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Showing results 1 to 25 of 38
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Posts Made By:
SMCJB
Forum:
Trading Journals
March 26th, 2022, 03:47 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Traditionally Bollinger Bands would be SMA(X) +/-...
Traditionally Bollinger Bands would be SMA(X) +/- 2 * StdDev(X)
where X is the lookback period.
I'm saying since you are replacing the fixed length SMA with the Kaufman Adaptive Moving Average...
Forum:
Trading Journals
March 26th, 2022, 11:49 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Given that your moving average is adaptive ie...
Given that your moving average is adaptive ie trying to detect when the market is even different states, did you ever consider making your Bollinger bands interactive as well?
Forum:
Trading Journals
March 23rd, 2022, 01:43 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Is the standard deviation calculation of the...
Is the standard deviation calculation of the Bollinger Bands adaptive (ie using the same time period of the KAMA) as well?
Forum:
Trading Journals
March 10th, 2022, 12:16 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Yeah, all the big trends reversed today! At...
Yeah, all the big trends reversed today!
At least for one day!
Forum:
Trading Journals
March 4th, 2022, 11:37 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
As you know VXX and other VIX products invest in...
As you know VXX and other VIX products invest in VIX Futures. Some/all rebalance at the end of the day. So I wonder if what your seeing is the effect of that rebalancing?
Not that it matters but...
Forum:
Trading Journals
February 4th, 2022, 02:47 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
The problem is in Tradestation it only works in...
The problem is in Tradestation it only works in certain situations. If your talking about rolling early or trading the 2nd month rather than the first month etc then sure it works fine. But if your...
Forum:
Trading Journals
January 5th, 2022, 01:07 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
It does. Thank You. Orderd.
It does. Thank You. Orderd.
Forum:
Trading Journals
January 5th, 2022, 12:11 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Happy New Year vmodus. Thanks for the interesting...
Happy New Year vmodus. Thanks for the interesting posts.
Not a cheap book. That normally doesn't bother me but since its about Python (unfortunately I'm a R guy) I was wondering how relevant it...
Forum:
Trading Journals
December 19th, 2021, 11:16 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
I agree. I think they have confidence in their...
I agree. I think they have confidence in their methodology/process and believe that the next big fat tail is just as likely to happen in a instrument that has never worked as it is one that has...
Forum:
Trading Journals
December 19th, 2021, 05:05 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
By this I assume you mean that if you are...
By this I assume you mean that if you are applying a single strategy to twenty instruments that the optimization finds the single set of variables that yield the highest portfolio results and not a...
Forum:
Trading Journals
September 16th, 2021, 09:05 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Missing you in Cleveland vmodus, was looking...
Missing you in Cleveland vmodus, was looking forward to putting a face with the name.
The rules financial institutions put on their employees (while the higher up's still enrich themselves) are...
Forum:
Trading Journals
November 15th, 2020, 04:42 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
You can be in "the club" too... kevinkdog's...
You can be in "the club" too... kevinkdog's Strategy Workshop (https://kjtradingsystems.com/strategy-workshop.html) *
* I have no commercial relation to the the person who runs this website. I...
Forum:
Trading Journals
November 11th, 2020, 11:30 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
I can do either weekend
I can do either weekend
Forum:
Trading Journals
November 11th, 2020, 10:26 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Good luck to you vmodus, it was a nice journal. ...
Good luck to you vmodus, it was a nice journal.
If you do start a blog you could always cross post it to here as long as you don't make it an advertisement/linked to your blog/self promotion.
...
Forum:
Trading Journals
April 17th, 2020, 06:27 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
I've never traded forex with IB or anybody else,...
I've never traded forex with IB or anybody else, my only experience is with futures. I'd love to try and build a non-correlated carry portfolio but it's not possible if all the FX brokers interest...
Forum:
Trading Journals
April 17th, 2020, 01:01 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Take for example USD:EUR If you buy USD sell...
Take for example USD:EUR
If you buy USD sell EUR they pay you 0% on the USD balance and charge you 1.5% Pro or 2.5% Lite on the USD Balance. So you lose 1.5%/2.5% in financing charges.
Now if you...
Forum:
Trading Journals
April 16th, 2020, 06:20 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
If your holding positions over the...
If your holding positions over the swap/roll/finance time line - whatever they call it - be careful - they might have great bid-ask spreads but they have some awfully unfriendly interest/swap rates.
Forum:
Trading Journals
April 8th, 2020, 08:37 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
My wife has been very surprised how much she is...
My wife has been very surprised how much she is having to help our youngest son and a lot of people I talk to are having similar issues. Reading an article today that was saying in some schools a...
Forum:
Trading Journals
March 19th, 2020, 10:27 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Stating the obvious this in once in a decade...
Stating the obvious this in once in a decade market conditions and I wouldn't read anything into this weeks performance into long term performance. (Good or Bad).
Assume you saw Kevin's recent...
Forum:
Trading Journals
March 9th, 2020, 09:44 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
MES was tight but volatile today but slippage on...
MES was tight but volatile today but slippage on MNQ would have been large, bid/ask was 5+ ticks constantly.
Forum:
Trading Journals
March 4th, 2020, 11:48 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
High frequency arbitrage keeps them in line tick...
High frequency arbitrage keeps them in line tick for tick - at least in the prompt month. For MES/ES I would think the charts will look identical. For things like QM/CL they will look different. That...
Forum:
Trading Journals
March 4th, 2020, 10:06 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Maybe obvious but there are also some mini's that...
Maybe obvious but there are also some mini's that may be more attractive than trading the full size contract. QM is Crude Oil (500 bbls / half size), QG is Natural Gas (2500 MMbtu, quarter size)....
Forum:
Trading Journals
February 14th, 2020, 12:28 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
Custom Session (works if you test it this way) or...
Custom Session (works if you test it this way) or are you arbitrarily picking (ie juggling grenades) which 4 hours a day ?
Forum:
Trading Journals
February 10th, 2020, 07:20 PM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
I was thinking about this some more this evening....
I was thinking about this some more this evening. The problem with all of those volatility calculations in Tradestation (except ATR) is that they are based upon returns and hence will not work on...
Forum:
Trading Journals
February 9th, 2020, 11:08 AM
Replies:
478
Attack of the Robots - An Algo Journal
Views:
94,172
Posted By
SMCJB
I went back and forth on this a lot. Part of it...
I went back and forth on this a lot. Part of it was my unhappiness with how Tradestation calculates some things (ie Drawdowns) and part additional information I wanted. It's actually very easy to...
Showing results 1 to 25 of 38
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