Traders' Roundtable

As a novice in programming where would you begin - c++ for dummies ?


A script based language is much easier to learn and also much faster to write code in. You only need languages like Java and C++ if you need ultra-high performance code.

I recommend either using the R statistical package (it ...

Update for anyone else interested in this:

If you sign-up for SierraChart, it lets you download and export a few years worth of FXCM forex data with 1 second resolution for free. SierraChart's own costs are pretty minimal.

For anything longer term (or more authoritative), Jez Liberty's ...

In my experience different timeframes are similar in the sense that prices move up, down and sideways on a chart of any time resolution. However, once you get to the point of actually exploiting a particular price behavior via a trading system, you find that the similarity is often purely ...

Since you write your strategies in R & graph in SierraCharts, what and how do you use TBB? Is R for trying out concepts and TBB for day to day operations?


I don't use TBB. Long time ago I went through phases of using AmiBroker, TradeStation and WealthLab, and while all had their advantages, I ...

I've been using R for all of my trading model development and analysis and have been very pleased with it. One major caveat: if you use looping in your code, then as with most scripting languages, this is going to be slower than molasses. R is only fast if you are able to vectorize your code ...

Another option (which I have used) is to download historical data from the forex trading company they are associated with: OANDA.


How was the quality of the Oanda data? I had previously looked at FXCM data and saw some unexplained time gaps in their data. I've also seen that some providers ...

Does anyone know of a good source to purchase quality intraday (1 min resolution or less) historical data for the various forex pairs? I've been using Tickdata as my primary intraday data source, however, they only have currency futures and not spot forex. Currency futures have historically been ...

Have you had any issues with their accuracy (ie late prints, missing trades, etc)?

-bbc

If you pay US taxes, the tax treatment of futures is considerably more favorable, unless you plan to hold long enough to qualify for long term capital gains.

-bbc

That's a lot of reports! Do you have a link to learn more about this software?

-bbc

Let's put it that way: it is probably as easy for the eye to spot the patterns you mention, as it is for the same eye to miss the crucial "anti-pattern" that voids the first ...

That's very true. Hence the need to give a mechanical definition to some of these concepts so that they can be tested ...

Has anyone seen any good algorithms for identifying various geometric formations on price charts? In particular, things like spotting minor/major support and resistance levels, identifying consolidation channels, etc. Basically things that are pretty easy to spot on a chart through visual inspection ...

Does anyone have experience with the "tick data" backfill service from SCMagic for SierraCharts? The actual data they provide is just basic OHLC-volume with 2 second resolution, which is not exactly tick data. I'm curious if anyone has compared the resulting chart with real tick charts, to see how ...

Thanks for the Amibroker suggestion. I've been using it pretty extensively for a few months now, in conjunction with some of my custom software, and I've grown quite fond of it. I would definitely recommend it for the price.

-bbc

Also, if I may indulge with a follow-up, assuming that the oft-quoted statistic that 90% of options expire worthless is broadly correct,

This 90% number strikes me as entirely meaningless unless we know the net value of those that expire worthless vs those that are in the money.

Imagine an ...

I've been quite satisfied with Tickdata.com

-bbc

One observation I've made while testing patterns, is that when you dont have a very large sample size to work with, it's sometimes better to simplify your data rather than looking at raw trade results.

For instance, initially I spent some time algorithmically searching for patterns on one sample ...

One of the main challenges that I see with Crabel's methodology, is that he looks to create a list of price patterns, that he in turn uses to confirm his main setup. However, many of the patters have so few trades, that it's not clear how anyone can verify them statistically with any degree of ...

I was recently rereading Toby Crabel's book, and here's how I see his methodology.

1) Identify a relatively common trade setup with a positive expectation (in his case Opening Range Breakout)

2) Analyze the preceeding price action to see if some price patterns are more likely to result in the ...

Figure out the correlation between your two strategies, and then you can figure out the proper size allocation. Of course all stock indexes are highly correlated during extreme moves, so if your systems tell you to go long in both at the same time, I would reduce the amount allocated. As to how much ...