NeoTicker Blog

As of 2009 Jan 29 close.

SP_D3A model : going short

What are SP_D3A and SP_TICK16?

As of 2009 Jan 28 close. Extreme reading.

SP_D3A model : long

What are SP_D3A and SP_TICK16?

This is the trading system I presented in Futures magazine, Feb 2009 issue.

Data Setting

1. 5-min ES
2. 9:30 to 16:00 ET

Download

sys_es_mt_vol_01.for

As of 2009 Jan 23 close.

SP_D3A model : going long

What are SP_D3A and SP_TICK16?

I have another article to be published in the coming February 2009 issue of Futures magazine.

It is about classic daytrading techniques and how they work together to produce an edge.

If you are interested, pick up the magazine!

Link to the system code is here

I wrote an article in the Futures magazine some time ago on S&P 500 Tick16 Index and a basic daytrading system that exploit the statistical bias on the index. Here is some supplement information about the concepts.

What is S&P Tick16 Index?

The classic NYSE TICK Index is the summation of a binary function over the last trade of each instrument traded at least once on the day.
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An example of using the Cone Projection indicator in real-life.

Emini S&P 5-minute with 100 days of data loaded. Cone Projection parameter using daily break, lookback period of 90.

What does the indicator do?

It utilizes the moving average by step indicator to figure out the potential high/low at any point in time at the chosen break period. In our example, it figures out how far on average the price would move from open of the day to any particular point in time.

The red lines are the averages and the blue lines are 1 standard deviation away.

How to use the indicator?

The indicator provides a projected path of support and resistance over time based on your break criteria. In the example, the projection is based on Day break, thus you can see the projection for the whole trading day beforehand.

For a range bounded day, travelling from one end of the average to the other often signal completion of a move, as illustrated by the 2nd and 3rd day in the chart.

For a trending day, the market will stay between the average and the one deviation zone, as in the first day shown in the screenshot.

New Features

– IQFeed 4.4.x.x or higher user specified port settings are now recognized
– Trading system core optimized to handle position updates and equity calculations much faster when there are excessive amount of invalid bars in the underlying data series
– System Performance Viewer revised to more effectively using memory for the generation of equity graph
– new indicator Cone Projection

Bug Fixes

– DDE feed based on eSignal Data Manager 10 not working
– System Performance Viewer, switching equity graph resolution to as-is, while there are too many data points to handle, can lead to crash
– eSignal multiple disconnect triggered when user is accessing historical tick data intensively

As of 2009 Jan 20 close.

SP_D3A model : going long

What are SP_D3A and SP_TICK16?

Many traders learned the importance of keeping records of all their trades. There are even software to help you analyze your performance by compiling tons of statistics, etc. I have here a simple spreadsheet that I think will be useful no matter you are a system or discretionary trader.

basicmoneymanagement.xls
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