Tag Archives: moving averages

How to use moving averages for potential market reversal in algo trading

 

I just recorded another video on moving averages. This includes the periods of 20 simple moving average, 50 simple moving average, and the longer/slower 200 exponential moving average. This is important to display my video showcases that moving averages that have a healthy divergence mean it has trends which you can trade. With my recent crypto currency in the video, you can clearly see the pair averages tighten up which makes it very difficult to trade automatically.  With these averages and my recent trend (watch  the video here), I am hoping to find this a workable trading condition.

Chart details

In the chart example of the video, you will find new indicators which includes momentum and Relative Strength Indicator (RSI).  I find momentum combined with the trends will tell an interesting story when they work. Don’t forget I can also use what level are generated by Fibonacci Retracement.  I also have a way generate the numbers for momentum using a newly discovered Python package. This can be seen here

https://github.com/bukosabino/ta

I hope this helps as I start working on the Adam and Eve pattern to confirm market reversals. This also involves when a candlestick moves more 50% the next day after an opposing huge candlestick. The name of this line is Marubozu

http://www.stock-trading-infocentre.com/marubozu.html

Thanks Bryan

Using Fibonacci Retracement level for price target moves for support or resistance

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Nictrades notes from April 16 stream including moving averages

Nictrades notes from April 16 stream including moving averages

 

These tips include moving average tips I have been influenced by

This Nictrades is one of the better sources to find out how the pro traders work. You can go into their minds through her weekly streams on Facebook. Here is another set of notes from her session today:

Nictrades April 16

Impulse wave

pull back on moving averages

support and resistance (min/max)

50 % of max drop

Bull flag (shaking out from pattern since people watch for it)

Prevent shakeout of whale traders

Declining wedge looking for higher low

61.8 fib of low to high to set target

golden cross where moving averages go above 200

50% of high to low for target

abc pattern

wedge pattern

create notification/alert for target broken

need to show fib level on fib charts

could have 50% retrace down

upside target using fib 1.618 and 2.618

fibanacci or moving average pullback after trend

can have 50% retrace/pullback

could

2.36 fib retrace level for new target

never full size of position only half the positon when you cannot watch it live e.g. 200 vs 100 on positions

need to break through upside target

can abc correction don’t want bearish patterns/symmetry

apply tight stops in these conditions abvoe

if bear abc flag close open positions

can apply channel in range bound

.236 resistance can be breakout as bullish reversal for breakout , set confirmation level target

take partial at .382 cause it may pull back and 2nd pull back my breaktrough

from max to high take 50% and set fib levels from there

set fib from the high but use from the most recent swing low, set new fibs

head and shoulder levels

1.618 exit target .236 entry

measure fib from candlestick wicks

50% of big candle move up so set new fib there (support is there) ←-good entry (this works well in commodity in gold oil)

can use 50% of DMA 50

always look for support

3 waves for correction so use trendline to confirm breakout

886 fib retrace for big wedge

CCI or RSI to verify momentum for trend. CCI is trigger with line on 14 d moving averages

RSI only for strength

ABC correction on 3rd wave

Kucoin.com trade pro

 

Look for ABC NICTrades crypto currency Bitcoin notes

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Trading Strategies: How to Trade Moving Averages

Trading Strategies: How to Trade Moving Average

Yesterday I posted a video on how to develop trading strategies around moving averages. I was quite amazed on how popular it was which just goes to show how many people actually use it. As we all know, it is used to smooth out volatile pricing curves. There are many other indicators that you can use.

Either way you can check out this video here

Why I now focus on Oanda forex trading API

As we all know, I have been working on the minutia on position handling for selected pairs in arbitrage trading. To be honest, I found a Bloomberg chart that stated the top 10 highest volume equity assets were ETFs. Only three Direct stocks were purchased last year that made the top 10. That made me question on the potential performance with direct stock.  If you pursue this maybe five years ago, I would’ve said yes. It just seems to me that institutional hot capital flows into equity indexes and ETFs these days.

