Trading Systems in 'New Concepts In Technical Trading Systems' by J. Welles Wilder

[Bocajunior]

Originally Posted by dpaterso

Boca:

I can't speak for Nick but I have all the systems 'coded' as indicators so I don't have to use Excel to calculate the ASI or the TISAR so it saves LOADS of time. Interestingly enough though: with the SI System I've started to be able to 'pick out' the HSP's and LSP's WITHOUT having to use my 'indicators'. I suppose it's like anything: sit and stare at the charts long enough and you HAVE to eventually 'get the picture'!!! The only thing I have found to be a problem is in the 'judging' of the TISAR i.e. sometimes it may APPEAR that the ASI has gone back on itself by 60 points but when you look at the ASI values it actually has NOT moved that far and I have found myself placing an erroneous order or two to stop and reverse where there should NOT have been one (fortuanately I've been able to pull the orders before they were executed). On the other hand (before I had finished 'coding' the systems into my platforms) I was using Excel no problem on the daily charts to calculate the ASI and did not have a 'time' problem. Are you sure that you're not trying to trade too many instruments at once??? While I doubt it because I figure you'd know better it needs a mention though.

As far as spreadsheets are concerned there is an easy answer for you: EMAIL ME (dpaterso@forexbrokersonline.net)!!!

Dale,
Thanks for the reply.

I'm not over trading but what I meant was if you had to update the worksheets for whichever system or systems that you're using on an hourly or 4 hourly basis, I think it would be a hell of a lot of work would it not?

I am just filling in some worksheets manually just now. How does your coding work and could I use it? I have a demo at GCI and Delta (I'm still struggling how to use that platform).

I will send you an email regarding the spreadsheets as I am sure they would help me to save some time. I'm going to stick to daily's for now.

Thanks again
Boca

[dpaterso]

Good (Sunday) Morning Boca!!!

Glad to see Im not THE ONLY ONE doing some work ('nudge nudge wink wink')!!!

Daily vs shorter timeframes:

Well at both brokers (GCI and Deltastock) it's a breeze really (with or without my 'Wilder Indicators' although OBVIOUSLY it's quicker not using Excel but I would not say 'dramatically' so i.e. it's 'manageable'). At both brokers (and I have to say GCI is the 'better' here) you just use the 'Export Chart Data' function and if your Excel spreadsheet is set up as such it just reads the data file and plots the ASI. The only thing YOU have to do is manually calculate the TISAR and tell Excel what the last HSP and LSP was (there is no way of doing this automatically but it probably takes about 30 seconds to do). The reason GCI's export is 'nicer' than Delta's is purely because GCI outputs the data from 'earliest to latest' whereas Delta outputs the data from 'latest to earliest' which is difficult to manipulate. Having said that just remember that once you have the Excel spreadsheets set up it's only the last period of data that you need to input into the spreadsheet i.e. the previous data does not and should not change. As far as 'helping you' with the indicators is concerned my offer was that whoever opened accounts at either of these brokers and specified me as the IB would get all my 'stuff' in return for doing this.

By the way: I've spent a good deal of time this weekend trying to fathom out WHY this last week was 'not so great'. The main reason was that there were three stop and reverse orders that got executed because of news data but this has not happened before AND THEN IT DAWNED ON ME!!! Four hour charts i.e. not daily as I have always used up until now!!! 'News spikes'!!! Had it NOT been for these things I probably would have ended up well over 28% up on the months starting capital!!! Solution: either back to the daily charts OR follow that 'close all positions before a major news data release' rule!!! I have not decided on which course of action to take at this point yet. A part of me says that it's probably OK to close all positions just before a major news data release because signals to open new entry points are 'a dime a dozen' with the SI System. Another part of me says to go back to the daily charts because opening and closing positions without letting them 'run their course' is 'breaking the SI System rules' as it were.

