, both using price (z-score) and a MTFS indicator. The price RP uses a delay based phase representation whereas the MTFS uses the built-in separation in 3 views of the stochastic indicator.
Z-Score Price RecPlot
MTFS RecPlot
We will now record, analyse first visually then with the addition of neural networks to better detect salient turning points in the market.
For more reading, see the links page on the above site. I particularly recommend reading Norbert Marwan publications.
Recurrence Plots represent a new and relatively easy way to detect patterns in chaotic environments. The principle is to determine a phase space representation and lay it out in such a way that salient features of the series appear as regular patterns and invariants on a 2D graph. Such picture can then be analysed graphically or analytically.
An interesting site on RPs is : http://www.recurrence-plot.tk/ (reading references below)
I have therefore implemented RPs in a VC++ program using the API provided by the toolset allowing extracting data and calculations in an external program. (Some minor updates were necessary, so a new version of the library itself will be soon released).
I here give you a preview of what RPs look like on a 60mins EURUSD chart, both using price (z-score) and a MTFS indicator. The price RP uses a delay based phase representation whereas the MTFS uses the built-in separation in 3 views of the stochastic indicator.
Z-Score Price RecPlot
MTFS RecPlot
We will now record, analyse first visually then with the addition of neural networks to better detect salient turning points in the market.
For more reading, see the links page on the above site. I particularly recommend reading Norbert Marwan publications.
Thursday, May 8, 2008
sFLC3 Fuzzy Logic for TradeStation
Although not yet integrated in the main toolset, the Fuzzy Logic API is now available for testing on the main ForeTrade web site:
http://www.foretrade.com/fuzzy_logic_for_tradestation.htm
I understand it may sound a little complex at first, but rest assured it is very simple to use, and all FL functions have been grouped in a single EasyLanguage function.
http://www.foretrade.com/fuzzy_logic__easylanguage_code.htm
Two sample indicators are also provided for testing purposes:
http://www.foretrade.com/fuzzy_stok_indicator.htm
For more info, please contact Support@ForeTrade.com
http://www.foretrade.com/fuzzy_logic_for_tradestation.htm
I understand it may sound a little complex at first, but rest assured it is very simple to use, and all FL functions have been grouped in a single EasyLanguage function.
http://www.foretrade.com/fuzzy_logic__easylanguage_code.htm
Two sample indicators are also provided for testing purposes:
http://www.foretrade.com/fuzzy_stok_indicator.htm
For more info, please contact Support@ForeTrade.com
Monday, March 31, 2008
A closer look at EURUSD
Hello everyone,
I am often asked about the EURUSD forex pair. Will the US$ drop further or will it recover? Again, no crystal ball, but let's have a look at the current set of EURUSD charts.
On the 60mins chart, we first notice a significance level that is fairly weak, and prices certainly confirm that confusion. SQ (Swing Quality) is not too bad, so we'll take the current UP swing as the most likely direction again. When it comes to entries though, one should clearly look at a lower time frame.
MTFS is kind of "stuck" in overbought zone, hence does not provide us any significant information. Nor does Entropy hovering around the zero line.
We therefore have a remaining upward bias with momentum exhaustion. We can also notice that Swing has detected a potential pivot (number 3 on last high), but has not toggled down yet. Lastly, we see a strong support level at SS:1.5625, indicating that current strong resistance MM level at 1.5625 at higher time frames could be tested for support.
That will be all for now. We have an upward bias with increasing hesitation, and should you want to trade in this confusing environment, just change time frames.
On higher time frames, the Daily chart is also UP and has a higher significance level. It is obviously way too late to enter long right now but one may want to stay in if one is long already, just tightening stops a bit. MTFS is also very much stuck in overbought zone, bars are blue, and if we didn't have that strong resistance level and fast decreasing entropy, we would be happily bullish still.
Where should we put our stops? Well, it's up to each and everyone, and i give no advice in that regard. Money management depends too much on available capital and personal risk profile. It is also likely that the Swing indicator will toggle down at some stage. Those of you who run the toolset can see the Swing indicator sometimes hesitating and adjusting when the pivot point is not confirmed yet. A warning can however be a good indication of an exit point particularly on a strong resistance level. Swings being UP-UP-UP on all 3 time frames, there is NO reason to go short anyway.