You also need to remember that I am highly limited on my asset selection to trade which is driven by my broker. As you know, I have decided to go live with a well-known but hopefully respectable forex broker Oanda. If you have seen my videos on this broker, you’ll see how narrow their asset selection is. This includes only the major currency pairs, major commodities like energy or precious metal, and some global stock indexes. As a result, my focus will be diverted to these type of assets which means I will start with currency trading. I will then move into commodities and stock indexes. This obviously means I will not be wasting anymore energy on the minutia of how to handle stock pairs when positions are put on. I no longer want to spin my wheels. It is also simpler to deal with forex versus dynamically selected stock pairs.

I made a quick video explaining this further

Lastly, we’re coming up to the deadline tonight of getting all your questions for my options/futures trading make up classes as described below. If I do not get enough, I will not proceed with this event which means it will no longer be covered moving forward. I do this to optimize my time and productivity for 2017. Unfortunately, I am not interested in recycling material that is already posted for my Quant Elite members. 

QUESTION DEADLINE TONITE JAN 19TH MIDNIGHT!! Email them to me when you join and ready!

I have selected Saturday, January 21 at 9 AM EDT. . This is the same time as New York City.

I would also like to mention I am thinking of doing a variety of ‘make up classes’ to make up for the missed tutorials in my Future/Options strategy. This includes critical topics of:
Optimal Hedging
Options on futures
Options examples continue
Additional Options concepts with comparison to Futures    
Option pricing more examples    
Call put parity
Options trades

Coding samples will be offered in a combination of Python and C++.

This will need to start early 9AM EDT.  Let me know what works for you.

This will be available to all my Quant ELITE members.

Not a member, join now!

Thanks Bryan

P.S. If you are interested in this mini workshop, I would strongly recommend to jump on this AS SOON AS POSSIBLE to properly prepare for these topics if you are unfamiliar with them.
P.P.S. Looks like it will be for Sat Jan 21 at 9AM EDT!

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Trading Strategies: How to Trade Moving Averages

Trading Strategies: How to Trade Moving Average

I decided to go back to visiting YouTube videos for basic training on position handling. The first one I found was how to use moving averages for your market entry and exit. It’s so simple with a combination of other indicators under certain market conditions. The tricky part is trying to find the right  combination.

Go here to see this first video tutorial

We’re coming down to the wire of less than 24 hours to get all your questions for Saturday’s event. See the details below to see what I mean:

QUESTION DEADLINE IS JAN 19TH!! Email them to me when you join and ready!

I have selected Saturday, January 21 at 9 AM EDT. . This is the same time as New York City.

I would also like to mention I am thinking of doing a variety of ‘make up classes’ to make up for the missed tutorials in my Future/Options strategy. This includes critical topics of:
Optimal Hedging
Options on futures
Options examples continue
Additional Options concepts with comparison to Futures    
Option pricing more examples    
Call put parity
Options trades

Coding samples will be offered in a combination of Python and C++.

This will need to start early 9AM EDT.  Let me know what works for you.

This will be available to all my Quant ELITE members.

Not a member, join now!

Thanks Bryan

P.S. If you are interested in this mini workshop, I would strongly recommend to jump on this AS SOON AS POSSIBLE to properly prepare for these topics if you are unfamiliar with them.
P.P.S. Looks like it will be for Sat Jan 21 at 9PM EDT! Details coming soon. 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Be a better programmer for quant and HFT? Learn pair trading and moving averages in this HFT open source system

Hi there

I have posted various videos and posting for my QuantLabs.net Premium Membership with source coding walkthroughs to do pairs trading and simple moving averages.
These videos are exclusively available only to my members:

-> GO HERE FOR IMMEDIATE ACCESS <-

I have also posted a video on how to go from a inferior or even mediocre programmer to a world class programmer.  Here are the listings:

1.    Youtube video on Book introduction to world class development in quant, HFT, and financial model development

https://quantlabs.net/blog/2013/02/youtube-video-on-book-introduction-to-world-class-development-in-quant-hft-and-financial-model-development/

2. Intro source code walkthrough of .NET open source trading strategy development and online documentation

https://quantlabs.net/blog/2013/02/intro-source-code-walkthrough-of-net-open-source-trading-strategy-development-and-online-documentation/

3. Investigating open source trading platform source code for simple moving average and pair trading strategy. Live webinar soon?

https://quantlabs.net/blog/2013/02/investigating-open-source-trading-platform-source-code-for-simple-moving-average-and-pair-trading-strategy-live-webinar-soon/

That’s right.  I will be scheduling an exclusive webinar for my QuantLab.net Premium Membership soon.