Delta's platform:

The Delta platform DOES take some getting used to BUT it's worth it in the end I assure you. Although I personally 'like' GCI's platform a while lot more there is no question that Delta's platform, and in particular their charting software and script language, is FAR superior. If you need help on the platform I'm only 'a question away you know'!!!

I just realised that I DO have your email address (I keep forgetting that some of you have sent me emails to my Windows Live email address when I was having 'financial woes'). I'll get in touch with you after submitting this post.

[dpaterso]

By the way:

After replying to Boca above I just remembered something important (which I'm sure I've mentioned before but just in case I have not):

Delta's platform DOES come WITH an (the) ASI indicator. THE FORMULA IS WRONG!!! DO NOT USE IT!!! Those of you who have 'the book' will have no problem in seeing the error and correcting it. The incorrect formula does not APPEAR to change the way that the ASI is plotted BUT certainly DOES affect the value of the TISAR.

[dpaterso]

Folks:

If you're interested:

I've been going through all my 'stuff' this morning getting ready for the week and 'I gotta tell ya' it looks like it's back to the daily charts for me (for forex pairs anyway that is). For this week anyway (as a test)!!! While it MAY seem that you miss intraday movements on the daily timeframe AGAIN you are susceptible to 'news spikes' and this past week these cost me dearly not to mention the fact that I have noticed that there were many stop and reverse signals on the four hour timeframes that were NOT stop and reverse signals on the daily timeframes. Now that I have my CORRECT money management rules in place I reckon this is the way to go for me at the moment anyway (and I MAY even get some decent sleep as a 'bonus')!!! I'm NOT sure that I'm ready to use the VS on the daily timeframes yet so I'm going to go with Gold (and Silver) on the four hour timeframes and see what happens. The VS is NOT susceptible to 'new spikes' because of it's design so 'news spikes' should be of little or no consequence.

[Bocajunior]

Originally Posted by dpaterso

Folks:

If you're interested:

I've been going through all my 'stuff' this morning getting ready for the week and 'I gotta tell ya' it looks like it's back to the daily charts for me (for forex pairs anyway that is). For this week anyway (as a test)!!!

Dale,

First of all, thanks again for all the emails you sent me. Lots of reading, studying and playing around with trading platforms for me over the days ahead.

I got to say that I'm firmly in the daily TF camp. Everybody has their own ideas of this and one hat doesn't fit alll, but analyzing the daily TF gives me the time to do my updating and analysis etc. Maybe one day, when I'm a full time trader and i can quit my day job , I'll have the time for shorter timeframes, but until that time it's dailys for me.

over and out for now.

[chirules54]

Hi Dale.. ready for the week to begin? I know I am. I've decided to keep using the TBP with gold, I've had pretty good results so far and I may add a forex pair to the mix as well, maybe eur/jpy, which I had pretty good results with in the past. As for the VS, I'm going to keep following my open trades and see what happens, I don't want to give up that easily. Aud/jpy is now only up about 170 pips after being as high as +700 pips, and it is pretty close to the sar point. Gbp/jpy is showing signs of improving as it is only down about 80 pips now, after ending last week 250 pips down.

I really want to try out the VS on the 4 hr charts, do you know if there is any kind of function in metatrader that would export data to an excel sheet or something? If there was a way to get data to the spreadsheets faster, or somehow program the VS into metatrader it would be perfect, but I don't have the knowledge for that. One thing I was thinking though, is if the VS sar points coincide with any kind of moving average crossover or something. For example, if a VS sar point usually occurs sometime soon after a certain moving average crossover or another indicator, then I could just set up an automatic alert sent to my mobile phone through alertfx.com and it should work.. let me know what you think.

I've decided to wait a little bit on trading the SI live, just want to track it for a while and see how it goes. By the way, have you seen the ASI indicator for metatrader? I downloaded it and it seems to work, but I'm not sure about the calculation. Here's a link if you wanted to take a look: Accumulative Swing Index - ASI - MQL4 Code Base I think someone brought it up earlier, but I wasn't sure.

[dpaterso]

Yeeehaaa!!! (At least I think that's how you spell it)!!!

