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Previously I had mentioned I had used ICE to finish the development
of a trading system that I had been working on. I was looking for
ways to incorporate into my present system a bit more information on
sizing trades. I also explained that ICE had saved me a lot of time
in doing this, and that alone made it easily worth the price.
I have another experience to share. Sometimes I'll trade only one
security for days at a time. Maybe it's the Qs or SPYs, as an
example. I will also decide the time frame based on market
volatility.
As I change time frames, or switch securities, the various indicators
in my system, while still working good, but are not optimal. I
understand this, and it's obviously why I have more than one
indicator in my system, as we all do.
Today, I took a couple of the stocks I sometimes use for that style
of trading and decided to see what ICE had to say about my
indicators.
What I got surprised me. On one of the securities, ICE told me r-
squared was as a very profitable indicator. R-squared is a
correlation coefficient, and can be difficult to trade with, but ICE
was telling me it showed the best performance across all 70
indicators I had tested and was definitely the vertical leader by a
wide margin.
I fooled around with it on a chart and finally isolated the best R-
squared coefficient for that stock in my particular time frame. R-
squared is a measure of the correlation of stock price movement to a
linear trend over time.
I usually use the ADX for my strength of trend information, and I
didn't really want to put an R-squared indicator on my chart, so I
wrote it as a highlight formula. (Very simple!). When I set it up as
a highlight, it was terrific at telling me when a trend was strong---
in other words, when to put more into the trade. In fact, it turned
out to be much better than the ADX for that stock in that time frame.
It worked just like ICE implied it should. I would have never guessed
or even tested R-squared on this security, much less suspected it
would out perform the ADX.
Then I decided to see how it faired on one of the other ETFs I was
trading in the same time frame. It was really poor. However, ICE told
me MACD was the best. But when I optimized it, I got a weird number
for the opt variable. I got a 1. If you open MACD with a 1 for the
signal time periods, you get a line that oscillates around 0. As it
turns out, for this security on my particular time frame, the
crossing of 0 by the MACD gave great signals for trend changes.
Again I programmed it as a highlight indicator. I've programmed and
tested around a hundred highlight formulas trying to find the best
trend indicator that I could. Basically, I had settled on an Aroon
formula that I had written, which has tested out as the best I have
seen for my purpose.
When I tested the MACD highlight code on this security in the time
frame I'm trading it in, it beat the Aroon code significantly. It
really amazed me how much of a difference it made. The Aroon code was
equally as good at detecting the trend changes, but the MACD code was
smoother and more precise, which equals the ability to see the trend
change sooner and stick with the trade longer---i.e. more profit.
Of course, I'll have to trade with it for a while to be sure it
works properly and changes in a timely fashion. One problem with MS
is it doesn't have a simulator function to test systems on the right
edge with historical data feed. That's a major issue for me, and not
one that Equis is likely to fix.
I don't know if you'll get as much out of ICE as I have. If you don't
have much experience, it will show you what indicators work best on
what you want to trade and it will show you how to eliminate
colinearity issues, which is important. However, you likely won't be
able to do some of the things with it I've just described.
If you are experienced, and do some thinking, you can get some really
valuable information for tweaking out your current systems, or for
building new ones. It takes patience, some study, some thinking and
some applications knowledge, but in the end what I've gotten is going
to make me a few more percentage points a year—maybe more!
I still can believe it only cost $99. I've mentioned the manual
problem and the missing table of opt values for each indicator, which
is a problem. That's part of the reason it's still only $99.
However, that said, of all the plug-ins I've tried (and I've tested a
bunch) this is the only one that really gave me something that's
going to improve my trading. I can't promise you what you will get
because that depends on you. Nothing is completely automatic, or fool
proof, but this is good.
JO
P.S. The formulas are passworded. If you want something that gives
you the code, this isn't it. ICE is not written in simple MS code.
Not only does it give you the optimized variables, it gives you a
stop level and the indicators are normalized against one and other.
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