Frame doubling interpolation for 1080p x264 mkv's for superfluid 48 fps

http://forums.guru3d.com/showthread.php?t=288017

Guys I have found something interesting. This will transform your watching experience thanks to the interpolation you can watch 48 fps instead of 24 frames per second.

"It is great for scenes where the camera pans over the scenery at a constant speed. Fast action scenes tend to be more clear as well. The whole movie gets a very realistic feel to it. It's just awesome. Actually IMAX HD is at 48 fps as well. Beware though, it is not easy to get this working. But once you got it, you never want to go back to 24!"

A friend of mine showed me, it is really amazing stuff.

This forum page is important showing how to change the script regarding the number of cores. If you had at least a quad core you should not have a problem, but even on my modest two core laptop with Intel 2.2 Ghz I get it running.

with: SetMTMode(1,2)

No really it is hard but if you get it running you will transform your film watching experience.

Optimization of trading strategy: is there something wrong Part 2

Is there something wrong with optimizing trading strategies. I think the whole conception of optimizing may be a wrong paradigm. In fact during optimization we make in the same time the strategies very vulnerable to randomness.

That is the whole point. All trading strategies are very  vulnerable to randomness but the problem is that y we do not know to what extent they are vulnerable.

That is why the use of any fancy digital filters or enigmatic time series preprocessing methods: SSA, wavelets, PCA does not add much.

On the other hand the use of different optimization algorithms does not add much too: back propagation, genetic algorithms, particle swarm optimization etc.

So what is the reaction of the big guys. They were investing in infrastructure in order to use the infrastructure edge together with complex data mining methods. And that worked and works. However as many others will do the same the competition will increase in the low latency market. Even more some countries are planning to tax the HFT, in France this is already a reality.Big boys are also using traditional macro strategies but this is another beer.

My point here is that a successful trading strategy needs to balance two pillars:

a. An adequate optimization regarding the market conditions. In practice that means that the strategy needs to learn from the market conditions and not to over - fit the past market conditions. This is a hard stuff.

b. The randomness robust trading strategy. There is a need to secure that the trading strategy is robust regarding the randomness of the market.

There are different ways to achieve it.

- To measure the state of predictability of the market and trade only when the market is sufficiently predictable. This is the core concept of the Spinal Implant EA. In this EA the algorithm takes a trade only if the fractal dimension is below a certain value.

-To apply walk forward testing.

This is a traditional approach and maybe is the state of the art in the trading community. But unfortunately quite a few algorithms pass this test, only to prove later that they are not so good.

-To apply Monte Carlo methods

So I really think that this should be implemented by everybody that seeks consistent results.

The Discussion will be here: only for logged users, sign up for free.

Kathy's trade and comments

Here I will post a Kathy Lien video about the current situation on 19.12.2012.

She has a long position targeting the break-out (I was talking too about a break-out).

From a fundamental perspective she makes some comments about fiscal cliff and an optimism about Euro crisis and after all she has a long bias.

Anyway, this was the first thread in beathespread, and we somewhat forgot this thread. Now I am reading the posts most of them discretionary analysis. And hey I was right most of the time about big moves coming and Euro going to hell again.

Mostly I was surprised LOL.

Here I want to make a comment  and a warning about the current situation.

What Katy does is classical analysis. The classical analysis has two parts.

a. Short Fundamental analysis

Fundamental analysis of the main driving forces and deriving a bias long or short based on the expert and discretionary knowledge.

Here in this case Katy does so and she has a long bias. From what Jaguar is talking there are others who have the same bias. But I really do not have an opinion on it because I am not a fundamental analysis specialist.

b. Technical analysis

She makes a technical analysis and we are clearly in a break-out situation that is so obvious. And last but not least the technical analysis is giving the risk control for placing the exit stops.


My comment is that that is the traditional way to do things. You can add also some more exotic ways of technical analysis as the Elliott waves for example. Here is a screen shot of an Elliott wave analysis with simplified counting (the simplified counting is used in order that everybody could get the reading and not the specialists alone).

So the Elliott waves picture is that we are in a global complex triangulat pattern in EUR/USD that is really hard to predict on the long term but do have some local predictability.

My additional comments

c. Elliott waves (simplified counting)

Here is the chart and of course regarding the position entry it mirrors the normal technical analysis regarding the break-out opportunities.

However in beathespread some more methods ans approaches have been proposed.

The method we propose is that we identify the market conditions locally.

As for the current situation we can just observe and measure the local market conditions. Thr trchnical analysis may be just smoke and mirrors as we jave observed so much sharp V-turns.

So what can be done is to use an EA model that is adpated locally to this market conditions. So if the break - out continues the EA model will follow it. If there is a sharp tern the EA would reverse just in time and follow the reversal.

I think this is what professionals do, I am simply explaining in plain English.

Have a nice day.

Optimization of trading strategy: is there something wrong

What is a central question of all trading strategies is the optimization. However is there something wrong with the optimization or at least with our perception of optimization of trading strategies.

I think there is something elusive here.

I think that the main problem is that we look at the market as a problem.

Yes, I think so, we think that the market is a problem and if there is a problem we look for a solution. Applying mathematical models for searching a solution is just the right thing to do.

But what if, there is something wrong in our paradigm?

Of course the trading rule with the highest observed performance is likely to perform in the future provided we have sufficient observations and we do properly performance statistics.

However the problem is that the best rules are highly positively biased. Aronson writes in his book the Objective Technical analysis that technical analysis methods "have the potential to be valid knowledge but only if back-tested results are considered in light if randomness (sampling variability) and data-mining bias.

This screen shot is from the book of Aronson Evidence based technical analysis. Here you can see out-of-sample performance deterioration, that means that the rule which performed well in the past did not perform in out-of-sample trading.

Here in the first part is the in-sample data: the data used for data mining or simply put rule back-testing. In this period you see 50 % Return on on investment. However the out of sample is a different thing. The out-of-sample actually means that the data is not used for data mining and is the actual performance.

The reality is more complex as we may assume. There is not only a problem that needs a solution to be found but there is something else too. That explains why the data - mining normally fails in out of sample trading. I will stop here for the moment.