->  GO HERE FOR IMMEDIATE ACCESS <-

Here are some other Membership benefits.

Thanks Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Moving averages and quant analysis … plus our newest Q&A feature!

Hi there

I’ve just posted 4 videos on moving averages you’ll want to see.

They cover everything from simple moving averages to exponential moving averages … simple strategies … comparisons using different performance metric plots … forex applications for a very popular trading pair … and performance metrics of one simple moving average with and without a volatility filter. There’s even a walk-through of a simple moving average using different time periods with and without VIX (also known as the market’s “fear factor”).

Each video is 15-20 minutes long. So you’re getting over 1 hour of tutorials all featuring R as the open source programming statistical tool.

And that’s why traders like you are joining QuantLabs.net as a Premium member.

To really being applying quant methods quickly, you need to understand modeling with a popular open-source programming tool. That’s what this detailed (and growing) list of video walkthroughs is all about: Monte Carlo simulations … Markov Chains … Autoregressive (AR(1)) and GARCH forecasting … ARIMA forecasting … Pairs Trading … and more!

You also need to understand HFT (high-frequency trading), which is why I put together a comprehensive course featuring 72 different algorithms and 13 separate lessons.

Plus numerous software project solutions for trading and analysis including 30+ daily trading models and an open-source database manager.

We’re also launching public and private webinars that demonstrate shortcuts and tips for various vendor proudcts. And highly-specialized, intensive and interactive webinars hosted over Skype to cover the quant topics YOU want.

Our newest feature: I’ve just added a new capability for members to ask each other questions similar to http://stackexchange.com/ … the community is growing fast.

In fact, it’s no exaggeration that I’m adding premium members virtually every day now. Why not become one of them today?

— > Get immediate access here. <–
— > Get Member Benefits Here. <–

Good trading,
Bryan
Quantlabs.net Editor
“Those that know, don’t tell. Until now.”

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Are You Ready For A NEW Perspective On The Markets? RSI? MACD? Moving Averages? Bollinger Bands? Fibonacci Levels?

Are You Ready For A NEW Perspective On The Markets? RSI? MACD? Moving Averages? Bollinger Bands? Fibonacci Levels?
These are many of the common indicators I have attempted to use the past to trade the Emini’s. Considering that these indicators ALL are based on price, it should be no spry’s that they LAG price and provide a poor roadmap to trade futures with.

The key question is: What Drives Price?

What can you use in your trading that precedes price? If you had such an “indicator” do you think that would give you an edge?

Or does this sound too good to be true… Searching for the holy Grail that we all know doesn’t exist?

Well… Let’s think about this for a moment. What makes up price?

ORDERS…Orders make up price! The buy orders and sell orders make up the order flow.

So, if the order flow could be organized into an easy way to use and interpret trading dashboard, would that not give you a NEW perspective on the market? A NEW perspective that precedes price action?

What do you have on your trading dashboard?
P.S. If You Are Struggling With Your E-Mini Trading, It Doesn’t Have To Be That Way. I Have THE Solution.

 

Fully agree with you that most indicators are useless…nay, misleading. But trend-following indicators like MAs and Paraboloc SAR are quite helpful. If you can discipline yourself not to fight the trend, you have a substantial edge. You can be a consistent winner.

 

Sorry…but I am suspicious of what you are alluding i.e that you have some kind of inside information on orders.

 

.you should be suspicious in this industry! Good for you.

The best thing I can do is show it to you so you can see it for yourself. I would like to extend an invitation to you to join us as a guest in our ES trading room. Here you will see our complete Market Map and Trading Dashboard which is based on order flow.

You will also be able to see actual orders entered! We take real-time entries and exits on the DOM.

This way you can see that we have no insider information, but rather have found the best way of organizing the order flow information that is available to everyone.

Send me an Inmail if you are interested and I will set it up.

Cheers…and keep being skeptical. 🙂

 

One more skeptical in the league. I have seen many a times that how an operator manipulated the price movement by putting false orders. If your system generating a signal with calculation of the strength of buy and sell order it might count the fake and false orders as well.

