StockFetcher Forums · Filter Exchange · holygrail's "the worlds best intraday setup"<< 1 2 3 4 >>Post Follow-up
guspenskiy13
976 posts
msg #119989
Ignore guspenskiy13
5/22/2014 6:05:57 PM

Big thanks to frsrblch for coding it for TradingView!

Have you guys tried anything? Did anything make sense/maybe work?



frsrblch
35 posts
msg #119991
Ignore frsrblch
5/22/2014 7:22:13 PM

I haven't had the time to look at it yet, but it looks to be very promising.

guspenskiy13
976 posts
msg #119992
Ignore guspenskiy13
modified
5/22/2014 8:11:39 PM

VXX/SPY CCI for the regular TOS charts. I don't like prophet charts too much....and this way you can use it right under any security...pretty neat

As you notice....you can just trade 0 cross..

Hourly divergence from price action is big...

A "come back" from 150+ and consolidation near 50 is big.

Resistance at 100 and inability to reach higher levels is big.

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declare lower;
input price = FundamentalType.CLOSE;
input SPY = "SPY";
input VXX = "VXX";
input length = 14;
input over_sold = -100;
input over_bought = 100;
input level3 = 100;
input level4 = 100;
input level5 = 100;
input level6 = 100;
input level7 = 100;
input level8 = 100;
def price1 = Fundamental(price, SPY);
def price2 = Fundamental(price, VXX);

plot Relation = if price2 == 0 then Double.NaN else price2 / price1;
Relation.SetDefaultColor(GetColor(1));


def linDev = lindev(Relation, length);
plot CCI = if linDev == 0 then 0 else (Relation - Average(Relation, length)) / linDev / 0.015;
plot OverBought = over_bought;
plot ZeroLine = 0;
plot OverSold = over_sold;
plot level_3 = level3;
plot level_4 = level4;
plot level_5 = level5;
plot level_6 = level6;
plot level_7 = level7;
plot level_8 = level8;
CCI.setDefaultColor(GetColor(9));
OverBought.setDefaultColor(GetColor(5));
ZeroLine.setDefaultColor(GetColor(5));
OverSold.setDefaultColor(GetColor(5));
level_3.setDefaultColor(GetColor(5));
level_4.setDefaultColor(GetColor(5));
level_5.setDefaultColor(GetColor(5));
level_6.setDefaultColor(GetColor(5));
level_7.setDefaultColor(GetColor(5));
level_8.setDefaultColor(GetColor(5));


guspenskiy13
976 posts
msg #119993
Ignore guspenskiy13
5/22/2014 8:24:42 PM

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SPY with 0 cross. Profitable, more effective if anticipate fader.....


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QQQ with zero cross.... everything is on the chart.

klynn55
425 posts
msg #119994
Ignore klynn55
5/22/2014 9:09:02 PM

Gus takes a lot of time to switch to new chart system. maybe that is holding up discussions. how you have time for all this research is amazing!

guspenskiy13
976 posts
msg #119999
Ignore guspenskiy13
5/23/2014 12:08:32 AM

Thanks,

I love what I do and I share everything I do. Without people sharing on this forum my skills wouldn't be as good.

I mean...all of this is holygrail/kevin/bartune1/riggs/others...who the hell is GUS?? lol


Anyways, there are couple things that I would like to share....lets start from the smallest to biggest...

Just an observation - STOCH oversold signal with CCI(100) below 80/near 50/fading...seems quite powerful, calls reversals...

Maybe someone will find this valuable... By itself stochastic gives mostly fakeouts - I mean it does show correction, but typically late and typically minor ones...things change when CCI(100) comes down to 50's and holds there for a bit/fades lower...

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Interesting : if you use same set-up on SPY, it won't be nearly as effective. Less noise and doubled market sentiment do magical things truly...
______________________

And here's something new, nice and I believe very effective, will test live tomorrow.

I've been working on this for a bit....but today...I mean...VXX/SPY cross with its moving average is a great tool...

But it 1) lags; 2) gives fakeouts; 3) can jump all over the place intra-day, not calm and steady...

Look at this...this is FRUSTRATING!

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I have tried to use 1 minute chart for the ratio....so there would be 1 minute lag....I've got ridiculous amount of fake-outs and it was not tradable....

But I love 1 minute charts; I love to see every single detail of the market, I absolutely love CCI(100) on them....