Lastly, the Weekly chart: all charts look the same* so the interpretation is simple and provides context for decision made in lower time frames. All we can see here is that it will certainly take a long time before we see the US$ recover significantly.
Obviously one must always refrain from reading too much into charts. I all too often see junior traders "wishful reading" charts, i.e. reading where they would want the market to go. It can be a fatal mistake...
For the time being we maybe hesitant to take profits and we should possibly adjust stops, but that's it.
* Reminder: the only indicator with significant parameters is MTFS aka AdLag64StoK_MTF. Some may have other settings than mine, but most important, one must be comfortable with one's charts. I personally hardly ever change any chart settings.
Friday, February 29, 2008
The more I practise the luckier I get
Famous phrase from golf legend Gary Player... I believe it (modestly) applies here too. Indeed while I can add postings from time to time to better explain the technique, Phase 1 of the indicator toolset is quite stable now, and will only warrant very minor updates from time to time. On the to-do list still lies the removal of the last 2 parameters in the MTFS to make the toolset 100% self-adaptive, but that's about it, so no pressure, no rush...
Practise makes perfect.
Yes, there is no documentation except for a document on the ForeTrade website, and the rest is left to users to read and analyse daily market snapshots to better grasp the trading technique.
It may take a short while as it is relatively unconventional, but it quickly becomes very natural. A few beta testers did not quite get it or have not been patient enough. I understand but I certainly regret that. Beta testing for Phase 1 is now closed. I am just pushing the 'release candidate' a bit because of other commitments like the forthcoming release of the Fuzzy Logic library (both generic and for TradeStation).
FL is not quite a distraction, as it will be an essential part of the Phase 2 of the toolset, with better decision making tools up to full trading automation. Its release is still scheduled for later this year.
Happy trading,
bv
Practise makes perfect.
Yes, there is no documentation except for a document on the ForeTrade website, and the rest is left to users to read and analyse daily market snapshots to better grasp the trading technique.
It may take a short while as it is relatively unconventional, but it quickly becomes very natural. A few beta testers did not quite get it or have not been patient enough. I understand but I certainly regret that. Beta testing for Phase 1 is now closed. I am just pushing the 'release candidate' a bit because of other commitments like the forthcoming release of the Fuzzy Logic library (both generic and for TradeStation).
FL is not quite a distraction, as it will be an essential part of the Phase 2 of the toolset, with better decision making tools up to full trading automation. Its release is still scheduled for later this year.
Happy trading,
bv
Saturday, February 23, 2008
Some common visual patterns
The trading technique being presented here uses a proprietary TradeStation toolset, but since it is still a discretionary trading method, why not adding some visual interpretation to it?
Here below is a description of very common patterns to look at, and one reason for posting this document today is that one may find an interesting pattern formation on NDX over the next few days.
PATTERN TYPES:
Wedges:
The wedge formation is also similar to a symmetrical triangle in appearance, in that they have converging trend lines that come together at an apex. However, wedges are distinguished by a noticeable slant, either to the upside or to the downside. (As with triangles, volume should diminish during its formation and increase on its resolve.).
A falling wedge is generally considered bullish and is usually found in up trends. But they can also be found in downtrends as well. The implication however is still generally bullish. This pattern is marked by a series of lower tops and lower bottoms.
A rising wedge is generally considered bearish and is usually found in downtrends. They can be found in up trends too, but would still generally be regarded as bearish. Rising wedges put in a series of higher tops and higher bottoms.
Price Structure Pattern Structure Result
Falling Wedge in Uptrend H, L, LH, LL, LH, LL Breakout to the Upside
Falling Wedge in Downtrend L, H, LL, LH, LL Breakout to the Upside
Rising Wedge in Uptrend H, L, HH, HL, HH Breakout to the Downside
Rising Wedge in Downtrend L, H, HL, HH, HL, HH Breakout to the Downside
Symmetrical Triangles:
Symmetrical triangles can be characterized as areas of indecision. A market pauses and future direction is questioned. Typically, the forces of supply and demand at that moment are considered nearly equal. Attempts to push higher are quickly met by selling, while dips are seen as bargains. Each new lower top and higher bottom becomes more shallow than the last, taking on the shape of a sideways triangle. (It's interesting to note that there is a tendency for volume to diminish during this period.) Eventually, this indecision is met with resolve and usually explodes out of this formation (often on heavy volume.) Research has shown that symmetrical triangles overwhelmingly resolve themselves in the direction of the trend. With this in mind, symmetrical triangles in my opinion, are great patterns to use and should be traded as continuation patterns.