PAMR: Passive Aggressive Mean Reversion Strategy for Portfolio Selection

PAMR: Passive Aggressive Mean Reversion Strategy for Portfolio Selection by Bin Li, Peilin Zhao, Steven C. H. Hoi, Vivekanand Gopalkrishnan

On this link you can download the Matlab Source code. Otherwise the article is here.

The Bin Li's doctoral dissertation is about "on-line portfolio selection", which intertwines machine learning and portfolio selection. The key issues in the topic is to find effective patterns among markets and then effectively allocate the capital for portfolio trading. He has mainly involved in two types of approaches.


1. He firstly uses nonparametric learning to extract a set, whose patterns are expected to be similar to future pattern. And then, he exploits the patterns via portfolio trading (using Kelly's approach).

2. After realizing that mean reversion is a common pattern among the markets, then he designs learning algorithms to trade on such pattern.

The backtest results of the two approaches on real market are real encouraging according to him.

For other techniques beyond his thesis, he thinks that the main usage of machine learning is to automatically identify (unknown/unknown) patterns among markets. Then feeding the related inputs is critical, such as neural network, or genetic algorithms.


You can contact Ben Li in linkedin.

How can we determine ahead of time when a certain EA would be suitable for upcoming market conditions?

That a trading holy grail question. Much more than the one million question LOL.

What we can do is to know if it is working now.

Based on that you can evaluate how much draw-down is logical and calculated within the system. You can use a Monte Carlo simulation based on that knowledge. Check the post about Monte Carlo simulations and the appropriate risk control.

You can use market state analysis as an independent tool too. This a discretionary approach based on the best practices among discretionary traders and this is how far this pragmatic field can go by now (in my eyes of course).

And you can use your fundamental knowledge to have some insight. Sometimes the market state is closely related with fundamental information. Here I can give a historical example: the Swiss/Euro EA, this strategy was based on the Swiss Central bank decision setting a minimum exchange rate of 1.20. Until we were under the same circumstances the EA was expected to work and it worked too well for several months doubling the account many times.

And you can use data mining only for predicting market conditions. That is also possible, however it is not an easy task.

Predicting the future performance of an Expert adviser in Metatrader is not an easy task. Before doing this you need to know what is really the worth of the EA model. 

Suggested books:

The Evaluation and Optimization of Trading Strategies (Wiley Trading) by Robert Pado
Trading Systems: A New Approach to System Development and Portfolio Optimisation by Emilio Tomasini and Urban Jaekle

Machine learning in trading strategy?

Question: Does anyone here apply machine learning techinques (such as Neural networks, PCA, local sensitivity hashing) to his trading strategies?

There are two main commercial vendors of AI models for retail traders:
Neuroshell and TradingSolutions.

I think that they are offering a very easy tutorials allowing to grasp the use of those models in trading systems.

On both sites there is a lot of free information about basic models. In trading solution there is even a demo version which gives you several models and gives you the opportunity to make new models.

If I can summarize it in really rough way basically the basis of everything is:

* To select the predictive inputs (mainly technical indicators) and try to predict with them something else output.

* Use the output as a trading signal.

For example:

You have 2 inputs
You use a moving average of period of 20 as input.
You use a second moving average with period 10 as input.

You want to predict the next day close.

So the rule may be if the predicted next day close is higher than the next day open then buy.

If the predicted next day close is lower than the next day open then sell.

You train the model. And you backtest the model over a past unseen data.


So that is the basis and from there start the variations including their use in portfolio.


I have two remarks:

* The problem is that trading with neural networks is not an easy task. My opinion is applying a model over an already viable strategy or idea will allow to squeeze more profit from the idea compared to the rough model.

* Another problem I may say is luck related. Very often you can confuse the optimization with the luck. Very often the results you get are purely due to the luck. Monte Carlo simulations may help a lot.

Please check the book http://www.evidencebasedta.com/ and Monte Carlo
Permutation Evaluation of Trading Systems
http://www.evidencebasedta.com/MonteDoc12.15.06.pdf

I just want to add another remark that by using commercial software within the software is integrated a fool proof.

In Neuroshell for example they are offering to you some default settings that will limit the overfitting. In trading solutions it is the same. If you use your own model or an open source software and you do everything by yourself you need to be carefull what are you doing, for example adding too many weights to the model and too many neurons and hidden neurons will increase the risk to overfit the data and not to learn from the data.

Get real-time feed of live data into Excel

I have found this list of sources of data for real time feeds of live data. I think it may be useful that is why I share the list here.  

Get real-time feed of live data into Excel
Get free historical data into Excel, Matlab or Java
Foreign Exchange, Forex, FX

www.forexite.com (Forex, 1 minute ticks), CSV download
ratedata.gaincapital.com (Forex, tick data), CSV download
www.oanda.com (Forex, daily), CSV download
www.truefx.com (Forex tick data) after login
www.dukascopy.com (Forex, ticks), CSV
Debt/Interest Rates

historical time series
www.euribor-ebf.eu (Interest-Rates: “Euribor, Eonia”), Excel download
www.databank.rbs.com (Exchange Rate, Interest Rate, Consumer Price Inflation (CPI), Commodities: “Brent Spot, Henry Hub Spot, I P E Brent crude futures 1-pos, I P E Natural Gas Index, OPEC Fixing, US EIA Crude Imports, WTI Daily”), Excel download
www.ecb.int Interest-Rates and Government Bonds, web tables and partly Excel download
(German) www.boerse-duesseldorf.de (Bonds, daily), Website table only
(German )www.bundesbank.de German money and interest-rate statistics
current
(German) www.baadermarkets.de (Bonds)
(German) www.westlbmarkets.net (2012-07-12: Just went offline, hopefully online again soon), Swaps, Caps, Floors, CSV download
Stock / Indices

historical time series
finance.yahoo.com/(Stocks, Indices), Excel download
www.google.com/finance, Website table only
www.nasdaq.com (Nasdaq), Excel download
mba.tuck.dartmouth.edu (portfolio data), text download
(German) finanzen.handelsblatt.com
www.investopedia.com, Website table only
www.nasdaq.com, Website table only, intraday, daily
www.standardandpoors.com (S&P 500, daily, yearly)
current
finance.yahoo.com (Stocks, Indices)
www.bloomberg.com (Stocks, Indices)
Energy

