Turns out that BZB Trader also saw Carsten’s work on the pivot-based trading system.
BZB writes: “Supporting my on-going research into the value of pivots for forecasting market direction, Cucca recently sent me a link to one of Henry Carstens pivot based trading systems. Cucca also posted the code for a little MeClellan based system (in comments section of his blog) that produces some impressive results.
Henry’s pivot aproach is worth a look and I’ll probably be deconstructing the system later in the week as I explore more pivot based mean regression systems. Henry doesn’t explain exactly how “volatility” is defined, so I’ll just jump in and offers some suggestions.
Today’s offering is a variation of my earlier SD signal line study and simply looks at the value of the PP buffered by a lookback at a Len1 moving average of the PP and converted to a zero line value by dividing the resultant by the stadard [sic] deviation of the range.
Later this week I’ll look at the same theme using the R1-S1 pivot range as well as several other permutations.”
Read the whole article here, including the Tradestation Code: Mean Reversion Pivots
BZB also submitted another piece on this topic here: Pivot Range Reversion
Thank you for taking time to send this in the middle of what you are going through.
take care, thoughts for your family.
Wood: Brett Steenbarger has somehow modified the S1 R1 values to better capture the intraday range due to changing volitility. His new post is located here http://www.traderfeed.blogspot.com/ today. He does not explain what he did, however when I checked his morning values via the feed from @steenbab what appears to change is his R1 (which is my R2); S1 (which is my S2) stays nearly the same. So, the bottom line is that the upper range from the pivot has increased a bit. Brett collaborates with VerSol, so all of this may affect the system tests one way or another.
Just thought I’de mention that before all the testing begins.
Stay safe on the road.
Thanks Manual. This R1 R2 stuff is all new to me so I have to get brushed up on it.
Plus, I’ve never worked on an intraday system so that will require some stretching as well.
We’ll be safe. Cruise control, and I just let the idiots go on by.
Wood all intraday day trading of the S&P futures is based on PP ……….let me know if you got any questions
Wood,
Thanks for the pivot system entry. Neat stuff at Vertical Solutions. How do you folks normally backtest these strategies? I don’t have access to Tradestation which appears to be what most folks use. Any other software packages out there (preferably for free) for backtesting?
Looking forward to the Bamboo updates 😉
Thanks AI. I have your email addy and may send you a message in the near future.
Jorge- If you are interested in backtesting but not sure if it is for you or not, I recommend Stockfetcher. For less than 20 bucks a month you can begin backtesting, albeit in a rudimentary way. But it will give you the ability to test some concepts and get a feel for coding up ideas.
I don’t know of any free packages, but many people use excel, and can create excellent backtests.
As for the Bamboo, it is waiting patiently. I don’t think it wants to short into these oversold conditions.
Thanks Wood for continuing the good work documenting systems during a period of consecutively increasingly insane tapes.
Jorge – you may want to look at a few of these software packages – they are open source so you are pre-warned in case you are ideologically opposed to free software:
EclipseTrader
(I have downloaded this but haven’t used it yet. The problem being that MSFT hates JAVA and actively disrupts their software so that only .NET rules on their platform. AKA 64bit Vista and Java != compatibility. Thank God for VMW so I can run Linux or XP)
Venice
(I have used this extensively and have found that the only problem is that the DSL built inside, called ‘Gondola’ is rather limited.
On the other hand it has features like Genetic Algorithm creation as well as Artificial Neural Net system creation and even exotic stuff like Genetic Program system creation)
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If you, like me, are interested in building automated trading platforms and (consequently) machine learning, then you might want to see Rapid Miner
Max Dama is a great source for possible ideas/paradigms/softwares (such as Matlab) since he’s a college student and not a big roller with access to TradeStation.
Thanks Cuervo for the excellent links. Sorry your comment got hung up and had to be approved for moderation due to the embedded links.
I have got the very first version of the pivots coded and will post it tonight.