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Digital ACSTrend - page 3

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JohnLast
318
JohnLast  

Install

Please install everything. You need Cycle period too to be installed. And use 4 digits broker.

As a test you need the jjma running.

ChicagoRob
523
ChicagoRob  
John Last:
Please install everything. You need Cycle period too to be installed. And use 4 digits broker. As a test you need the jjma running.

All systems go. Didn't see the CyclePeriod indicator in the JStochastics post, so it wasn't installed.

Rob

JohnLast
318
JohnLast  

adaptive mods

The adaptive JStochastic mod performs better when we have ranging patterns. And the WPR mod is better when we have an established trend and we look for timing our entries.

However now really is not the time to make any benchmark because now the market is not really for trading.

My first position did not work out as intended. However we should not forget that this system is reading the market language and does not predict. In fact right now it is not really for trading. However I have more spare time and I add another shot, what happened after. It is interesting to observe that on 1 h time frame there is almost no difference with the normal ASCTrend however when we zoom in with the same settings at 15 m chart differences start to appear. My temporary hypothesis is that this mod would be better for intra-day trading because it tries to adapt to the market conditions. Unfortunately I cannot beat the double smoothed Brain Trend its main concurrent.

On this shot please see the fractal patterns: I marked the point when we have a change in the underlying fractal structure. To say the truth this indicator is addicting. Once you learn to read the market structure with that without this information I feel blind. OK is there a difference from what happened yesterday and the previous days. The change in the market structure can be very subtle sometimes.

One of the most difficult things of technical analysis is to perceive when there is a change in the underlying structure. Mainly the transition from ranging to persistent movement patterns. I really want to distinguish here the persistent movement patterns from the trend. The trend is a related with what happens from a topological perspective: higher highs and lower lows. The persistent movement is something different it is based on the internal fractal characteristics of the price time series. When we have a trend we have a persistent movement. The inverse is not always true, when we have a persistent movement that market condition not necessarily produces a trend.

Those fractal patterns are necessary to use the volatility cycles. The volatility cycles have antipersitent characteristics. When we have a lot of volatility we expect less volatility and when we have a low volatility we expect a lot of it. So I observed that the volatility and the underlying fractal structure form different patterns when they are combined. I showed the two extreme cases:

low phase space singularity: a lot of volatility and low fractal dimension

high phase space singularity: a lot of volatility and high fractal dimension

Disclaimer:

Please note that those shots do not contain trading signals. They are just for illustrative purposes. The market is really dynamic and several bars after the signal you may have other signal in the other direction.

I am not ready yet with a complete trading system incorporating the previous instruments.

Files:
stoch.gif 31 kb
ex1.gif 31 kb
JohnLast
318
JohnLast  

I Robot: extreme case of low phase space singularity

Here I post one very important historical example. The fractal break - out happens very often. However then we had a really long period of extremely low volatility and accumulation of huge quantity of possible stops. A black swan phenomenon happened.

The High Frequency algorithms got crazy. The underlying fractal structure is an indicator which tells us about the high frequency robot psychology, their psychology is different they have a cooperative behavior (Isaac Asimov: I robot) and the humans usually do not cooperate.

Not only this but they live in another time of the milliseconds.

I believe that this knowledge will enhance the ability of any technician giving and independent tool of analysis.

I know that this may appear as a heavy duty stuff. But this is something completely new I wanted to share in public.

Files:
sing.gif 22 kb
JohnLast
318
JohnLast  

New version with adaptation

Here I add the possibility to adapt to the cycle period of the JMA WPR and accordingly to the ASCTrend Cycle period.

In the original we have adaptation to 1 period. Normally we would make it to a half a cycle. This is the default setting. You can modify the Nyquist parameter from 0.5 to 1.0, 1.5 etc.

Previously the Stochastic version had this possibility. Well the indicator is not polished because I did not wanted because I am afraid not to mess the things.

On the shot you can visually see the difference in the JMA WPR adaptation.

However I still prefer the original settings of 1.0 of Nyquist. That mean means adaptation according to 1 full dominant cycle. However traditionally it is used to a half a cycle of dynamic adaptation. However in ASCTrend the full adaptation contradictory of the theory is producing better results. Really you have less signals but you have timely just the signals that offer the bigger opportunities. That is the idea.

However it is a good thing to have a choice so you can manually modify the parameter.

The same goes for the Stochastic mod there the default is 0.5, you can slow down the mod to 1.0. I consider that the Stochastic works better with a half a cycle of adaptation and the WPR with one full cycle but this is just my opinion.

My observations so far:

The adaptive WPR mod is better when the market is trending

The adaptive Stochastic is better when the market is in range mode with clear oscillations.

However for different markets the Risk settings and the filtering should be set.

The digital filtering allows you to do more things than the original, but sometimes the original is better and should be used as a benchmark.

So we use the original to see if and how it works and based on that information we can use the digital mods to fine tune and adapt to the current market conditions.

Bob Fisher
316
Bob Fisher  

Which is Best in Your Opinion

Hello John,

I came across this thread this am and am very impressed. You have put together many thoughts I have had regarding fractals, Hurst, Neural Net, etc.

Which, in your opinion is the best version for me to install and run in a Demo mode, both from profitability as well as testing for you?

Bob the Tzuman

JohnLast
318
JohnLast  

The best mod

Hi,

I am sorry, I do not have any precise answer. Moreover, those mods are to be considered as prototypes because there is not a supervision by competent coder yet.

I wish I knew the answer.

That is why I am posting them, because I have them as ideas and I am not sure which is the best. I hope you will test it and tell me.

This is not like a commercial project where you have it all, with precise instructions you spend half an hour reading and half an hour watching a professional and convincing NLP video with flying cash, cars, and vain promises and you start winning money.

This is an open source free project.

However I would recommend you start with some basic understanding like reading the book AbleTrend: Identifying and Analyzing Market Trends for Trading Success.

This is the basis. Upon that basis comes the Top Gun approach of TSD (see the original thread).

And my custom approach of the use of the fractal dimension with this system.

However I will not let you like that.

-Install the both with WPR and Jstochastic mod

-Choose your time frame.

-Adjust the Risk and the Len and the Nyquist manually (0.5 or 1.0).

- Make a visual back test.(Sometimes it is better than the machine optimization. Later it will be nice to have an expert and to use the genetic algorithm)

- Start with the demo trading

Use the AMA trend stop if the market is trending

Use the MAMA trend stop if the market is not trending

However I would recommend you start with something that is fully tested for years if you are eager to trade. Like the original ASCTrend thread.

William Snyder
9220
William Snyder  

another version with mama

Hi John,

Thanks for starting this thread always enjoy working with digital type indicators, anyway did a 5 digit mod of your Asctrend2 mama, and changed out the #MAMA to MAMA_v1_modified, the modified is Sensitivity factor applied to fama.

Regards

tools

PS) with this mod include file not needed

ismael360
742
ismael360  
John Last:
Here it is another working prototype. The heart of the indicator is not WPR anymore. This is specially designed for the fully devoted Stochastics fans.

It depends on Cycle Period and the JJMAseries (in the include folder) from the Kositsin library to work.

The default settings are set for 1 h frame. Feel free to experiment.

Hi John

Will these arrows repaint or shift if the time frame is changed?

I was on a 30 min and went to a 1hr and I think the arrows on the 30 min shifted, when I returned to back to the 30 min chart

JohnLast
318
JohnLast  

digital mod

If it concerns the current bar, it is normal because the signal is definitive once the bar is closed.

If you mean closed bars there is a problem and I cannot help you, because everything is OK within my Metatrader.

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