EU http://www.epexspot.com/de/marktdaten/intraday-handel (German), Website table only
US http://www.gdfsuezenergyresources.com/index.php?id=33 CSV download
General Historical

(German) www.onvista.de (Stocks, Indices, Warrants, ETFs …, daily Quotes) Website
www.indexmundi.com World-wide econometric data and commodities
www.measuringworth.com US, UK, Japan, China with interest rates, GDP, inflation, gold and silver prices, cool long term, Website table only
Sites with Summaries

scraperwiki.com (The community collects free data from the web and converts it into CSV, etc.)
wikiposit (The author collects free data from the web and converts it into CSV, etc.)
Matlab Trendy (The community collects free data from the web and converts it into plots)
Economic data

World

www.indexmundi.com World-wide econometric data
OECD.StatExtracts includes data and metadata for OECD countries and selected non-member economies.
Google Data e.g. Market Capitalization in GDP: Google Data on Marcet Cap in % of GDP
European Union
Eurostat
www.ecb.int
www.destatis.de Statistisches Bundesamt
United Kingdom
www.statistics.gov.uk
United States
Federal Reserve Economic Data – FRED
www.census.gov
www.bls.gov
www.ssa.gov
www.treasury.gov
www.sec.gov
www.economagic.com (Web, Excel download after login)
www.standardandpoors.com/indices/sp-case-shiller-home-price-indices (Shiller-House Price Index)
www.data.gov Public data of all US government organizations
Live Cams

www.boerse-frankfurt.de (German Dax)
Buy Data:

(I did not try any of these, but they look interesting.)

www.cmegroup.com (derivative prices)
www.ivolatility.com (Implied volatilities)
commodities.euronext.if5.com (Cocoa Future, Robusta Coffee Future, White Sugar Future), 15 min delay, XML
www.eoddata.com (End-of-Day Stock), Excel download and more
www.historicaloptiondata.com (Option price data)
www.livevol.com (Implied volatilities)

Trend following EA performance results

I will post some recent performance tables of Brain Trend EA on its default settings og lenght 50. The results show clearly that it performed well on 30m, 1 h and 4 h time frame.

On 15 m time frame it did not perform on any settings.

I somewhat missed the performance because I was focused exclusively on the 15 m time frame and I knew it was not working there. So I am glad with the results because the idea here is not to produce EAs and hoping to find the holy grail by chance ;).

The brain trend is a sound system with its limitations.



От EA tests




От EA tests




I will add the results on 1 h time frame and the 4 hour time frame with the same parameters of lenght of 50.

A you can look the results it is typical for trend following system: the % profitable trades is below 50 % but the average profit trade is bigger than the average loss trade.

As you can see 43 % is very good performance for trend following system.

Also the largest gain (77.4) has to be much bigger than the largest loss (-41.10). However you need to see if all the good results are not due to just one trade.

Also it is important to have a look at the consecutive losses. This is also a critical parameter for trend following trading systems.

In the case they are 6. This is a lot but hopefully the consecutive loss (-132.27) is not very high compared to the biggest profit trade (230.39).

What is a bittle bit surprising of this system is the consecutive profit of wins of 4 (398.89). That is surprising for a trend following system. In fact the brain trend is an upgraded trend following system, I would say it is an impulse following system. When the market state get more predictable a persistent it is able to follow it. Check about the market states analysis.

Well this is not much, but this is what we get from Metatrader as statistics.

Now I will add the screen shots:



От EA tests




От EA tests


So you can argue that the data is not big. And yes it is true. The performance of the system is closely related with the predictability of the current market state. I was thinking about a seasonal pattern but I do not find any clue about it.

The discussion and the download files are here.

Forex Remote Viewing

Can you apply remote viewing for Forex trading? Theoretically Remote viewing can be applied everywhere. Of course it is obvious that the tools will be used to suck a lucrative activity as trading. Historically the first methodologies were developped for the Stock market.

And guess what if you google search those key words that would mean that you had the idea that the remote viewing techniques may be useful for trading. And if you had the idea that means very often that somebody else had the same idea too. Here I will give you a link to a you tube promotion video that matches what you are looking for.

However I will bring the discussion a little bit further.

The video and the course is from Ed Dames. Who is Ed Dames and how is he related with remote viewing.

Major Ed Dames is a distinguished military intelligence officer from United States Army (ret.).

After the declassification of the Project Stargate many of the military personnal went into the private sector.That explains how this and other courses are created.

So with Ed Dames you will get first hand experience in remote viewing. As this is very technical stuff the details are what matters most. So if you are going to put real money into it be serious and learn from the best.

Here I end with the recommendations and I will show the limitations of the method. Check the previous post about the risk.

The problem is related with the multiple time lines. There is a theory that there are multiple time lines and if you get a result you can't be sure that the result is withing your time line.

For more explications you can check this video from Courntey
Brown: 



So who is Courntey Brown? He has a  Ph.D. degree from Washington University (St. Louis) in 1982 in political science with an emphasis on mathematical modeling and he is a leading scholar on the subject of "remote viewing" and he is representing the non profit public research with the Farsight Institute.

So he is another authority in the field if Ed Dames is former military agent and turned toward the practical use and teaching, Courtney Brown is theoretical and scientific.

The discussion is here:

The Stanford Discovery and the remote viewing

The Stanford institute were trying to understand what makes the psychics succesful in their predictions and what makes them damn wrong. They tried everything for spi purpouses even out of body experiences.

As I am from the french school of though and we disnguish in everything two twings all the time I can say that there are two ideas.

The firt way is ESP (extra sensory perception) is a a particular state of mind ans special mind conditions are necessary in order to be a psychic. And you will find none of this in those documents, even if Ingo Schwan uses an alternate mind states.