 

==

I agree with you! The false orders can be a problem and I have seen traders have difficulty with that when trading off the DOM. What is key is how a traders organizes that Order Flow information. There are many ways to do that. Our group has organized it in a very visual (as opposed to mathematical) and so as to avoid the false orders. And that is key!!!

 

I do use the Parabolic SAR and MA on higher time frames…especially in the currencies which tend to have more trending moves. For intraday trading the ES I much prefer using Order Flow since the ES is in a trading range about 70% of the time intraday. Considering this condition, using trend following techniques or indicators that lag the market can be very detrimental to ones trading account!

 

Which platform do you use ?

 

I use Sierra Charts for defining and quantifying the order flow. I have been a Tradestation user for years and I have found Sierra Charts to be excellent! I use DTN IQ for data.

 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Does anyone know of a model using moving averages, RSIs, or stochastics on the broad marke

Does anyone know of a model using moving averages, RSIs, or stochastics on the broad market to help identify when the market is likely to drop more than 3%? Thank you.

 

First, I developed a historical indicator model, which I published at GT in 2002, that portends relatively large magnitude moves on the Spx. I used the model as a confirmation set for the Cronus model, which portends large magnitude moves. The Spx declined 10% in 4 trading days from the date of the published short on 04.17.2002. Later, I extended the model to the hourly charts. Second, Cronus, which is a deterministic, astrophysical measure, was developed specifically to depict large magnitude moves on multiple time frames, and I published a short on the Spx on 04.29.2011. I can provide a copyrighted copy to qualified parties. What is the nature of your interest? John

Check subsequent index volatility (for 1, 5, or 20 days) from any close where a short moving-average of closing prices is above or below a long moving-average of closing prices. I suggest you start with the time-honored ‘Golden Cross’ of 50-day and 200-day averages and then step the parameters around to see how robust the results are (short MAs of 20-100 days and long MAs of 100-300 days).

You could also clearly see that the VIX of the S&P500 (or the S&P100 if you check data before 1990) will be different for the index when it’s trading above/below the moving average crossovers you test. I mean the VIX will be, statistically speaking, provably of a different distribution.

Index behavior is heteroskedastic, but conditional to ‘trend’. Broadly defined, ‘bull’ markets are characterized by lower vol than ‘bear’ markets.

I’m certain that if you defined an algorithm using an MA crossover and some measure of volatility (actual recent realized or options-related e.g. VIX), and maybe some recent return info (ROC over last 20 sessions?), you’d have a pretty good logit model of when the index is likely to drop X% in the next N sessions.

Having built that – the question is: How would you USE it?

, First, Bull markets necessarily being characterized by low vol and vice-versa is not a true statement, and I am presuming that you are referring to equity markets too. Second, markets can experience increasing prices for extremal events too. Look at the first to mid part of February 2011 for the S&P500 as a counter example for the vol statement and an example of a positive extremal event.

you don’t seem to understand phrases like ‘broadly defined … characterized by’ or the concept of ‘general rules’. Let me explain: counterexamples don’t disprove general tendencies, general tendencies are defined statistically by large numbers of data points.

Put another way, you can get occasional bad results when betting on good hands, but in the long run, if you play the odds, you tend to win more money. That’s a general tendency with a set of counterexamples. 🙂

You can see by my previous post that I’m writing about equity indices exclusively, as I assume the original poster was asking about equity indices, given his reference to the ‘broad market’.

So while we have periods of high VIX or examples of volatile moves when the equity index is an uptrend, the fact is that periods of index volatility cluster during periods of downtrending equity indices.

Anybody with five-to-ten minutes, a spreadsheet, and access to Yahoo!Finance can dowload the VIX, the S&P500, calculate the MAs, then measure the StDevs of returns and view the distribution of VIX both in/out of trend, and view for themselves the simple truth that vol is trend-dependent.

Best of luck with the astrophysics!

