Welcome to NexusFi: the best trading community on the planet, with over 200,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- discounts are available after registering.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
I’m familiar. I’ve read a lot of derivatives textbooks but the past week did some reading of economics research papers and decided the most practical and efficient way for me to do it was EWMA method. Simple is good was part of my reasoning there, also I’m not trading options so I really don’t need an exact forecast simply a gauge of vol expanding or contracting.
No probs. Appreciate the response. I'm not after code. Just looking for a thorough "plain English" description that can be used to develop working code.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,241 since Dec 2013
Thanks Given: 4,584
Thanks Received: 10,523
@kevinkdog code is in easylanguage and hence already are almost in plain english but @syswizard calls upon custom functions and without those its impossible to know what its doing.
I apologize for that, didn't realize that .txt format from Sierra would look so difficult to read pasted in here. Ill use a screenshot of the log next time I share here.
Sure bud, that test was pretty simple so I don't mind sharing. That system is trading a 30 min range breakout executing off of a 5 min chart with a daily chart 20 period momentum overlaid onto the 5. The inputs in the 5min chart are high/low over time period so that you get your opening range. High/Low over N bars as the exit parameter, that test is using 1 bar so it exits on a break of the low of the previous 5 min. Entry is filtered directionally by the mom of the daily and by an exponential moving average of the atr to filter for expanding volatility. I use the slope of that ma in the test. Im not going to give you parameters to use but that's the framework for that specific backtest.
My point was more so to join the conversation and share some ways of looking at building systems like these that have helped me like starting to filter for volatility when I'm putting together any momentum strategy. If you have any questions or thoughts feel free to share, Ive been writing a lot of different systems lately so I'm definitely interested in what you guys have found useful too.