However in those condition you really cannot understand what is real and what is imagination. On the other hand you are very vulnerable for psychic attacks. Some magick practitionors know that very well.

The other theory is that no particular state of mind is necessary. We are constantly in the flow of information. They call that the matrix, long before the film. What is needed is a process to get the information before the creative imagination take over. They call all picture that is coming in the imagination an Analytical overlay and is most of the time rubish. So you will not find any special meditation techniques. Why? Because there arent any special mind techniques. The only thing you can do is to take bit per bit information from the matrix and record it on paper. And you make more and more iterations. And you process the information before the imagination takes over. There is the secret and that is a BIG discovery and most of the people interested in the new wave are completely unaware if it and they are a simple pray of their imagination and not so friendly non material influences. As traders are particularly vulnerable it is not a good idea to experiment with those kind of stuff, especially if you are not under supervision and control. Anyway it is dangerous.

The truth is ()just an opinion LOL) that we are in a big ocean of information. There is a a barrier between it and us. Any force attack of the barrier is protected (the creative imagination under alternate state if mind). That is why other methods have been developped taking information bit per bit, per bit, hacking it, this is what remote viewing is about.

Have you ever solved a problem in less than 4 seconds? If you did that is probably because you had an access to that source of information.

Read more:

Trading strategies: using computing simulation to maximize profits and to control risk

Download link: 

This is a free e-book from Larry C. Sanders from his website tradelabstrategies.com. On this discussion forum you can read an interesting discussion about it.

Larry C. Sanders addresses the topics of probability, marble game and MonteCarlo simulation. He has also designed a software program TradeSim which he sells at his website. The book can be downloaded at this site for free (this is the bookmark link). This book also talks about the Monte Carlo analysis of trades.

Monte Carlo simulation for trading system's risk control for real newbies

"What is the last thing you do before you climb on a ladder? You shake it. And that is a Monte Carlo simulation" 
Sam Savage, Stanford University

So if we make an analogy the ladder is the result of the trading system's back tests.

Have a look at the picture. Here we have 10 trades of our imaginary trading system, they are numbered from 1 to 10. Each trade is either good or bad, what is important is that we have an equity curve that is formed by those trades.



Here you can imagine we have a result consisting of 10 trades. What we do is that we shaken those results randomly, however no trade is added or deleted. What we do is that we just replace their position randomly. This is called selection without replacement. In other words we change the positions of the trade sequence of the system. 

By doing selection without replacement we duplicate the probability distribution of the initial trade sequence.

If we apply this many times on an initial trading sequence we will get something that looks like that, check the screen shot.

The beginning and the end is at the same point because it is the same trading sequence, but the paths are different.

However the next questions arise, how many permutations we can do? 10, 100, 10000 or 100000.

The practical limits are given by the statistics.

Imagine we have 1000 trades. By calculating the permutations that will give us:

1000*999*998*997*...3*2*1

The number we get is unbelievably big. The number of permutations of 200 is bigger than the number of all atoms that exist in the whole universe. So it if obvious we are not going to do all those permutations.
Hopefully there is a simple algorithm that will help us:


If the probability p is close to 0.5 So the 95 % confidence interval reduces to the following formula:

If we have a flipping coin of 1000 times and we want a confidence level of 95 %. The confidence level will explain how likely the 500 heads is placed within the confidence interval around the estimation.


For the Gaussian distribution we can be 95 % sure that the value is accurate within 3.1 %. With 95 % probability the coin will will fall between 469 and 531 times a head from the 1000 trials you can do.


If we use the formula we get

0.5+1/sqrt(1000)= 0.5+ 0.3162277

0.5-1/sqrt(1000)=0.5- 0.3162277


So we can share that the value is 95 % sure that is accurate within 3.1%.

Practical use of Monte Carlo simulation for traders

So what does it means in practice. In fact the most important aspect of this kind of Monte Carlo analysis is the analysis of the drawdowns. For example with a given confidence level you can say what that worse drowdown can be.

Look again at the shot where are the equity curves. We are going to be interested at the worse case scenario.

Imagine the original system has 500 USD drow down an 1500 USD average profit per year. In our hypothetic example that would be the system with the blue line.

So now we are going to look at the hypothetical equity line with the worst drow down.

If your Monte Carlo analysis show you for example 1000 USD as the worse drowdawn at 95 % confidence level that means that there is 5 % chance of facing 1000 USD drow downs before making any profits. Well if you look at even lower confidence levels the expected drowdown can be lower.


However the worst drow down is not more than the average profit of the system. According to Urban Jaeckle and Emilio Tomasini it is unacceptable to have a drowdown lower than the average profit per year.


The main limitation of the Monte Carlo analysis are that if your initial results are curve – fitted your results will be a nonsense. The Monte Carlo analysis is good only when it is applied for a sound trading system and not to an over-fitted one.

If your trading system is sound or not that is just another thing. The Monte Carlo simulation need to be applied with care but it is a valuable tool for risk control of a sound trading system.


Recommended readings 


Urban Jaeckle, Emilio Tomasini, 'Trading Systems A new approach to system development and portoflio optimization' Hariman house, p.101-108

Farell, Christopher, 'Monte Carlo models simulate all kinds of scenarios' Business Week 2001

Discrete Event Simulation a First course at this link

Range and timing: John Last's Forex Jokers

John Last's Jokers are useful in three games on the market ;) (market states).

For each game (phase) we have one joker.

You can play three games and they come over and over again. Range, Breakout, Trend, Range, Breakout, Trend and so on.

For each game you have one joker ;)

This is a tactic for range daytrading

Here look at this screen shot below.

Here I try to make an accurate timing of the range.

The idea is as follows. Range can be played but we need it to be fairly broad. This is clearly visible on the fractal bands, but also the common Bollinger is also useful.

In the narrow range (from the perspective of fractal technical analysis) is difficult to be played. Why? Because then orders accumulate  on both sides and it is a matter of chance where will break, and the fake break - outs are pretty nasty. We have to wait patiently for a breakthrough, not to bet which way will break. Well the general technical analysis bet for the continuation of the previous trend but on the 5 m time frame this is ... hard.