Thank you for your valuable time. When doing proofs, only one counter example is needed to disprove a general statement, although I will present another in a moment. Thank you for your education on statistical analysis. I had taken some Phd level classes at GT, which included multi-variate statistical analysis, so I will try to keep up with your explanations. Thank you for the education on money management, although I did write a thesis on money management that incorporated Ralph Vince’s Optimal f.
First, I am presuming that you have performed runs test that support your statement on multiple time frames with p-value less than 5% to support your negative one correlation statement, although I would bet that is not the case, and I am not a betting man. Bill, I am not here to pick on you because most folks make the same statement that the IV increases as prices go down. Second, a distributional test will not necessarily reveal the significance level of the correlation between the series. I am referring to your statement comparing the distributions, as a test of correlations. Counter example #2……The Vix reached a high of 19.07 on 4.18.2011 with the Spx low at 1295.58, and the Vix reached a high of 19.29 on 5.6.2011 with the Spx at 1335.58. Clearly, the Vix is higher on a daily basis with the Spx 40 points higher. Counter example #1…..the Vix closed at 15.93 with the Spx close at 1310.87 on 2.4.2011, and the Vix closed at 16.43 with the Spx close at 1343.01 on 2.18.2011. Clearly, the Vix was at a higher level with the Spx at a higher level in both cases. I could go on ad nauseum with counter examples before even starting the appropriate test for correlations. Also, I posted on Twitter a Spx long@1298 at 12:32 EST on 4.18.2011, and I have a copyright of a Spx daily short for 04.29.2011 with accompanying Cronus measures through May 2011. Note, I did not say that the daily short would last throughout May 2011. For qualified individuals, I will forward the copyrighted copy to support my statements. Folks, thank your for your time

Difficult to find a model that turns that fast without getting in and out so much during the trend it’s easy to end up losing in a nice uptrend. Certainly you can try some filters like only happens after a certain amount of previous uptrend or a range expansion and a million other ideas. I had some success with key reversals under some conditions. So I think it can be done just not every 3% move.

all the luck in the world in his quest for a trading signal possessing 100% win rate. Apparently he has provable hits twice in 10 years with his model. We mere mortals will have to labor on with our general tendencies, since trades that come around twice in 10 years make for rather dull intervals, assuming zero losers….

rmchair theorists aside, any member of this group with a decent model for such is not going to just disclose it in a free and open forum.

Back in the 90’s I sold some of my models and trained fund managers and traders, but I was paid handsomely. This I did in addition to running my own funds and was like writing calls against my models.

In the 80’s and 90’s I also used to buy models and was an active member of Club 3000 (a forum for discussing technical models).

One of the platforms for selling trading systems is still around although the founder John Hill has gone off to set up his own funds… Gibbons Burke also used to be there.
http://www.futurestruth.com/http://www.futurestruth.com/top10spsystems.htm

Bob Pardo did the same, but he only sold his own systems and they were crap. Larry Williams models left Bob’s in the dust. All these models are relatively simple blunt instruments, but some have proven the test of time.

Here are some pointers though…
As inferred by Bill above, Financials tend to panic down, whereas Commodities panic up. FX can go either way… but this isn’t the key issue as John indicated. None of my current models have directional bias (why is a whole other discussion though).

Equity indices as an amalgam of diverse underlying instruments tend to trend with greater volatility than other more homogeneous markets. For this reason (and the contract sizes) I have never traded equity indices on a time frame longer than 3 days (I generally day trade).

For this reason I have generally found moving averages inappropriate for equity indices as they lag too much. Even methods such the Turtle style channel breakout does not work well in the equity indices (or a combination of both), despite working in Bonds et. al.

As for overbought/oversold indicators like the RSI, the problem there is over-fitting. If you are only looking at single time frame data I do not believe you will be able to find a statistically robust model using overbought/oversold indicators…

To spell it out, if you want to use overbought/oversold indicators you will have to work with multiple time frames, otherwise I suggest you move your investigation to short-term volatility breakout… or move into the more complex areas of, cycles, waves, harmonics and chart patterns, but as John will tell you, this can be a very, very long and arduous path before you get ANY reasonable results.

I’m sure John will confess it is worth it in the long run. But very few traders I find have the tenacity and attention span to pursue this path, which of course means there are still good profits for those on this path… As for the basic channel, volatility and moving average models… there are a lot of people using those methods reducing profit any new player can pull out using them.

P.S. If you want to rent some black boxes you can have a look here…
http://www.collective2.com/

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!