ta01 wilmott.com When BB > Upper band and RSI > 70,Sell signal:

http://www.wilmott.com/messageview.cfm?catid=38&threadid=83988

Hello All, I am generting signals with Bollinger bands and RSI. Sell Signal: When BB > Upper band and RSI > 70 exit Sell signal: when BB < Mean and RSI < 40 Buy Signal: when BB < Lower Band and RSI < 30 Exit buy signal: When BB > mean and RSI > 60 But this happen to be good in rangining market but incur losses in the trending market with this combination. Look First Graph in http://www.trading-naked.com/Divergence.htm In the given link, at 4.37 we saw divergence and the price come down after that. At 4.32 we would have draw trend line joining high point at 4.23 and high at 4.32. Even this could gave us divergence but price rises after that. At 4.32 how would have we knew that price would rises or falls? How to use divergence really in algorithmic trading? Help would be appriciated. http://www.trading-naked.com/Divergence.htm Edited: Mon May 02, 11 at 02:39 PM by humtumiit

Reply Quote Top Bottom

edouard Senior Member Posts: 1127 Joined: Feb 2010	Sat Apr 30, 11 11:40 AM Quote In the attached file did you actually attach a file ? ------------------------- quant corner
	Reply Quote Top Bottom

humtumiit Member Posts: 140 Joined: Apr 2007	Mon May 02, 11 02:39 PM I am sorry. I mean in the given link.
	Reply Quote Top Bottom

humtumiit Member Posts: 140 Joined: Apr 2007	Thu May 05, 11 08:29 AM Does anyone has an idea? How to club Bollinger band with RSI in trended market?
	Reply Quote Top Bottom

Stew Junior Member Posts: 20 Joined: Jan 2011

Thu May 05, 11 10:01 AM Most research suggests that indicators such as Bollinger Bands and RSI are only mildly predictive at best. Usually any predictive benefit is of similar size to the trading costs. That has also been my experience but I'm quite happy to be wrong Usually textbooks would suggest using a shorter length RSI in a trending market to capture the smaller cycles as it is rising or falling. You could use Bollinger Bands to highlight the beginning and end of the trend. Except for very strong trends, a bar won't breach the bands until near conclusion or reversal of the trend. For what it is worth, I often use these type of indicators as inputs to more powerful algorithms. In terms of predictiveness, be sure to examine RSI[2] - my algorithms tend to choose this frequently. Hope that helps.

Reply Quote Top Bottom

humtumiit Member Posts: 140 Joined: Apr 2007

Fri May 06, 11 09:55 AM That's Right, Even in my backtesting with Bollinger bands and RSI, the Rate of return is very less that is being used for paying transaction costs or strategy is making losses. It is not even working with smaller RSI lag i.e. RSI(data,2). In ranging market, it works fine and every trade gives decent rate of return. But one or two bad trades during trending phase eats out all the profit. Is there any indicator or way out to predict the strating or end of the trend? Is there any indicators which can be used solely or in combination with RSI and Bollinger band such that I can avert the loss making trades which eat out all the profit? What are the indicators would you prescribe me to use for algorithmic trading? Edited: Fri May 06, 11 at 10:18 AM by humtumiit

Reply Quote Top Bottom

Stew Junior Member Posts: 20 Joined: Jan 2011

Mon May 09, 11 04:26 PM Ok - 1) Get to learn and use the main technical indicators as they are intended in texts. These may be useful for pre-processing data in the future. 2) Get to understand volume trends and L2 dealbook patterns. 3) Then start looking at intermarket relationships, eg USD/CAD vs WTI. 4) Start researching data mining techniques such as nearest neighbour, neural networks etc. Hope that helps, Stewart

Reply Quote Top Bottom

edouard Senior Member Posts: 1127 Joined: Feb 2010	Tue May 17, 11 12:50 PM Quote 4) Start researching data mining techniques such as nearest neighbour, neural networks etc hello Stew. do you know any valuable study linking together TA indicators and data mining ? thank you. ------------------------- quant corner
	Reply Quote Top Bottom

Stew Junior Member Posts: 20 Joined: Jan 2011	Tue May 17, 11 04:35 PM Sadly not. It's a bit of a slog and quite mathematical. There is a tool named Neuroshell Trader which automates a one flavour of this, but you still need to configure it which once again is a bit of a dark art. www.neuroshell.com
	Reply Quote Top Bottom

edouard Senior Member Posts: 1127 Joined: Feb 2010

Tue May 17, 11 10:10 PM Quote Originally posted by: Stew Sadly not. It's a bit of a slog and quite mathematical. There is a tool named Neuroshell Trader which automates a one flavour of this, but you still need to configure it which once again is a bit of a dark art. www.neuroshell.com and, do you yourself use data mining ? can you provide some hints on how to start searching along ? thank you. ------------------------- quant corner

所有跟帖： 

• ta001 www.ninjatrader.com/support/forum/ wilmott.com -marketreflections- ♂ (252 bytes) () 07/20/2011 postreply 15:47:42

• ta001 SAR01 mytradingsysterm.blogspot.com -marketreflections- ♂ (11328 bytes) () 07/20/2011 postreply 15:59:57

• 飞机在空气中以小于70米／秒速度飞行时），气体亦可视为不可压缩流体 -marketreflections- ♂ (20459 bytes) () 07/20/2011 postreply 16:29:49

• 但对于流场内压力变化较小的情形（如飞机在空气中以小于70米／秒速度飞行时），气体亦可视为不可压缩流体。（空气此时的密度相对变化在 -marketreflections- ♂ (273 bytes) () 07/20/2011 postreply 20:18:33

• 声波是微弱扰动波的一种。在不可压缩流体中，微弱扰动的传播速度是无限大；这是因为这种流体可视为刚体，扰动传播不需要时间。实际的气体 -marketreflections- ♂ (16372 bytes) () 07/20/2011 postreply 20:31:55

• Market breadth,so many institutions and hedge funds act in conce -marketreflections- ♂ (19553 bytes) () 07/21/2011 postreply 11:58:54

• hedgefund01 The AAPL straddle is about 21 dollars;AAPL or GOOG I -marketreflections- ♂ (4997 bytes) () 07/21/2011 postreply 12:05:38

• ta001 samuraitrader.blogspot.com/ -marketreflections- ♂ (90 bytes) () 07/21/2011 postreply 13:10:22

• bidu er During the past three months, analysts have been adjusti -marketreflections- ♂ (3869 bytes) () 07/21/2011 postreply 15:10:02

• bidu01 搜索引擎优化(SEO)、搜索引擎营销(SEM)、ascending contination triangle -marketreflections- ♂ (5067 bytes) () 07/21/2011 postreply 17:21:05

• macd01 大盘60分钟MACD白线和黄线有靠拢的需求，也就是短期反弹开始。一旦靠拢就是短期减仓的最好机会，等待三次MACD张 -marketreflections- ♂ (141 bytes) () 07/21/2011 postreply 15:30:03

• macd01 大盘60分钟MACD白线和黄线昨天出现二次靠拢，预示短期反弹结束。现在MACD第3次开始张开，得等MACD到最大， -marketreflections- ♂ (256 bytes) () 07/21/2011 postreply 15:34:01

• macd01 海豚张开嘴喝水 -marketreflections- ♂ (1323 bytes) () 07/21/2011 postreply 15:47:36

• ta001 esignallearning.com An ADX Volume Breakout Basic Trading S -marketreflections- ♂ (2183 bytes) () 07/20/2011 postreply 20:14:37

• . Most of these puts have traded at the bid price, hinting at se -marketreflections- ♂ (2195 bytes) () 07/22/2011 postreply 13:29:19