Good morning everyone. Hope you all had a great weekend and I also hope that you (we ALL) have a good trading week!!!

Boca:

Daily or not??? That is the question!!! ('Dalespeare' get it? 'Shalespeare')!!!

Yes: it's one of those things that everybody just has to 'agree to disagree'!!! I DO know that the DAILY CLOSE is ALL IMPORTANT when it comes to instruments like the Dow and stocks and commodities but I've never been quite convinced that this applies to forex pairs. All the different timeframes have their benefits and drawbacks I suppose. It's just a question of getting the best 'ratio of benefits to drawbacks' I reckon (well for forex pairs anyway).

Anyway: if I can help some more then give me a shout.

Nick:

I am glad to see that you VS trades are improving again (mainly because I am now long Gold on the four hour timeframe)!!! Let's see what happens.

I do now that you can export data from MT4 i.e. 'History Center' and 'Export' (although I've never used it before so I could not tell you what the file layouts look like).

I can't see any problem with your 'logic' of setting up a sort of 'pseudo' VS alert i.e. by using MA's. Quite a clever idea.

Look: if the truth be told it sure looks like that at some point I'm going to have to 'knuckle down' and code all of this stuff into MT4 BECAUSE it is so popular. I just cannot tell you when or how long it's going to take.

That MT4 ASI indicator that you posted is the one that I posted about a while ago. I checked the calculation back then (whenever it was) and (although I'm no 'expert' on MT4 scripting) it LOOKS right. What they (he) has done is make the 'limit' a variable (pretty much the same thing as my 'PIPFACTOR') and that again is to 'compensate' for the different price quotes from what I gather.

NOW: for some INTERESTING STUFF!!! (I think so anyway)!!!

I spent a good deal of time yesterday and last night having another look at the CSI. From what I can see: you CANNOT use the CSI to 'evaluate' forex pairs UNLESS the way their prices are quoted are the same. For example: 'evaluating' GBP/JPY, EUR/JPY, CHF/JPY, and USD/JPY is not a problem and likewise 'evaluating' EUR/USD, EUR/GBP, AUD/CHF, and NZD/USD (to mention but a few examples) is also not problem and SHOULD give you 'useable' CSI results. You CANNOT however just 'lump' all instruments together and expect the CSI to give you 'useable' results. If you do this: Gold WILL ALWAYS 'come out on top' followed always by the ???/JPY pairs, or Silver, or Oil, and then the 'exotic' pairs. Now I would find it a 'long stretch' to believe that Gold is ALWAYS the 'top' instrument to be trading. Why do I say this? Think about it logically (well my logic anyway): while Gold MAY have a high pip value when compared to a forex pair if it is not 'moving' i.e. has no directional movement then it's 'of use to no bugger' and you're wasting your time trading it. What I THINK I have found is this: ATR values are a 'function' of price whereas ADX and ADXR values are a 'function' of movement. In other words: you CAN compare the ADX / ADXR values for any and all instruments i.e. you CAN 'lump' them all together and get useable results BUT you CANNOT do the same with ATR (remember that the CSI is, amongst other things, a product of the ADXR and the ATR). I have created an Excel spreadsheet (attached). The instruments listed on the spreadsheet are the instruments that I got entry and / or TISAR signals from the SI System last night (daily timeframe). Take a look at the spreadsheet and 'play around' with sorting the instruments by the CSI and then the ADXR(14) and ADXR(7) (note it's the 'Average Directional Index Rating' or 'ADXR' and NOT the 'Average Directional Index' or 'ADX' to which I'm referring). Compare the instruments in each case from 'top down' to the charts and you'll find that sometimes EVEN ALTHOUGH an instrument has a very high CSI rating (when sorted by the CSI) ADX and ADXR are telling you that there is little or no directional movement. No movement: problem with any trend following system (like MOST of Wilder's and other systems)!!! NOW try and sort by the ADXR(14) column and THEN see what you come up with!!! (I included a column for ADXR(7) as well because I figure that it will 'react faster'). You'll notice that all of the ADXR values sort of 'fall into a comparable range' i.e. you're now comparing 'like with like' whereas all of the CSI values do NOT 'fall into a comparable range'. Now in the book Wilder actually does give you two options i.e. either use the ADXR values or the CSI values to select instruments to trade. The difference being that the ADXR is indicative of directional movement whereas the CSI is indicative of directional movement AS WELL AS volatility. While this MAY be a fantastic concept it would appear that it cannot be applied to instruments 'across the board' i.e. the instruments CANNOT be 'lumped' together if you're going to base your choices on the CSI values. It's FINE if you're comparing the CSI values for the Dow, Nasdaq, and S&P or for Soybeans, Corn, and Sugar but you CANNOT compare the CSI value of Platinum with the CSI value of GBP/AUD for example. You'll notice on the spreadsheet that I even tried to include a 'DIVISOR' (loosely based on my 'PIPFACTOR' for the SI System) to give me a 'CSI CORRECTED' value for each instrument but EVEN THEN Gold WILL ALWAYS 'come out tops' and I doubt that this can always be the case for the reasons mentioned earlier. (Also note that for the CSI calculation on the spreadsheet I HAVE NOT included the margin requirement, the value per pip, or the commission, for the simple reason that with forex pairs these values are SO similar to each other for the purposes of the CSI calculation that the difference that they make to the resulting CSI values are negligable in my opinion).

