Favourite / Preferred Filter and / or Indicator (for Momentum, Trend etc)

Forums ProRealTime English forum General trading discussions Favourite / Preferred Filter and / or Indicator (for Momentum, Trend etc)

Viewing 8 posts - 1 through 8 (of 8 total)
  • #87815

    the best algos are an amalgam of several algos bolted together with a set of filters to switch em on and of as different conditions prevail  . A high volatility  , a fearful volatility , a low volatility grindy up trend , etc etc styles combined


    @Brisvegas
    made useful and valid points above and I was going to reply, but I thought it may make a useful separate topic for a discussion / reference.

     

    So what are your favourite / preferred Filters and / or Indicators or even ones that you are trying out currently?

    1.     Filters to use as switches, set ups, to identify particular market conditions?
    2.     Indicators to set a line in the sand, act as a trigger to execute a trade in particular market conditions?

     

    Filters and / or Indicators that work well to identify (or more as you think fit?) …

    • Volatility
    • Momentum
    • Trend
    • Ranging
    • Basing
    #87818

    It will be interesting to see what answers you get. Personally I find the idea of trying to identify a market structure almost impossible due to our favourite enemy – lag. By the time you have identified a market change you have already lost a lot of money then just as you change your style of algo the market changes to a different structure and you spend a while losing even more money waiting for your indicator to tell you what sort of market you are now in.

    My indicator here:

    https://www.prorealcode.com/prorealtime-indicators/trending-and-mean-reversal-simulation/

    was an attempt to identify market structure but it ultimately just proves the point that the lag of needing x simulated trades to tell you what has just happened puts you already x trades behind the curve.

    Generally I find that sudden big things that have not happened before or don’t happen often are a good signal that the market structure is changing or has changed. For example massive ranges or volatility or the number of 52 week lows etc.

    1 user thanked author for this post.
    #87821
    1. I agree with Vonasi 100% here, you are always behind the market and  the idea of lots of filters to put the odds in your favour is a pile of nonsense that will never work in real life. You are merely looking at old data. Dont get me wrong we are all looking at ‘old data’ in terms of BT’ing but the more indicators we insert to ‘solve’ an issue/s the more IMHO it is not going to work and it shows you cannot deal with a very difficult situation re: losses.
    1 user thanked author for this post.
    #87840

    I have written my own momentum and volatility filters and they adjust to differing market regimes pretty good and sure there is  a day or 2 lag but nevertheless acheives what i desire  . Defining slow grindy easy , defining fear factor chaos easy , defining middle of the road  easy  . Do i have algos for each condition ? Sure  .   If you cant do it maybe you are not looking hard enough  , i dunno  .  Isolate each condition , define the problems to identify conditions , work on solutions  .  I just break it down and look at it logically .

    This is not a theory i’m suggesting , i am actually doing it

    2 users thanked author for this post.
    #87843

    I am just a pile of nonsense so dont listen to me ,  just another clueless pleb with NFI  .  Whether anyone listens to me is no skin of my nose , maybe i help one person with the tenacity and intellect to break through the barriers , thats enough to make me happy . It aint easy and thats the way i like it , not much competition is a good thing .. rock on good luck . I am certainly not going to try and convince the unconvincable  . I already know the wall of negativity is coming my way and i dont give a damn , i tried

     

    It makes people feel better to declare that it cant be done , its a defence mechanism , if i cant do it no-one can sort of thing . Well let me tell you . All you are doing is expressing your limitations !!   Not mine ..

    1 user thanked author for this post.
    avatar Bel
    #87844

    A couple days of lag with a couple failed trades beats 4 months of total disaster trading when ignoring obvious regime changes , I am chasing regimes that last weeks not hours  and  my WR is still above the bar of 65% i set myself and profit factors > 2 are common , these are exceptional stats with all that ‘ lag ‘  .  Some of these regimes last almost 12 months with 2017 a prime example which had only 2 regimes in entire year  . 4 days lag tops in 252 trading days , i will settle for that all day anyday  . Ok i better exit stage left here . Interesting to see where this goes  , not expecting a lot . Rock on

    1 user thanked author for this post.
    avatar Bel
    #87845

    the best algos are an amalgam of several algos bolted together with a set of filters to switch em on and of as different conditions prevail . A high volatility , a fearful volatility , a low volatility grindy up trend , etc etc styles combined

    @brisvegas made useful and valid points above and I was going to reply, but I thought it may make a useful separate topic for a discussion / reference.

    Probably best if you dont refer to me in these types of posts , you might actually get further with your intended idea . Just an idea i have notifications turned of so i will only find it once i,ve gone  and had a look  , Maybe then by the time i find it whats happened here wont happen  and serious discourse will commence . I am a red flag to some , just trying to help , a few have asked me to discuss subjects previously and it never ends well with the interference not far away .

    #87850

    I already know the wall of negativity is coming my way

    Just one last quote! 🙂

    By far the majority of us welcome what you have to say; I and many others agree with what you are saying re Filters etc.

    As you say, it is inevitable that a few trades will be losers before the strategy code identifies and exits current regime and waits for the set up of the next regime etc.  Better lose a few trades and exit (then be stress free) than remain onmarket with a strategy that does not fit the current / ongoing / changed regime.

    If a strategy can’t stand a few losers while identifying regime  changeover then one or more of the following may apply  …

    • Strategy is not robust enough to be a success as an in / out of the market type System.
    • Stakes / Lot Size are too high relative to funds available
    • Timeframe is too long and so the swings / losers cause unacceptable stress to the trader.

     

     

     

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