Favourite / Preferred Filter and / or Indicator (for Momentum, Trend etc)
- This topic has 7 replies, 4 voices, and was last updated 5 years ago by
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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.
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- 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.
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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
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 ..
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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
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