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Updated September 8, 2020
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September 21st, 2014, 03:23 PM
Birmingham UK
Market Wizard
Experience: Intermediate
Platform: NinjaTrader
Broker: TST/Rithmic
Trading: YM/Gold
Posts: 3,550 since Dec 2012
Thanks Given: 17,423
Thanks Received: 8,426
srgtroy
How about a webinar on Chaos Theory? The only thing some of us know about it is what we learned from Jeff Goldblum
The only things I can remember are using it once and how to spell it.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
September 21st, 2014, 03:28 PM
Portland, Oregon
Experience: Intermediate
Platform: F-16CM-40
Trading: GBU-39
Posts: 6,189 since Sep 2013
Thanks Given: 10,459
Thanks Received: 12,695
September 21st, 2014, 03:45 PM
Los Angeles, California Republic
Legendary R.I.P. 1965-2023
Experience: None
Platform: Sierra Chart
Broker: CQG
Trading: ES
Posts: 1,928 since Jan 2011
Thanks Given: 1,375
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tturner86
Maybe @Big Mike can get Jeff Goldblum to do an (expanded) webinar on it
September 21st, 2014, 05:12 PM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
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chanep
If I were to use these 2 variables, I would just sort a portfolio of stocks or
ETFs based on one and then maybe the other, and then buy the top N and short the bottom N. If this gives very negative
backtest results, then I would
reverse the trade and short the topN and buy the bottom N.
I would rebalance daily, but I may also impose a L day holding period. If I do impose L-day holding period, then I will launch a new portfolio every day, so ultimately I will have L portfolios, with capital allocated equally.
Ernie
Ernie, thanks - I really liked this part of your webinar, where you described that approach in more detail.
Mike
September 22nd, 2014, 12:14 PM
Wurzburg
Posts: 1 since Sep 2014
pretty interesting work Mike , and impressive that you are doing a custom platform as well
November 5th, 2014, 01:00 PM
Springfield
Experience: Intermediate
Platform: Ninjatrader, TOS
Trading: eMicros
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January 12th, 2015, 06:15 AM
Philadelphia, PA
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
Posts: 211 since Aug 2012
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April 27th, 2015, 06:54 AM
Philadelphia, PA
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
Posts: 211 since Aug 2012
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Neo1
I've been playing around with some Relative Rotation charts today and thought this might be on interest.
@
tigertrader has posted RRG's before in this thread, which are the work of Julius de Kempenaer. RRG's basically compute relative strength in any given universe. The graphs are split into 4 quadrants- Improving/Leading,Weakening/lagging, and often rotate around in a clockwise motion. If anyone wants to talk about them more there's already a thread for that-
Using the inverse ratio to what Mike posted( accept using the
ETF 's) eg SPLV/SPHB, I've created an RRG based on the ratio in relation to the SPX. This looks like a good way to visual how rotation happens, presumably in/out of
high beta stocks. So based on the premise of this discussion you could assume that when SPX is improving/ leading then money is flowing out of low
volatility stocks/ into high beta stocks, and when SPX is weakening/ lagging, then money is flowing out of high beta stocks/ into low
vol stocks. At the moment you can see that SPX is leading, however
momentum is decreasing indicating there could be a rotation into the weakening quadrant...
With the chart on the right I've assigned each quadrant to a bar color, eg Improving is white, leading is blue, weakening is grey, and lagging is red.
@Neo1 Did you write the script yourself to create the RRG chart or are you using a pre-programmed application?
I have written a script to create RRG charts using Julius de Kempenaer methodology but in the end, Julius ranks the symbols by a factor (1-99.) I have not been able to determine what factor Julius uses to rank symbols by. If calculated on your own, what factor do you use?
Here is an example from Jan 2015 from stockcharts:
And here is my code output when I brute force the factor until the plots matched:
I now use my own proprietary factor to rank stocks according to my selection methodology but would be curious to learn how others such as yourself do it.
April 28th, 2015, 03:35 AM
Rio de Janeiro / Barcelona
Experience: Advanced
Platform: NinjaTrader & Excel
Broker: IB
Trading: EWZ
Posts: 125 since Apr 2013
Thanks Given: 89
Thanks Received: 96
ericbrown
Will do. I tend to do the same as you. The visualization is what is most interesting to me.
@ericbrown ,
I have searched the net for something like this coded in Python. Have you done any progress?
April 28th, 2015, 03:38 AM
Rio de Janeiro / Barcelona
Experience: Advanced
Platform: NinjaTrader & Excel
Broker: IB
Trading: EWZ
Posts: 125 since Apr 2013
Thanks Given: 89
Thanks Received: 96
GoldenRatio
@
Neo1 Did you write the script yourself to create the RRG chart or are you using a pre-programmed application?
I have written a script to create RRG charts using Julius de Kempenaer methodology but in the end, Julius ranks the symbols by a factor (1-99.) I have not been able to determine what factor Julius uses to rank symbols by. If calculated on your own, what factor do you use?
Here is an example from Jan 2015 from stockcharts:
And here is my code output when I brute force the factor until the plots matched:
I now use my own proprietary factor to rank stocks according to my selection methodology but would be curious to learn how others such as yourself do it.
Hi @GoldenRatio ,
What language did you code this in? Ok to share the formula? I plan to code it in Python.
Last Updated on September 8, 2020