Tag Archives: EasyLanguage

Why I am not a big fan of MQL4 or trading platform scripting

By Paul | Published: February 8, 2010
I spent most of 2008 trading futures and developing automated systems on Tradestation.  The futures trading didn’t turn out so well as I lost 40% of my account and had to call it quit.  My quant development work on the other hand, was coming along slow but steadily.  However, since I couldn’t bear the monstrous [...]
Posted in Quantitative Finance | Also tagged MQL4, programming | Leave a comment

Departed TradeStation and going the Ninja Trader path

By Paul | Published: October 23, 2008
I have worked with TradeStation for a few months earlier this year.  During that time, I worked for a few hours every single day on developing automated strategies and day trading on it.  I thought TS was very good for use as a day trading platform.  Particularly now that I’m using ThinkOrSwim, I feel the [...]
Posted in Automated System, Quantitative Finance | Tagged EasyLanguage | 2 Comments

2MA w/ ADX and disappointing realization

By Paul | Published: January 8, 2008
Another day, another strategy. For the past couple of days, I’ve been working on the 2MA cross with ADX confirmation strategy for ER2H08 1200 sh/bar. Basically, an HMA(Low, crossing over EMA(Low, 24) as the trigger. Condition2 is that the current high is highest of past 3 bars. Condition3 is current ADX is also highest of [...]
Posted in Automated System, Trading Strategy | Tagged EasyLanguage | Leave a comment

Using new MA algorithm to rewrite old indicators

By Paul | Published: January 6, 2008
Seeing that many indicators use a MA for calculation. It may be possible to use new MA algorithm to improve on their calculation. For example, the RS in RSI is something like RS = EMA(up days) / EMA(down days). We could change it to RS = HMA(up days) / HMA(down days). Since HMA is much [...]
Posted in Quantitative Tools | Also tagged indicator | Leave a comment

New moving average

By Paul | Published: January 6, 2008
I downloaded Hull Moving Average, Adaptive Moving Average, and a Kalmann Filter today. In the figure, the blue/red is HMA(8), cyan is AMA(10), yellow is EMA(9) as comparison. Notice that HMA is super fast and follows the price closely. AMA lags more but does a good job of smoothing outt the noise. EMA is as [...]
Posted in Trading Signal | Also tagged indicator | Leave a comment

Filtering out the whipsaws

By Paul | Published: January 4, 2008
Whipsaws in pricing is the archilles’ heel in trend following system. As demonstrated by the previous 3 trading strategies, once the price is in a narrow trading range, trend following systems would trigger many erraneous trades to eat away the account. An idea I’m having is to use ADX to filter out some of these [...]
Posted in Quantitative Finance | Tagged EasyLanguage | Leave a comment