Support Board
Date/Time: Fri, 22 Nov 2024 21:43:01 +0000
Post From: Trade Intensity/Pace of Tape indicator for SierraChart?
| [2013-04-14 08:35:32] |
| T44 - Posts: 363 |
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Joshtrader, surely if the assumptions cannot be or are not proven then it is dangerous to continue a theory through the point of allocating capital without testing these assumptions, and if the assumptions are not testable.... Perhaps having a graphical representation would be of assistance not to prove the theory but to quickly falsify it so the aspiring trader can move on to investigating areas which may be more productive. I've looked quickly at the bigmike, traderslab, and trade2win threads about this indicator and the screenshots provided there should be enough to "falsify" the hypothesis that this technique in isolation is of any assistance whatsoever in picking reversals. The great thing about programs such as Sierra and the support provided on this board is that it allows non-technical/non-programmer people to express themselves in ways which would not otherwise be possible. The potential downside of this is that there are so many theories and ideas put forward that a lifetime could be wasted testing each in turn to see if it contains the holy grail, at the cost of neglecting more productive approaches. It is for the individual to discern what is relevant and those who can do this will be richly rewarded. The marketplace is competitive and therefore there are significant barriers both to discovering a successful strategy and to implementing it in size. If this study alone did provide an edge, too many people would discover or copy the strategy and hammer out the edge. Trying to use the same pace of trade / tick volume indicator as a mass of other people is almost guaranteed to remove any edge there may have been. So if anyone here does design the "magic indicator" it would be wise to trade it up to the liquidity limits of the instrument and timeline being used (for as long as the opportunity lasts) and not to share it on the Internet. Of course human nature being as it is, people will continue to try to systemize in ways which are unlikely to work, and further argue that they want this indicator not because they can prove it to work but because it somehow 'supports' or 'gives confluence to' their other (untested, unproven) entry criteria. All one can do is suggest some questions and try to point in an alternative direction, but the human condition being as it is few will find a path to consistent success in trading. This is how it has to be. To bring this thread back to a slightly more relevant point: surely how the exchange matches and reports trade volumes is going to be a significant input in deciding which instruments this study will be of any use on. For example, some years ago the CME changed how their time and sales feed was composed. Previously, the size of the aggressor order was reported, and currently the price and size of all trades are reported. So in the prior case, by intent of the aggressor order, a market order sell 50 in ES would have reported a single entry of 50 lots in the time and sales, whereas now what will be reported is the contracts at best bid who filled the 50, which can be either a single bid of 50, 50 bids of 1, or anything in between. This is an issue affecting anyone who previously used tick based charting in that instrument. So this proposed study will show different results depending on how the exchange reports time and sales data. Is the OP and others who use the strategy aware of these concepts and how it would affect their results? There is no easy money in this business, and if there is you're getting paid short odds. |