Search found 8 matches

by Honeycomb
Fri Dec 14, 2007 12:16 pm
Forum: Trend Indicators and Signals
Topic: How to determine the narrowest point based on the Bollinger
Replies: 4
Views: 5685

the Bollinger bandwidth oscillator would probably be helpful for this, but I can't exactly tell what you're asking.
by Honeycomb
Mon Oct 08, 2007 7:28 pm
Forum: Data Providers and other non testing software
Topic: Where to get accurate historical tick data?
Replies: 16
Views: 12342

One quick and dirty method of data checking to get a sense of the accuracy any tick data source is to form daily bars from the tickdata and then check the high and low versus known good historical daily data. It is amazing what this simple check will reveal about many vendors’ tick data...no matt...
by Honeycomb
Tue Oct 02, 2007 10:34 am
Forum: Data Providers and other non testing software
Topic: Where to get accurate historical tick data?
Replies: 16
Views: 12342

I'm about to spring for the 15yr package. Data is cheap compared to the cost of being Wrong. They also have a .pdf on their scrubbing algorithm which is a good overview of some of the issues that come with high-freq data.
by Honeycomb
Tue Sep 11, 2007 12:12 pm
Forum: Money Management
Topic: How do I reduce risk in this situation?
Replies: 17
Views: 13646

What if it doesent bounce back or fill at your lmt? Then you Lose. :twisted: Seriously though, if you look at traders like Chick Goslin, he often doesn't have a stop on overnight for this very reason. What we're trying to avoid is getting stopped out because of overnight-session shenanigans that ar...
by Honeycomb
Mon Sep 10, 2007 2:28 pm
Forum: Money Management
Topic: How do I reduce risk in this situation?
Replies: 17
Views: 13646

This kind of thing happens in mini contracts pretty often. Big selloff in the illiquid overnight session, then opens way down, takes out a ton of stops and bounces back to normal within a half hour. As was mentioned, not such a big deal for people trading daily bars as opening gaps figure into ATR, ...
by Honeycomb
Thu Aug 23, 2007 12:59 am
Forum: Trend Indicators and Signals
Topic: Follow Leading or Lagging indicators?
Replies: 10
Views: 8904

If $200 is really that big a deal, then it will either do one or the other, and do it hard. There's also a chance it will start to do one, then do the other. Will you be paid a good enough premium for predicting the future?
by Honeycomb
Sun Aug 12, 2007 4:10 pm
Forum: Testing and Simulation
Topic: Some Thoughts on Variance of True Range
Replies: 4
Views: 3468

Whoo, thanks for this thread. I had to sketch out the bars to make it really 'click'. My very simplistic idea for "volatility adjusted volatility" was to apply your favorite volatility measure (SD, ATR,etc) to a chart of the TR, then take the value of that measure, weight it and multiply by ATR. exa...
by Honeycomb
Fri Jul 27, 2007 1:49 pm
Forum: Trend Indicators and Signals
Topic: Jim Simons
Replies: 15
Views: 35370

For me, the odd part was about his models changing weekly. Markets do change, but on a weekly basis? He could be referring to adaptive systems, rolling optimizations, etc. If your entry criteria has the term ATR in it, then isn't your system changing by the week? A simple example, but still. Also, ...