Price Structure Pattern Structure Result
Symmetrical Triangle in Uptrend H, L, LH, LL Breakout to the Upside
Symmetrical Triangle in Downtrend L, H, LL, LH Breakout to the Downside
Ascending Triangles:
The ascending triangle is a variation of the symmetrical triangle. Ascending triangles are generally considered bullish and are most reliable when found in an uptrend. The top part of the triangle appears flat, while the bottom part of the triangle has an upward slant. In ascending triangles, the market becomes overbought and prices are turned back. Buying then re-enters the market and prices soon reach their old highs, where they are once again turned back. Buying then resurfaces, although at a higher level than before. Prices eventually break through the old highs and are propelled even higher as new buying comes in. (As in the case of the symmetrical triangle, the breakout is generally accompanied by a marked increase in volume.)
Price Structure Pattern Structure Result
Ascending Triangle in Uptrend H, L, H, HL Breakout to the Upside
Descending Triangles:
The descending triangle, also a variation of the symmetrical triangle, is generally considered to be bearish and is usually found in downtrends. Unlike the ascending triangle, this time the bottom part of the triangle appears flat. The top part of the triangle has a downward slant. Prices drop to a point where they are oversold. Tentative buying comes in at the lows, and prices perk up. The higher price however attracts more sellers and prices re-test the old lows. Buyers then once again tentatively re-enter the market. The better prices though, once again attract even more selling. Sellers are now in control and push through the old lows of this pattern, while the previous buyers rush to dump their positions. (And like the symmetrical triangle and the ascending triangle, volume tends to diminish during the formation of the pattern with an increase in volume on its resolve.)
Price Structure Pattern Structure Result
Descending Triangle in Uptrend L, H, L, LH Breakout to the Downside
Flags and Pennants:
Flags and pennants can be categorized as continuation patterns. They usually represent only brief pauses in a dynamic market. They are typically seen right after a big, quick move. The market then usually takes off again in the same direction. Research has shown that these patterns are some of the most reliable continuation patterns.
Bullish flags are characterized by lower tops and lower bottoms, with the pattern slanting against the trend. But unlike wedges, their trend lines run parallel.
Bearish flags are comprised of higher tops and higher bottoms. "Bear" flags also have a tendency to slope against the trend. Their trend lines run parallel as well.
Pennants look very much like symmetrical triangles but are typically smaller in size (volatility) and duration.
(Volume generally contracts during the pause with an increase on the breakout.)
Rectangles:
Rectangles should generally be traded as continuation patterns. They are indecision areas that are usually resolved in the direction of the trend. Research has shown that this is true far more often than not. Of course, the trendlines run parallel in a rectangle. Supply and demand seems evenly balanced at the moment. Buyers and sellers also seem equally matched. The same 'highs' are constantly tested as are the same 'lows'. The market vacillates between two clearly set parameters. (While volume doesn't seem to suffer like it does in other patterns, there usually is a lessening of activity within the pattern. But like the others, volume should noticeably increase on the breakout.)
Head and Shoulders:
The head and shoulders pattern is generally regarded as a reversal pattern and it is most often seen in uptrends. It is also most reliable when found in an uptrend as well. Eventually, the market begins to slow down and the forces of supply and demand are generally considered in balance. Sellers come in at the highs (left shoulder) and the downside is probed (beginning neckline.) Buyers soon return to the market and ultimately push through to new highs (head.) However, the new highs are quickly turned back and the downside is tested again (continuing neckline.) Tentative buying re-emerges and the market rallies once more, but fails to take out the previous high. (This last top is considered the right shoulder.) Buying dries up and the market tests the downside yet again. Your trendline for this pattern should be drawn from the beginning neckline to the continuing neckline. (Volume has a greater importance in the head and shoulders pattern in comparison to other patterns. Volume generally follows the price higher on the left shoulder. However, the head is formed on diminished volume indicating the buyers aren't as aggressive as they once were. And on the last rallying attempt-the left shoulder-volume is even lighter than on the head, signalling that the buyers may have exhausted themselves.) New selling comes in and previous buyers get out. The pattern is complete when the market breaks the neckline. (Volume should increase on the breakout.)