OK loot at the screen shot again. We have a christmass tree here but if you wait for Santa Claus this is a good thing to do.

1. Brain trend setting 14 (You can optimize the smoothing visually or run the Brain Trend EA in order to get the best performing set on the current market state)

2. Bollinger bands with 20. This is the fast Bollinger.

3. Bollinger bands with 60 period. This is the slow Bollinger.

The idea is to match roughly with Bollinger of 20 on  15 m time grame. So I multiply the period of three (According to Bollinger should do 2.1 standard deviation increase in the period but you need a special indicator to do that).

4. Oscillator-based digital filter and here a simple smoothed stochastic works (on this chart I use a commercial product but nowadays you can find good indicators easily)


Watch for signals from reaching the two borders of Bollingers the fast and the slow. You can use only the slow if you want.

Then use your price action skills, or use oscillators or wait for convirmation from Brain trend.

Even better you can have your individual oscillator based range system.

Or look for overbought or oversold  levels of your favourite oscillator.

What makes this different is that we do not identify a fractal break - out from the FGDI, or iVAR indicator. And not peak in the indicator: variation of the Hurst exponent.

A can add many confirmations of stochastic on the 15 m time frame but it is useless.

The idea here is that we have two independant statistical tools that come together with pattern recognition.

The Bollinger bands are giving a deviation from the central tendancy.
The Fractal indicators need to detect an anti-persistent situation.

Then you can bet for the reversal.


About Money Management seems reasonable following system:

When signal meets the criteria found three items:

1 Close for a small profit to cover the transaction costs
2 Close at the reaching the midline of the 60 period Bollinger
3 When you reach the opposite levels of resistance and support levels of the channel opposite Bollinger.

Position 2 and 3 can have dynamic stf opso Brain The line.



-Be careful with the News



Trend Joker

Never  counter the trend by having  fractal dimension in the RED of FGDI and the fractal bands have to be wildly apart there. Again a brutal reversals are possible but to catch them you should not suppose it but to react ASCTrend or Brain trend are a good choice.



Range Joker 2

Rage divide it into two types. Narrow and wide. Narrow is risky.


Break-out Joker 3

We have a valid break when fractal dimension crosses 1.5. If this is accompanied by a large variation of the Hurst exponent is morethan- a strong signal.

Again Joker # 1.

Entropy Scalper EA with AI

You can download the Entropy scalper with chaotic kernel.

The download is available only for registered and logged users.

The performance can be compared.

The idea:

The idea is to detect as for the fractal spcalper a pocket of predictability. Within this pocket of predictability we are taking a directionnal signal based on the current volatility.

So there are thre main components:

a. The pocket of predictability.

The pocket of predictability is a situation when we have an increased predictability. We do not know why this occurs, we are interested in the fact. And this pocket can be discovered using different tools. In metatrader we have fractal dimension indicators family: FDI,FGDI, iVAR, Hurst exponent, and the fractal scalpers are using then.

Here the entropy scalper is using an entropy indicator. The entropy is another way to measure those mystical pockets of predictability. Here we look for a drop of entropy below certain levels. The default levels are 0.6.

b. Directionnal signal

The directionnal signal is using a special set of indicators. The indicator used is the Entropy math indicator. The Entropy math indicator is a whole story by itsels. This is not a traditional indicator but and it comes from the work of John Conover, you can visit his site for more details. The entropy math is a Metatrader version of his work, the article is called quantitative analysis of high entropy systems.

However we use a set of four Entropymath indicators as inputs and we use a Chaotic kernel in order to optimize the values with the genetic optimizer. Se keeping it simple the Entropy math is an input that is used by a "neural network" (The chaotic kernel with the genetic algorythms is different but let keep it simple.)

c. Market State:

The market state is used trough the stop loss, take profit and live hours settings.

It is obvious that this is a critical component. We use the genetic algorythm to find those values. However it si advised to use your own view of the market and additional tools as the Lyapunov exponent.

And of course take care of the news releases.



Installation:

In the archive there is an EA files and two indicators. If you do not have those indicators you need to install them in order to run the EA

Some idea:

As you can see there are many parameters that are common among all the fractal scalper indicators.

You can check the fractal scalper description.

One of the most important parameters concern the stop loss the take profit and the live hours parameters.

Those parameters are specific for the current market conditions. As I recommend that you use open prices only for optimization (otherwise it will takes a lot of time), you can't use stops below 15 pips.

There are the paprameters if the two chaotic kernels.

You can optimize both or one of them.

x from 0 to 1 with step size 0.01, 0.001 or 0.0001

limit map from 1 to 1000 with step size 1

r from 1 to 4 with step size 0.01, 0.001

EA Gann High Low Activator

The work of Gann is indeed very interesting it is the result of someone who has dedicated his entire life to the markets.

Howevever what we know about him today is not everything he has created. Some of his works never quited the manuscript stage.

I think that he was using everything he can, all the available technology of his day in order to read the markets. I think he was a visionary. Many can't understand but the simple bar charts of today were at the time something completely astonishing.

Yes today we have the summum of all the technical analysis available on internet, most of the readers here have gigabites of technical books and works in their hard - drives.

But on the other hand if Gann had an odge during his lifespan markets over the others the same is not true for us.

The market is something very specific, not all markets are the some and the markets evolve during time. I mean that the most computarized markets of today are fundamentally different from the markets in which Gann has practices his methods.



So there are two difficulties.

1. The Gann works and methods are incomplete (many of his works are not available).

2. Even if they were they were created for markets totally different from the market of today. That means that authomatic implementation is not going to work.



And yes, what can be done is to be fimiliriased with his methods and to have a creative approach.

Some even say that Gann was one of the first guys who actually used algorythmic approach. It is about the Gann high - low activator (now by the way entirely coded in mql and freely available to everybody, in its time that was the edge of the research).

Have a loot at: Krausz: W.D. Gann Treasure discovered



I made my own EA Gann High Low Activator. It is based on the indicator Gann High Low activator SSL from the code base.

You can download the indicator with the EA from here, just click on the download button. You need to install the indicator in order to make it work the EA.

