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There is quite a bit here Mark.
Responses intertwined. Those not interested won't last the distance.
Tom
-----Original Message-----
From: MarkBrown@xxxxxxxxxxxxx <MarkBrown@xxxxxxxxxxxxx>
To: Tom <planeacres@xxxxxxxxxxxxxxxx>; Omega-List <omega-list@xxxxxxxxxx>
>I have several hourly systems, I plan to created and convert all my
>systems tothis time frame (or a representative tick chart size, example
>300 tick bar chart or whatever for each commodity) then I can just >check
all positions at once. This will free me from being glued to the >screen all
day waiting for a trade to pop up.
>From posts here, there is a lack (in backtesting) of the differentiation
between which past bar high or low came first, let alone the tick sequence.
If this is true, how have you accounted for this in your backtesting
methods?
Tick bar charts would enhance volume studies over time bars, would they not?
Wonder how wide the variance of ticks per day for any given issue is?
Taking bonds for example: Would the tick count markedly increase on
a highly active trading day? On a wide range day? Versus a slow or narrow
range day?
My mind can't quite grasp the tick# bar versus the timeframe bar.
>I have done extensive research and development on complex >projectionary
systems to know in advance what and when a trade will >be. However I think
it is a simpler method to restrict the data sampling >to a consistent level.
Have not traded systems for this very reason, no warning of impending
positions to be taken. No room for intuitive filtering or personal learning
by observations. This interests me as I wish to know before the actual entry
signal occurrs, that one is near or not.
>Back to the roll issue: Having a system for example that trades and
>average of one tradeper week on an hourly data set. I would roll the >trade
into the next month when my system reverses its position near >the rollover
date. Preferring to roll maybe even earlier than the standard >contract
roll, but certainly prior to the roll date.
This would be the most convenient way to handle the roll since it really is
a completely new trade even though it may still be open within a system
trading it. If you are able to know that a "near roll" exit is about to
occurr, then that would be the best.
>I think this is ideal for a medium and short term trader. Longer term
>trades could benefit also if you know the length of a typical trade and
>just plan ahead.
There is the key, knowing the length. Most if not all systems do not inform,
nor know how long a trade will last.
>I would not roll on volume, See a perpetual contract like I'm using
>weightseach day one contract into the other. For each day that the >current
contract trades it diminishes in value and the next contract out >increases
in value.
Can this be traded to your advantage in the next position taken? Would it be
possible with such a "look ahead" system and an intermarket analysis of the
next contract out, to take advantage of this contango? Most issues do this
as the contract roll dates occurr. This must be due to the speculative exits
and entries. Every trader except those wanting to take delivery/deliver
wants out. This must skew prices during this transition.
>As far as our synthetic contract data is concerned. I will post a chart
>showing the roll effects of this method . They say a picture is worth a
>thousand words but I have experienced a picture can generate a >thousand
questions.
This will definitely be the case for me, dumb as I am.
>Not if you roll out of the existing contract at the time the system flips
>from longto short as I have proposed above. At least on a hourly basis >it
is canceled out because sometimes you will gain a few ticks and >some times
you will loose a few ticks. But the method is far better than >anything I
have ever experienced.
Agreed, it would be and might be possible to take advantage of it.
>We are currently using some advanced undocumented features of TS >and a
DLL.This allows the system to use the perpetual real time data >that we are
building as the price input for the real time system. Now the >buy and sell
arrows will plot on the current contract data. However the >position of the
buy and sell arrows are completely governed by the real >time perpetual data
stream. We are doing this within TS.
If I understand, you do not have to manipulate, merge or play with the data
to get it into a continuous contract form? Inside or outside of TS?
If this is the case, then the arrows or buy/sell indications remain constant
throughout the entire continuous contract stream?
>All empirical observations of indicators and cycles are false, I don't
>believe in either.
YOu have ruined my day. Where's my belt fed weapon. Seriously, are you
saying that your own observations do not count it trading?
>I do believe a system that is tested on historical data. If
>in fact that same data is the data that is running real time.
When a system is designed and programmed to perform a specific function of
internal, mathematical associations, differentiations and similarities, is
it not, in a sense, observing and deciding on the data it is fed? When
someone does this system design, isn't he relying on his ideas that he
formulated from his empirical observations? Were does the knowledge come
from to make a successful trading system if not from experience and
observation of the person(s) designing it?
>IMPORTANT: I need to make a point! What I am
>doing with the data is different than what is commonly preconceived by the
masses.
>I have a system and data that when I look back through the years shows me
exactly
>where it bought and sold "price and time". I can check my trading account
statements
>and I can compare exactly that trade on the historical data with my account
statements.
>They match! They are the exactly the same! That historical data is not only
historical
>data but it is Real Time data running outside of TS as a huge 10 years of
hourly
>perpetual data. It is then called up and used as the price input of my
systems, running
>real time. In concept if the TS 5.0 is capable you could have a real time
historical data
>stream that you could scroll back 20 years and observe the trades it made
all real time,
>while it is running real time. I know of no other method that is as exact
for mechanical
>system trading as this is. If there is one I'll buy it or pay to have it
developed. It all can
>be thought of as a slightly synthetic futures contract that never ends,
much like a cash
>contract. If I have failed to make myself clear in any manner please ask
further questions.
Clear as a "slightly synthetic" / "real" time continuous contract can be!
You must explain these statements hopefully without giving out the secret
champagne. Thanks for the "brief" and "general" replies.
See U
Tom
planeacres@xxxxxxxxxxxxxxxx
>
>Mark Brown
>
>
>> See U
>> Tom
>> planeacres@xxxxxxxxxxxxxxxx
>>
>> -----Original Message-----
>> From: MarkBrown@xxxxxxxxxxxxx
>> Subject: Re: negatives values in TS
>>
>> I have even been testing a perpetual real time add on
>> >for TS that Rich Estrem and Myself have developed. It allows for the
>> >automatic roll over of futures contracts. The catch is that while we are
>> >able to produce this contact in real time forward.
>> >Now why would someone want to do this?
>> >Because: This allows you to (with great confidence)
>> >back test a system on the very same data that you trade it on. In my
>> >mind there is absolutely no substitute for this method of system
trading.
>> >It is very time consuming and expensive to do but so is faulty testing
of
>> >a system when applied to real money. To answer some inquires ahead
>> >of time, if TS 5.0 ever comes out and we are satisfied with the security
>> >features of it. The real time perpetual futures contract builder will be
>> >offered to the public.
>> >
>> >Mark Brown
>> >
>
>
>
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