Inverted Head and Shoulders:
The head and shoulders pattern can sometimes be inverted. The inverted head and shoulders is typically seen in downtrends. (What's noteworthy about the inverted head and shoulders is the volume aspect. The inverted left shoulder should be accompanied by an increase in volume. The inverted head should be made on lighter volume. The rally from the head however, should show greater volume than the rally from the left shoulder. Ultimately, the inverted right shoulder should register the lightest volume of all. When the market then rallies through the neckline, a big increase in volume should be seen.)
Here below is a description of very common patterns to look at, and one reason for posting this document today is that one may find an interesting pattern formation on NDX over the next few days.
PATTERN TYPES:
Wedges:
The wedge formation is also similar to a symmetrical triangle in appearance, in that they have converging trend lines that come together at an apex. However, wedges are distinguished by a noticeable slant, either to the upside or to the downside. (As with triangles, volume should diminish during its formation and increase on its resolve.).
A falling wedge is generally considered bullish and is usually found in up trends. But they can also be found in downtrends as well. The implication however is still generally bullish. This pattern is marked by a series of lower tops and lower bottoms.
A rising wedge is generally considered bearish and is usually found in downtrends. They can be found in up trends too, but would still generally be regarded as bearish. Rising wedges put in a series of higher tops and higher bottoms.
Price Structure Pattern Structure Result
Falling Wedge in Uptrend H, L, LH, LL, LH, LL Breakout to the Upside
Falling Wedge in Downtrend L, H, LL, LH, LL Breakout to the Upside
Rising Wedge in Uptrend H, L, HH, HL, HH Breakout to the Downside
Rising Wedge in Downtrend L, H, HL, HH, HL, HH Breakout to the Downside
Symmetrical Triangles:
Symmetrical triangles can be characterized as areas of indecision. A market pauses and future direction is questioned. Typically, the forces of supply and demand at that moment are considered nearly equal. Attempts to push higher are quickly met by selling, while dips are seen as bargains. Each new lower top and higher bottom becomes more shallow than the last, taking on the shape of a sideways triangle. (It's interesting to note that there is a tendency for volume to diminish during this period.) Eventually, this indecision is met with resolve and usually explodes out of this formation (often on heavy volume.) Research has shown that symmetrical triangles overwhelmingly resolve themselves in the direction of the trend. With this in mind, symmetrical triangles in my opinion, are great patterns to use and should be traded as continuation patterns.
Price Structure Pattern Structure Result
Symmetrical Triangle in Uptrend H, L, LH, LL Breakout to the Upside
Symmetrical Triangle in Downtrend L, H, LL, LH Breakout to the Downside
Ascending Triangles:
The ascending triangle is a variation of the symmetrical triangle. Ascending triangles are generally considered bullish and are most reliable when found in an uptrend. The top part of the triangle appears flat, while the bottom part of the triangle has an upward slant. In ascending triangles, the market becomes overbought and prices are turned back. Buying then re-enters the market and prices soon reach their old highs, where they are once again turned back. Buying then resurfaces, although at a higher level than before. Prices eventually break through the old highs and are propelled even higher as new buying comes in. (As in the case of the symmetrical triangle, the breakout is generally accompanied by a marked increase in volume.)
Price Structure Pattern Structure Result
Ascending Triangle in Uptrend H, L, H, HL Breakout to the Upside
Descending Triangles:
The descending triangle, also a variation of the symmetrical triangle, is generally considered to be bearish and is usually found in downtrends. Unlike the ascending triangle, this time the bottom part of the triangle appears flat. The top part of the triangle has a downward slant. Prices drop to a point where they are oversold. Tentative buying comes in at the lows, and prices perk up. The higher price however attracts more sellers and prices re-test the old lows. Buyers then once again tentatively re-enter the market. The better prices though, once again attract even more selling. Sellers are now in control and push through the old lows of this pattern, while the previous buyers rush to dump their positions. (And like the symmetrical triangle and the ascending triangle, volume tends to diminish during the formation of the pattern with an increase in volume on its resolve.)