And here the good news are over. Yes I made some testing but I did not find this EA strategy reliable on the recent market of Euro/Dollar. You can make your own tests and share.

Parameters:

The EA is based on the moving average generic EA, that means it shares the generic money management module. However in order to make it work I changed the trading rules a little bit (I do not pretend that I got it right).

So there is only one parameter and it comes from the High Low activator it is the Lb parameter and that is simply the number of bars you use for the computation of the indicator.

The rules can be interpreted as the basic single average system towards the price. Check the picture and you will understand.

If the Close is < the Gann High Low Activator indicator we Sell

If the Close is > the Gann High Low Activator indicator we Buy

DOWNLOAD the EA from here

A typical scam system

Here I will put some citations and codes from a scam system presentation. The idea of those presentations is to manipulate the way you feel about it and not at all to give any arguments or proofs. Even it selects people who actually deserve to be scamed. Why? Because it it stated that the system is being stolen. And they are offered a low price stolen system. No really I think I would have no particular compassion towards their $299. What really is dangerous is to actually trade this system.

But here it is the SYSTEM.

Omni system platinum

I will put an end to all the scams (Nice huh). It is time somebody who has the guts and the strength to tell you the truth.

I have a trading system that for nine consecutive years was profitable. (On the backtest of course).

I was a chief programmer for a hedge fund (believe me please). We were tasked for a mission that has never been accomplished before (lol). The owner of fund was Dr. Cameron Heinz.

This guy (the best guy) was a pioneer in the field of Heuristics and its application in indirecto Problem Solving (that sound great). He is extremely rich. He has built some truly amazing unbeatable system that can accureately predict the market.

Here is how it works:

Parallel hybrid heuristics and parallel optimization. (Anybody knows what is that lol)

At the heart of the system is a database of chart patterns encrypted within the system (who the fuck is going to encrypt pennants and triangles LOL). These patterns are guarded heavily (oh please).

You can get extremely safe trades (everybody says so ;) ). And you will use winning price patterns.

The man who created that is Jonas Kaiser (nice name), one of the worlds most successful day traders (a kind of trading batman). He created 39 specific videos but only his friends are allowed to watch them. The techniques siphon money from the market with almost no risk (nice metaphore nothing more).

We turned each video technique into an algorithm within the database that the system could read. Each algorithm was then encrypted with KG-245A Fifth – generation of encryption (now the newbies are impressed for sure).

The system is so advanced that it actually learns more and more about the market as it is used.

We let it start with an account of &10 000 And within 3 days it had turned that $10 000 into just under $17 000. (Anyway this does not look like extremely safe trades ;))

A HUGE success. (;) I think they have been telling the same for the kamikazes).

It was so successful for the Hedge fund that I was fired. The senior managers do not require the programmers who develop the system (bool shit). I felt cheated and used (now this addresses the personal feeling of the potential scammed buyers, they are good compassionate souls). Now I cannot find a similar job with the same pay grade.

So as I had the 39 secret videos …After six months we made a home based system trading smaller accounts. We call it OMNI.

It was consistently profiting by 20 – 50 pips each day. (Daytraders love those numbers).

I found the system to make $1000 than to travel to the close ATM to take the money. (Well my ATM is just next door).

Now you will get your own copy of OMNI.

I make no apologies it costs $2000 an annual license.

The system makes $5000 even $6000 each day so why not. (well what about the small account and the extremely safe trades, some inconsistency there).

I have 5 people using the system (extremely privileged circle of traders and even two high-profile Wall Street traders (what?!), the idea of this is there is a privileged circle).

Now I am offering a way to profit from the system (Oh I really want it badly now ;) )

I will extend the opportunity to take it to the next level (this is a clear nlp language inducing into hypnosis).

If you had been an owner of OMNI since 2002 you can turn $2000 into $130 000. (of course in the back test I can achieve that on daily basis with almost every free EA).

And $10 000 will end as 1.3 million dollars. (Now the millionaire dream comes into play).

You have seen the inarguable truth (what please say it again I really like it).

You would have done a 2, 3 hours amount of work (hahaha).

And you can remove the profits and play with the house money (a typical gambler’s dream).

Now let see the core components.

Make money without significant effort and time commitment!

We use the brand new parallel hybrid heuristics technology: capable to see the Immediate future with Uncanny accuracy.

You get 3 add-on computational cores:

You have database encryption computational core
Parallel hybrid heuristics computational core
Stringent Purifying computational core (I am truly amazed by the name)


The price is $2 470 for activation fee and the annual subscription is $1 997.
So it makes $4 467.
Now we eat the activation fee + unlimited license. (wow)
You are going to pay not even $1497
You are going to pay not even $997
You are going to pay not even $997
You are going to pay not even $497
You are going to pay not even $297

If you act today it is $197 (Come on give it for free)

The value if the HUGE BONUS PACKAGE is valued at $8637
(I wonder how he gets to those numbers).

Trading NLP

Trading NLP! Does it exist? Definitely trading nlp exists and there are even books dedicated to NLP and trading.

The first question is what is NLP? According to Wikipedia

Neuro-linguistic programming (NLP) is defined as an approach to communication, personal development, and psychotherapy created in the 1970s. The title refers to a stated connection between the neurological processes ("neuro"), language ("linguistic"), and behavioral patterns that have been learned through experience ("programming") and can be organized to achieve specific goals in life.

The leading book for trading application of NLP is "NLP for Traders and investors: Personal Strategies to Give You the Edge Over Those Using Just Fundamental and Technical Analysis" by Terry Carroll.

From historical perspective NLP come with several books having more scientific perspective. The Structure of Magic I: A Book About Language and Therapy v. 1 (Structure of Magic): A Book About Language and Therapy.

Later its creators opted for more pragmatic and commercial evolution. The NLP has been simplifed and dedicated towards to ordinary public.

I think that this was partially (or mainly) the reason for the critical attitude from the scientific community. As you can read the main Wikipedia article this is the main thing that comes "According to certain neuroscientists,[3] psychologists,[4][5] and linguists,[6][7]NLP is unsupported by current scientific evidence, and uses incorrect and misleading terms and concepts."

