DLL now adapts calculation depth to CPU speed

One size doesn't quite fit all so I have added a routine which sets a Population Multiplier in our Genetic Algorithm according to CPU speed. Of course, CPUs nowadays are multi-core, but since it is not clear how TradeStation utilizes processing power, it was decided to keep this simple.

if ( nCPUSpeed > 3000 ) nPopMult = 12;
else if ( nCPUSpeed > 2000 ) nPopMult = 9;
else if ( nCPUSpeed > 1500 ) nPopMult = 6;
else nPopMult = 3;

In other words, if the CPU is over 3GHz (3000) it will look 4 times deeper than an old or low entry processor running under 1.5GHz.

No other functionalities added in this release, except for Swing2 which calculates Fib automatically (hence eliminating synch issues). The RetrievePivotInfo indicator is left for tutorial purposes.


DLL version is 1.21 (Dec 10th 2008)

Entropy indicator : minor update

The Entropy indicator has been marginally recoded to better reflect "realtimeness" exactly the same way as MTFS. However, the "Realtimeness" factor does exarcebate dramatically movements of the indicator, so it is still possible to set the parameter to -1 to eliminate its influence.

Updated pivot status extracted from the API

A few keen users may have desired to venture into the API to discover that some pivot points are sometimes not plotted with the Swing indicator. Indeed there is a "hesitation" factor built in the algorithm, but only on the last pivot point. All older pivots stabilize after a while.

In order to better detect and use that information, the API now also outputs a pivot status e.g. peak/trough/hesitant. With experience, we can notice that the "hesitant" pivot is often a "glass ceiling", "glass floor" i.e. some sort of invisible support or resistance which is just being tested. It generally preempts a reversal, and can be used to update money management ahead of the reversal.

The new API call is : BV_GetPivotDir which returns -1 for a peak, 1 for a trough, and 0 (again on last pivot only) if pivot is hesitant.

The TS_TT DLL (version 1.2) is currently sent to all users, and updated EL indicators will be be posted here soon.

Swing2 Update

A new version of the Swing2 indicator is ready for release. The convergence code of the genetic algorithm has been vastly improved by implementing a full search on condition only. This implies that normal swing search will always favour pivots detected on previous bars.

The next release will therefore calculate pivots on ALL bars. This is a major improvement this will allow a lot more support/resistance information to be derived from the indicator.

This work has been motivated by a request to finally turn our trading method into a mechanical system, and Swing2 was a major hurdle. A TSTT toolset update should be available within a few days.

Good trading to all,
bv

Swing Indicator (Genetic Algs)

I remind users of the toolset that the Swing2 indicator now takes a Search Depth value of 2 (previously 0 or 1 in most cases). It can help in very volatile environments.

Secondly, the genetic algorithms have internal settings which are adequate for recent PCs (Core Duo 2 ~2Ghz). I can on request recompile custom versions with deeper search abilities for users of faster PCs.

TS-TT Google Group

A new dedicated Google Group is now open to channel questions on our topic and make discussions available to all.

It is a public group for now.


Good trading to all,
bv

A few words on MM Stall level

Just took a quick snapshot on EURUSD to illustrate the MM stall level.

On two recent occasions, EURUSD reached MM stall level, bounced and came back to hit the major MM support/resistance level. This is a particular setup quite common in fast markets, especially when the pivot level seems unusually soft. Note however that prices sometimes do not come back to the major levels and bounce directly from stall level (H&S, C&H etc.).