(By the way: the instruments colored 'light blue' are 'exotics' and the instruments color 'light orange', or whatever the color is actually called, are commodities i.e. Gold, Silver (metals???), and Oil).

See what you all think!!!

[dpaterso]

By the way:

Referring to my post #172 (wherein I noted that I could not figure out WHY some points were 'Significant High Swing Points' or 'Significant Low Swing Points' while others were not designated as 'Significant'):

Well I THINK I've 'fathomed it out'. Right at the beginning of the book 'the man' says that a 'SIGNIFICANT HIGH POINT' is 'the highest price reached while in a Long trade' while a 'SIGNIFICANT LOW POINT' is 'the lowest price reached while in a Short trade' SO I've taken this to mean (as it relates to the SI System) that a 'SIGNIFICANT HSP' is the highest ASI value reached while in a Long trade and a 'SIGNIFICANT LSP' is the lowest ASI value reached while in a Short trade. Make sense???

Are ANY of you guys ACTUALLY READING THIS or am I just plain 'dumb' that I get 'stuck' with all of these questions???

[dpaterso]

To Mr J. Welles Wilder Jnr.:

Should you ever 'stumble' across this thread PLEASE feel free to register and 'chime in'!!! I have NO doubt that if we are 'on the wrong track' with all of this that you would be able to 'steer us in the right direction' and such 'steering' would be MOST appreciated!!!

[chirules54]

Good stuff Dale.. I took a look at the spreadsheet and it makes sense. Now the only thing is, since the adxr values can change over time, maybe another way to look at it would be to take the adxr value each day for an instrument, and average it out over say, the last 6 months or a year. I've kind of done this in a simpler way on my charts by drawing a horizontal line at the 25.00 mark on my adx graph and just going back over the past year or so on different forex pairs to see which ones look like they are above 25.00 most often. Maybe you could use some sort of percentage formula, like "days above 25" or something like that.

Also, with regards to the VS, I've been thinking: on the daily charts at least, the VS seems to give good entry points, i.e. the trend has been established and should continue for some time, but with my experience (with aud/jpy at least) it seems to get you out too late. I've been looking at using a cross of the di- and di+ lines on an adx graph as exit points, and it seems to get you out much earlier, I am going to look into this a bit more. So in effect, the SAR point would only be used as an entry point, the di-/di+ cross as a possible exit, and then you could use the SAR point for re-entry. Let me know what you think... I have a few other ideas but it's bedtime for me.. school again tomorrow.