Even more "Criticisms go beyond the lack of empirical evidence for effectiveness; critics say that NLP exhibits pseudoscientific characteristics,[14] title,[3] concepts and terminology.[6][15] NLP is used as an example of pseudoscience for facilitating the teaching of scientific literacy at the professional and university level.[7][16][17] NLP also appears on peer reviewed expert-consensus based lists of discredited interventions."[5]

OK you can read here as "discredited interventions","pseudoscience" and my favorite "lack of empirical evidence for effectiveness".

So you can ask WHY BOTHER with nlp.

I can structure my opinion as follows:


-I think that when NLP was created it was ahead of its time. As NLP is multidisciplinary (and scientists hate the multidisciplinary approach because that makes them work much harder). I think that pose a real problem of fair statistical evaluation. The reason is that it is too complex and a lot of bias can be achieved mainly by not understanding it.

-The second thing is that NLP is not science, it was developped as a technology. And NLP is technology. So NLP is not a unified scientific hypothesis as for example the Standard model in physics and if you disprove one part of the model the whole thing collapses. NLP is a set of techniques (I prefer the term psycho technology).

So my opinion is that NLP can and should be used pragmatically. That means to focus on a specific technique and approach and to see if it works or not and not to bother with the whole thing (being mostly not proved and criticisezed).

The NLP modelling

The NLP modelling for traders is probably the most central implications in practice. The reason is that trading is difficult and very psychologically demanding. And that may crack psychically even the most brilliant minds.

The ideas is to select the appropriate mind programs used by traders, to analyse them, to copy them and finally to use them.


That is the NLP perspective, in other words the most deep thaughts spoken by the masters are just words, unless you have the knowledge to implement that in practice.'

I really I am not sure but it is completely normal not to understand me for the moment.

The ideas is how to protect your self and to have a clear methodology for that.

That is why I am mostly interested in the modelling and the use of internal ressources part of NLP. The use of anchors and anchoring and conditionning is a valid scientific and psychological process. (Here again I am concerned about the most immediate scientific support and not the scientific validity of NLP in general).


Example of NLP modelling target strategy

So I would give an immediate example, otherwize it may remain totally unclear.

I was asking one trader what is his psychological attitude towards the EA optimization.

His answers is that for him that is a way to compute an optimum strategy. In that strategy the losses are a part of the strategy.

And here comes immediately a psychological strategy for dealing with the losses.

The next question was how he considers psychologically the losses?

The losses are a part of the strategy they are computed in the strategy and they are inevitable.

(So here this is not about reasonning it is about how psychologically you deal with the situation).



The next psychological test is if the losses are within the risk limits of the strategy or not and that need to be computed beforehands.



Then using the NLP you could program to follow that strategy using the typical methods that may be unique for every human being.

So here that is not the truth, that is just a technology to deal with the stress that comes from trading a EA. With the tools of NLP it is possible to incorporate that strategy without the NLP technology those are just words.

Performance booster for Metatrader

http://www.iobit.com/gamebooster.html

I was thinking if I can boost the performance of my Metatrader during optimization of trading strategies.

I found an interesting program for boosting PC performance for enhanced gaming experience. So why not.

Look at this screen shot it looks like there is 42 % increased performance after shutting down unnecessary services.

There is a paid program too by avgm that allows to do such kind of things. It looks like a lot can be achieved just by shutting down unnecessary services.

In the shot I just added the metatrader as a game in order to boost the performance when it is launched.

AVG PC tune up versus Game Booster

The game booster is a free software and it boosts the Windows only when the application is launched. When you close the application the Windows gets back to normal, and that is the feature I like.

AVG PC tune up is a paid service.

My friends who tried it recognized a noticeable performance change.

Sample Code to Export C# DLL to Metatrader

C# developers who want to get their DLL to link to Metatrader now have a means to that end. Using Robert Giesecke's Unmanaged C# DLL Exports template, it is possible to create a DLL that may be referenced from non-Com enabled languages, like Metatrader's MQL4 or other scripting languages available in many trading packages, such as EasyLanguage (TradeStation).

Sample code and a downloadable sample project are available here.

EA performance and fundamental analysis

Is there a relationship betwen the EA performance and the fundamental analysis?

http://www.zerohedge.com/news/ecbs-balance-sheet-hits-new-record-highs-fair-eurusd-value-900-pips-lower

As you can see there is a very interesting correlation Fed/ECB and EUR/USD.

The author says make your bets.

I was thinking if it is possible to do something else. I will write more on that later. For the moment I am making some assumptions.

The idea is that there is a relationship between a fundamental situation and EA. The best example was the EUR/CHF system by vgc.

Here on this correlation there may lie another relationship between a fundamental situation and EA.

We see that there is a big disbalance between a fundamental relationship and the current market situation.

We could hypothetize that we have a disbalance between a fundamentals and the market.

So whenever the market goes back to balance, it will make it in a movement that would be related with volatility. And even more we can hypothetize that we could have a particular market state that has at least short term predictability.

If you follow me, the idea is that whenever we see a special break - out we can turn our EAs on and they will deal with the situation. As the movement would have at least short term predictability and high volatility we can use EA systems that do work in those kind of situations:

-Spinal implant

-Brain Trend

-Asctrend EA

They would work very good in those market conditions when the market goes with a strong movement towards its fundamental balance.



So to summarize:

1.Fundamental disbalance

2. Looking for a shift of the market towards the balance

3. We swith on the impulse following EAs hypothetizing that the movement would be more or less predictable.

4. We swith of the EA when the market gets into balance again (or at least lower the market exposure).

Shark 7.0 EA review

This is a review by a trader of the Shark 7.0 EA.

Pros:

+ Though I didn’t figure out what activates the logic, I like the idea behind. As it places orders only when the market moves quickly, there is a great probability given that either a sell or a buy order will close in profit.

(It is not possible to figure out the logic if it uses Artificial intelligence algorythms)

+ It uses pending orders only. I consider it to be an advantage, as it decreases slippage greatly.

