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I offer up this kind of information to help give someone what they
want. But, in this instance, I'd like mention what's far better than
any of this CCI/RSI/MACD/Stochastic/blah-blah "stuff", adaptive or
otherwise.
This is what works since the dawn of trading (I'm speaking mainly to
you e-mini futures traders out there who are getting too caught up in
indicators and trying to massage them to infinity in an effort to
reduce your loss percentage):
Go to a price chart, NOT an indicator. Find support and resistance.
Buy the stronger supports. Sell the stronger resistances. Scalp the
weaker ones. Trade heavier with the trend. Manage the trades.
Your research is your confirmation. The better your research, the
better your real-time performance will be. If you need "momentum
confirmation" to get into a trade, then please never tell me that
you're getting in 1-2 bars "ahead of the world" because I'm 1-2 bars
ahead of YOUR world and what I'm doing is leading price, not
following it from an indicator derived from price.
There's no follow-up to this on my part. I'm not engaging anyone in
an argument over this. I have seen literally 100's fall by the
wayside in the daytrading e-mini world, playing around with
indicators. The ones I consistently see still in the game and
trading well are the ones who pay attention primarily to support and
resistance from a price chart, not from some indicator.
There are exceptions to any general rule. But your likelihood of
winding up in the blown-out account list is much higher by playing
with indicators instead of simple, common support and resistance
through multiple timeframes.
--- In amibroker@xxxxxxxxxxxxxxx, "scourt2000" <stevehite@xxx> wrote:
>
>
> Bill,
>
> Sounds like you're interested in John Ehlers' work on adaptive
> indicators that he explained in Chapter 22 of his book, "Rocket
> Science for Traders". He took some common momentum indicators
> (including the CCI) and coded them up to be adaptive in
Tradestation
> Easy Language.
>
> Also, you can find a couple of articles about this at
tuckerreport.com
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <bilbod@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@> wrote:
> > > For this statement:
> > > somevar = CCI(parm);
> > > "somevar" will be an array with one element for every bar of the
> > data array,
> > > the value of that element the result of applying the CCI
function
> to the
> > > "average" of that bar ((H+L+C)/3), for the lookback length
> of "parm".
> > >
> > > What problem are you trying to solve?
> > >
> >
> > I want parm to be an array.
> >
> > What I am doing is trying to 'tune' the CCI to the dominant cycle
in
> > the market.
> >
> > Let me give you a simplistic example using moving averages.
> >
> > If you are trading a trending market (longer period dominant
cycle),
> > you want a longer period moving average to filter out the small
> (high
> > frequency) corrections that occur.
> >
> > In a trading range market (shorter period dominant cycle), you
want
> a
> > shorter period moving average that can react more quickly to the
> > shorter term changes in direction.
> >
> > I started by using the fft to estimate the dominant cycle but I
had
> a
> > lot of trouble coding something useful so I switched to Ehler's
> > estimate (using Laguerre filter, it's in the afl library).
> >
> > As crude as that estimate is, it improves the performance of the
> > indicators I tried it on. If I could get a more accurate measure
of
> > the dominant cycle, I am confident it would improve performance
> even more.
> >
> > That's why I want the period of the CCI to vary.
> >
> > I also don't see any point to include the C of a bar for intraday
> > charts. I use CCIa((H+L)/2,period).
> >
> > Bill
> >
>
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