So changing the time-frame wasn't really an option to me....so what should I do...? Change the RATIO of VXX/SPY!

What if I change the ratio from being choppy to being nice and calm? I could get clearer signals and use them on 1 minute time-frame...

So I decided to use the triple average crossover method on the VXX/SPY. I don't use the ratio itself. I use three moving averages of it.

Yes, I know that moving averages lag...but guess what... Previously I've used 4-minute time-frame on VXX/SPY... that gave me lag of 4 minutes...

If I use triple ema instead of the ratio on 1 minute chart...I believe I could decrease the lag at least TWICE!

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VXX today. Nice and calm. Use CCI(100) for more aggressive timing. I would look for double cross for the safer entry: short ema with other two and medium with long. Exit could be when short crosses medium, or could be managed with another technique.

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SPY today, changed the style for ema for a better see, but I like dotted with lines much better - it's easier to see the cross/positioning of the averages.

If managed well you could breakeven on false (short) signals and gain more than 0.5% on good ones...

Note: no MAE's because no swings - but notice the bb's squeezes. You have to watch for breakout in any direction - and if the cross has happened before/during the squeeze - that usually becomes a killer signal for a breakout.

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15-min SPY. You can and should use it on longer time-frames. As a possible rule : you can only trade signals which are given in the direction of the longer time-frame.

Notice the BB's crazy squeeze and the cross into the close....VIX is at 12.03....

It's 12:03 AM 5/23/2014 at the moment of this writing and.... THE MARKET WILL DROP TODAY 100%.

Well, honestly I do believe this is better than the simple VXX/SPY ratio cross with its moving average... but I didn't test it yet.

Parameters I found that make sense so far:

1 min:

EMA: 8, 32, 64

15 min:

EMA: 4, 8 ,16

declare lower;

input price = FundamentalType.CLOSE;
input SPY = "SPY";
input VXX = "VXX";
input length = 9;
input length2 = 9;
input length3 = 9;
input displace = 0;
input crossingType = {default above, below};

def price1 = Fundamental(price, SPY);
def price2 = Fundamental(price, VXX);

plot Relation = if price2 == 0 then Double.NaN else price2 / price1;
Relation.SetDefaultColor(GetColor(1));

plot AvgExp = ExpAverage(Relation[-displace], length);
AvgExp.SetDefaultColor(GetColor(5));

plot AvgExp2 = ExpAverage(Relation[-displace], length2);
AvgExp.SetDefaultColor(GetColor(5));

plot AvgExp3 = ExpAverage(Relation[-displace], length3);
AvgExp.SetDefaultColor(GetColor(5));


input symbol = {default "VXX/SPY"} ;
input lengthBB = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_up = 2.0;

def sDev = StDev(data = Relation, length = lengthBB);

plot MidLine = Average(data = Relation, length = lengthBB);
plot LowerBand = MidLine + Num_Dev_Dn * sDev;
plot UpperBand = MidLine + Num_Dev_up * sDev;

LowerBand.SetDefaultColor(GetColor(0));
MidLine.SetDefaultColor(GetColor(1));
UpperBand.SetDefaultColor(GetColor(5));



note:

the script does display the ratio but I make it dark blue so I don't see it. bad scripting...i know.

ENJOY!









guspenskiy13
976 posts
msg #120066
Ignore guspenskiy13
5/25/2014 7:40:53 PM

http://www.trading-naked.com/woodie8_patterns.htm#htlb

great info on CCI for the interested ones!

guspenskiy13
976 posts
msg #120211
Ignore guspenskiy13
5/28/2014 5:01:15 PM

Add this to the code, if you don't need relation to be visible.


Relation.hide();


dustinb
25 posts
msg #120307
Ignore dustinb
5/30/2014 8:24:07 PM

gus! You wrote:
"Just an observation - STOCH oversold signal with CCI(100) below 80/near 50/fading...seems quite powerful, calls reversals... "

Brilliant man. Just brilliant. With my own filter, I incorporated this. Because of YOU, and targeting below that below CCI of 80 with my own filter, my carefully selected picks were bought and sold at a profit and made 60% this week on a total of $5k invested.

I'm not going to be able to sleep this weekend thinking about the parlay adventure that I'm about to embark on.

Thanks hoss. Your entire thread is terrific.

klynn55
425 posts
msg #120308
Ignore klynn55
5/30/2014 9:42:35 PM

dustin: could you give an example? today's trade ?

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