(That is not necessary some brokers still have slippage on pending orders.)

+ trades two currency pairs.

+ It does not open more than one trade at a time.

                                               Cons:



- As SL is placed very close to the market price, dishonest brokers may play dirty games.

(That is important as it is about very close orders to the price. Choose carefully the broker and always always monitor the execution. That is why you need to backtest with your broker tic by tic.)

(And of course you can't have something for nothing everything has its cost, here as thestrategy seeks for the tightest stop loss, that necessarily comes with costs: extra care and control over the execution).



- I am certain that Shark 7.0 will not work with market makers, and results will vary from broker to broker.

(I agree on this, but I would add some market makers not all market makers, I think if you play with 0.01 lots as basic lot instead of 0.1 lot you may have less problems in the first time)



- The final version input parameters are limited to money management settings only. Other parameters are not accessible by the user and can’t be changed. To my mind that’s a bad thing for experienced traders as they don’t have much “space” to maneuver with their settings. Who knows, maybe they change that after seeing this post.

- The user manual does not include any information regarding broker and VPS requirements. That’s not a big deal for experienced traders but clearly, a disadvantage for newbies.



That EA has potential but extreme care need to be used when implemented.

I would add that the quality of the code is guaranteed as the EA is done by experienced traders and programmers.



We would negotiate for EA Shark 7.0 discount coupons for our members even one evaluation copy may be available to one of the most serious contributors on www.beathespread.com.

It is recommended to buy this EA (is someone is interested) and not to search free copies because of the support. The support is a critical feature and without support do not even think to let it trade for you. (Personnal opinion).

PNN for metatrader using Parzen window classification version 2 with kernel smoothing of inputs

This is the PNN using Parzen window classification version 2 with kernel smoothing of inputs. You need to have the PFE indicator.

Here you will file the standard PNN called version 2. And the PNN with money management and kernel smoothing of inputs.

Nevertheless this is a beta version, because I am not sure that the integration of the kernel smoothing with the PNN code is correctly executed.

So this is what we have for now. Anyway the idea is interesting.

In the normal PNN Eric we have as input the difference between:


b[bar]= Close[bar]-Open[bar+AmoutOfForecastBars-1])

The idea was to replace this piece of code with something else and to see how it would affect the EA.

So I replaced this by the kernel smoothing of PFE.


b[bar] = kernel()

So this is the idea. However the number of bars of parameters is still an important parameter because it affects the initial period for training:


TrainingStartTime = Time[0] + Period()*60*AmoutOfForecastBars

Of course we can replace this piece of code by Numbars_for_Training as a parameter, but I chose not to touch this for the moment.


TrainingStartTime = Time[0] + Period()*Numbars_for_Training

Any wise look in the code would be welcome as there is not many native mql code for neural implementations.

DOWNLOAD from here

Linear regression technical analysis

http://www.fao.org/docrep/W5449E/w5449e04.htm

As for me the main model of the technical analysis is the linear regression. The oscillators are not intended to measurecycles, they are intended to measure the deviation from the central line of the linear regression. and yes, when you deviate from those center line there is an increase probability that you will reverse to the center line of the linear regression.

That is the true reason why oscillator tend to work (of course according to the theory).

That theory is completely different from the Ehlers theory of trend mode and cycle mode.



I am not sure that I am really clear, that is why I am giving to the introduction to the video of linear regression.

And yes that is the basic model. Imagine: trend lines, Andrew's Pitchfork theories (look here it is very revelative how he defines the linear regression manually).

The second important model is the heteroscedasticity of the volatility. All the patterns of the technical anlysis are driven by this phenomenon, it is related also with the market state analysis.
Definition of 'Heteroskedasticity'

In statistics, when the standard deviations of a variable, monitored over a specific amount of time, are non-constant. Heteroskedasticity often arises in two forms, conditional and unconditional. Conditional heteroskedasticity identifies non-constant volatility when future periods of high and low volatility cannot be identified. Unconditional heteroskedasticity is used when futures periods of high and low volatility can be identified.

Read more: http://www.investopedia.com/terms/h/heteroskedasticity.asp#ixzz1swlH5Cfh


Investopedia explains 'Heteroskedasticity'

In finance, conditional heteroskedasticity often is seen in the prices of stocks and bonds. The level of volatility of these equities cannot be predicted over any period of time. Unconditional heteroskedasticity can be used when discussing variables that have identifiable seasonal variability, such as electricity usage.

Read more: http://www.investopedia.com/terms/h/heteroskedasticity.asp#ixzz1swlOdQge



The Third important thing is coming from the chaos thoery by measuring the fundamental properties of the price time series. Fractal dimension and Lyapunov exponent.

Those measurements matters because imagine the third window when you are using a limit order. Knowing the fractal dimension will save you to prevent your stop to be hit when the limit order is activated.



So here we are. We can explain most of the common technical analysis by some mathematical models.

By this theory it is clear that the oscillators may be adapted according to the volatility arround the central tendancy.

Do you see really what they are doing ? They measure how far we are going away from the central tendancy. If the central tendacly is going up we are saying up trend, if the central tendancy is going down (down trand), and if it is horizontal we say (range).



Those posts are a little bit long but they are related to the general theories underlying the technical analysis.

We are looking for a kinf of unifiying theory. Why those efforts? Well that is because we see how the linerar regression together with the volatility models are expaining so much of the technical analysis.

We ask ourself what the creators of this or that technical method really see. What is the mathematical underlying reality of what the technical authors really see.

To this we can add the psychology we have seen how the psychology is creating an accumulation of orders at specific places. Then in turn those places act as attraction points and are activated.

All this is forming a very complex soup.

We can observe this but our knowledge as a speculative knowledge is limited.

Nonetheless, speculative knowledge is not perfect knowledge of the phenomenon under inquiry, on the contrary, speculative knowledge is precisely imperfect, partial, fragmentary, as such a knowledge is rooted in the necessity of contingency, which implies the knowledge that perfect knowledge is illusory (not in an epistemological sense but in an ontological one).
Read more: http://fractalfinance.blogspot.de/2011/04/possibility-of-cognition.html