admin
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Truisms and other filters
Need you ideas for Truism's
This lead to the dramatic improvement of all metrics on 20.4
A Truism's is something that is generally true, but not always true.
IE eat healthy and you live longer.
In trading it could be only trade with the trend.
Don't enter in the last 30 minutes of the day on a day trading system.
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Carl
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something like these?
truerange > avgtruerange(5) (increasing volatility)
close > average(close,200) (trend)
closeD > openD (upday)
best time window for entering the market
max number of entries in a day
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gmoney
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One to add would be to only daytrade when the VIX > 18 (long term median). That can be too restrictive, so using VIX > 15, 12 (or some similar
measure).
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andrew.gibbs777
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Bar Patterns
Gaps
Open of day below Low or Above High of previous daily bar (by a certain amount from 0 to XX (Offset)):
Traditional Gaps
OpenD(0)
OpenD(0)>HighD(1) +Average(Range of Daily,XX)*XX (Generally a signal to go short)
Overnight Gaps
OpenD(0)<>CloseD(1) +/-Offset
Ranges (Intraday or Daily)
Previous Bar is a Narrow Range or Doji
Example
Range of Daily < Average(Range of Daily, X) *0.XX
Previous Bar is a Large Range bar
Example
Range of Daily>Average(Range of Daily, X)*1.XX
Directional (Intraday or Daily)
Close<(>)Close[1] +/-Offset
Close < Low[1] +/-Offset
Close > High[1] +/-Offset
High(Low) > High(Low)[1] +/-Offset
High(Low) < High(Low)[1] +/-Offset
Close > (<)Open +/-Offset
Highest(OHL or C,Length)
Lowest(OHL or C,Length)
Indicators do a good job when analysing direction of more than just the previous bar.
ADX(Length)> (<) XX
Consecutive Bars. Example: Close < Close[1] and close[1] < close[2] and close[2] < close[3]
Seasonal (At Risk of Over Optimisation...WFO will highlight if the case)
Trading Days in Month 1-23
Week of Month 1-5 (5th week will always be a short week of up to 3 days)
Day of Week (Mondays stand out as being different by way of following a weekend when compared to other days of week)
Economic News Dates (Non Farm payroll)
Options Expiry Week (or day)
Month
Public Holidays
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rws
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good ideas!
Quote: Originally posted by andrew.gibbs777  | Gaps
Open of day below Low or Above High of previous daily bar (by a certain amount from 0 to XX (Offset)):
Traditional Gaps
OpenD(0)
OpenD(0)>HighD(1) +Average(Range of Daily,XX)*XX (Generally a signal to go short)
Overnight Gaps
OpenD(0)<>CloseD(1) +/-Offset
Ranges (Intraday or Daily)
Previous Bar is a Narrow Range or Doji
Example
Range of Daily < Average(Range of Daily, X) *0.XX
Previous Bar is a Large Range bar
Example
Range of Daily>Average(Range of Daily, X)*1.XX
Directional (Intraday or Daily)
Close<(>)Close[1] +/-Offset
Close < Low[1] +/-Offset
Close > High[1] +/-Offset
High(Low) > High(Low)[1] +/-Offset
High(Low) < High(Low)[1] +/-Offset
Close > (<)Open +/-Offset
Highest(OHL or C,Length)
Lowest(OHL or C,Length)
Indicators do a good job when analysing direction of more than just the previous bar.
ADX(Length)> (<) XX
Consecutive Bars. Example: Close < Close[1] and close[1] < close[2] and close[2] < close[3]
Seasonal (At Risk of Over Optimisation...WFO will highlight if the case)
Trading Days in Month 1-23
Week of Month 1-5 (5th week will always be a short week of up to 3 days)
Day of Week (Mondays stand out as being different by way of following a weekend when compared to other days of week)
Economic News Dates (Non Farm payroll)
Options Expiry Week (or day)
Month
Public Holidays
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boosted
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I would like to offer adding the exact opposite of the existing "truism" filter CloseLessPrevCloseD. That "truism" could be used for back-tests that
involve only Shorts. Since you are not back-testing for any Longs the opposite of the above "truism" might yield good results.
I have no data to back this idea up, but it sounds like a logical approach if you are just looking for Shorts in a back-test.
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admin
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| Quote: Originally posted by boosted | I would like to offer adding the exact opposite of the existing "truism" filter CloseLessPrevCloseD. That "truism" could be used for back-tests that
involve only Shorts. Since you are not back-testing for any Longs the opposite of the above "truism" might yield good results.
I have no data to back this idea up, but it sounds like a logical approach if you are just looking for Shorts in a back-test. |
The opposite Truism is done for longs and shorts. If you switch it around results on indices are very very bad.
Truism enhancement is on the to do list, but too many other things ahead of it. Lots of little things, stock support (to be finished), time of day,
entries max today,intraday dd, wf multi-pass and wf individual parameters in isolation, removal of duplicate algebra when using
indic1*w1*indicator2*w2 are my short term priorities
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boothy
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Market Internals
What about adding market internals for secondary filters? I have heard this can work well on index futures to reduce drawdowns etc. Have not tested
myself though.
eg. UVOL, DVOL, TICK, VIX, Stocks above/below 50sma etc.
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admin
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| Quote: Originally posted by boothy | Market Internals
What about adding market internals for secondary filters? I have heard this can work well on index futures to reduce drawdowns etc. Have not tested
myself though.
eg. UVOL, DVOL, TICK, VIX, Stocks above/below 50sma etc. |
You can do this now but as primary filters. See under documentation, custom indicators / functions
http://trademaid.info/forum/viewthread.php?tid=17#pid1731
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