Linear SVM's for daily range estimation using Rapidminer - page 2
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With a new daily projection, don't ignore yesterdays.
Even with new daily targets, you often find yesterdays projection providing support and resistance. As long as the trading range continues, it it worth while to keep an eye on what was calculated yesterday. Here is a 5 pip constant range bar chart which I will use as an example.
The dashed lines are yesterdays levels...
Executing the script
Storing the data to the repositories solves many issues with Rapidminer when it comes to how Rapidminer deals with metadata. The main building blocks of the script are outlined below but there are quite a few things to explain. Scripts can be nested to run in parallel and in sequence to make best use of multiprocessor machines. This script uses two linear svms for the highs and lows but they are isolated in the sense that the low values are excluded for the the svm that is looking for patterns in high values.
What affects the end result are the inputs and how the values of "C" are optimised for the svm. This will take more time to explain and it dependent on the time series you are looking at. The number of decimal places for example can change the way one optimises for "C".
Once the SVMs have finished calculating the High, Low and pivot values, the data is written to a csv file in the experts/files directory. At that point mladen's new importer will bring in the data to metatrader.
Here is an snap shot from a few minutes ago of S&P 500 futures data calculated early this morning using a value of C=100. Processing time was about 12 minutes. This is an an example of results that can be achieved using linear svms for intraday trading.
Target reached....now what?
As an example, the upside target on EURUSD was just reached. This would be a good level to scale out or start trailing a stop. The hard part, if you think we are going to break to the upside is how to trail. Personally with all the problems in Europe a breakup is more difficult to trade from the long side. On the other hand, with all the bad news and still no breakdown....what can't go down must go up! It does not need to be more complicated than that.
To finish up for today
A small overshoot to clean up the upside stops and a small correction begins. Don't underestimate the break of the upside projection. It signifies a strong market...a weaker market probably would not have exceeded 0.786%. Scaling out does not mean fade.
Good trading to all,
Alex
78.6% from where please?
Am initmitated by all I do not understand about how to set this all up but will give it my full attention from tomorrow til end next week.
Hi Daniel,
78.6% of the projected range.
To clarify, I am not really sure why Fibonacci levels work so well on the projected range. I never use them in normal trading but here the levels seem valid. I only use 21.4% and 78.6. They are the first take profit levels I use.
Friday's projected pivots
Here are the projected pivots for Friday.
Alex
Checking your projected eurusd pivots with this zup wolf wave and watching the 5 slowly slide towards the support line
very interesting.
I am using ALB Mogalef using Simba's settings on constant range bars and that also works well although I am still experimenting with that one.
regards,
Alex