Price Structure Pattern Structure Result
Descending Triangle in Uptrend L, H, L, LH Breakout to the Downside
Flags and Pennants:
Flags and pennants can be categorized as continuation patterns. They usually represent only brief pauses in a dynamic market. They are typically seen right after a big, quick move. The market then usually takes off again in the same direction. Research has shown that these patterns are some of the most reliable continuation patterns.
Bullish flags are characterized by lower tops and lower bottoms, with the pattern slanting against the trend. But unlike wedges, their trend lines run parallel.
Bearish flags are comprised of higher tops and higher bottoms. "Bear" flags also have a tendency to slope against the trend. Their trend lines run parallel as well.
Pennants look very much like symmetrical triangles but are typically smaller in size (volatility) and duration.
(Volume generally contracts during the pause with an increase on the breakout.)
Rectangles:
Rectangles should generally be traded as continuation patterns. They are indecision areas that are usually resolved in the direction of the trend. Research has shown that this is true far more often than not. Of course, the trendlines run parallel in a rectangle. Supply and demand seems evenly balanced at the moment. Buyers and sellers also seem equally matched. The same 'highs' are constantly tested as are the same 'lows'. The market vacillates between two clearly set parameters. (While volume doesn't seem to suffer like it does in other patterns, there usually is a lessening of activity within the pattern. But like the others, volume should noticeably increase on the breakout.)
Head and Shoulders:
The head and shoulders pattern is generally regarded as a reversal pattern and it is most often seen in uptrends. It is also most reliable when found in an uptrend as well. Eventually, the market begins to slow down and the forces of supply and demand are generally considered in balance. Sellers come in at the highs (left shoulder) and the downside is probed (beginning neckline.) Buyers soon return to the market and ultimately push through to new highs (head.) However, the new highs are quickly turned back and the downside is tested again (continuing neckline.) Tentative buying re-emerges and the market rallies once more, but fails to take out the previous high. (This last top is considered the right shoulder.) Buying dries up and the market tests the downside yet again. Your trendline for this pattern should be drawn from the beginning neckline to the continuing neckline. (Volume has a greater importance in the head and shoulders pattern in comparison to other patterns. Volume generally follows the price higher on the left shoulder. However, the head is formed on diminished volume indicating the buyers aren't as aggressive as they once were. And on the last rallying attempt-the left shoulder-volume is even lighter than on the head, signalling that the buyers may have exhausted themselves.) New selling comes in and previous buyers get out. The pattern is complete when the market breaks the neckline. (Volume should increase on the breakout.)
Inverted Head and Shoulders:
The head and shoulders pattern can sometimes be inverted. The inverted head and shoulders is typically seen in downtrends. (What's noteworthy about the inverted head and shoulders is the volume aspect. The inverted left shoulder should be accompanied by an increase in volume. The inverted head should be made on lighter volume. The rally from the head however, should show greater volume than the rally from the left shoulder. Ultimately, the inverted right shoulder should register the lightest volume of all. When the market then rallies through the neckline, a big increase in volume should be seen.)
Thursday, February 21, 2008
Fuzzy Logic for TradeStation
Some may have seen the "Simple FLC 3" library presented on our main ForeTrade site (http://www.foretrade.com/fuzzy.htm)
The sFLC DLL has now been ported to TradeStation and is ready for beta release (in fact RC status already). Please contact me if you wish to test it before it is released (March 2008)
A shareware version will be available (3 concurrent FL controllers on TS charts), then more FL controllers can be enabled in the DLL per pack of ten costing US$250 each. The DLL like the indicator toolset is linked to the unique TradeStation customer number.
The sFLC DLL has now been ported to TradeStation and is ready for beta release (in fact RC status already). Please contact me if you wish to test it before it is released (March 2008)
A shareware version will be available (3 concurrent FL controllers on TS charts), then more FL controllers can be enabled in the DLL per pack of ten costing US$250 each. The DLL like the indicator toolset is linked to the unique TradeStation customer number.
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