Big Mike's Trading Blog

Day trading futures, discussing money management and trade management techniques, and more

Polynomial Regression Channel

A while back I discovered this indicator and hired a programmer to do the conversion from another platform. The results are many times very accurate, but as with any indicator, it is not a holy grail by itself :)

I've been working on improving my adapted indicators for Trend, and thought I would post a couple of screen shots showing the Poly indicator and the trend indicators I am working on.

I need a few more days before I post them to the blog for download. Subscribe so you'll be informed once they hit!

Here is a 6 range chart:



Here is a 5 minute chart:



Here is a my current desktop, 5m, 6 range, 233 tick. Note how price bumps off the poly, and runs to the next level.



I would show you a shot during cash hours, but the historical plots don't work very well for the poly indicator (best real time).

There is a discussion on the NinjaTrader forums here:
http://www.ninjatrader-support2.com/vb/showthread.php?t=16318

The thread also includes a free ported copy of the indicator (I have not tried it). Credit goes to scjohn for the free conversion.

Mike

16 comments:

Anonymous said...

Hi Mike,
nice place you started here!
looking forward to your postings + some interessting discussions :-)
cu soon
max-td

Mike said...

Hi max-td,

Thanks! It is brand new, but I hope to share a lot of info, videos, and downloads.

Mike

Anonymous said...

Hi Mike,

thanks for create this blog. What a coincidence, we are in the same way, we hope you can share with us more info about your system.

Also i would like to ask you, if you know how we can get for Ninjatrader the VIX, Advance/Decline and TICK.

Thanks

Mike said...

You can get VIX and $TICK, $TRIN, etc, all based on your data provider. I know it is available with IQfeed, but not Zen Fire.

Mike

whself beginner said...

hi mike,

i work with a 5, 30 and 240 minute chart and i am suprised, what i see. now i see what i before never see.

best regards

Mike said...

Hello whself beginner,

Yes the poly chart is very interesting. Do keep in mind it will paint perfect bars for the lookback period, and in real time it will shift those bars to match the exact regression.

Still, it is very useful indicator for finding patterns like you have mentioned.

Mike

whself beginner said...

he mike,

today i played with tick and time series.
look at 150 sec., 5 min, 30 min and 4 hours or
34, 89, 233 and 640 ticks (fibonacci).
if crossabove or crossbelow close/price on
ppc(1,250,2) && ppc(4,250,2) entry
exit what you want. it looks good.

best regards from germany

Anonymous said...

i forget, to confirm a signal use 2 frames.

best regards whself

Anonymous said...

http://img204.imageshack.us/img204/751/prc.png

Mike said...

whself beginner,

Hello from the USA! :)

Glad to hear it is useful for you, keep us posted on what you find and your trades!

Mike

Anonymous said...

he mike,

use an screenrecorder to make a session video, then you can see how the indicator is repainting.
i use degree 1 and 3 ( x and x³) simple math. when you have degree 4 also for the coeff. x*x*x*x is to sensitiv. best results with deegree 1 on small range or timeframes with small gain (10pips).

best regards wh

Anonymous said...

he mike

here my new settings:
i use 2 chart (i think i have finished, i hope so).
main chart is 4 minutes and confirmation chart is 16 minutes --> no range, renko, tick and so on.
main and confirmation chart must generate the same signal at the same time.

i changed some line of polynomial code for
3 zones: supertradezone, tradezone and nontradezone --> see image

short explanation from wiki

Fitting lines and polynomial curves to data points

Let's start with a first degree polynomial equation:

y = ax + b\;.

This is a line with slope a. We know that a line will connect any two points. So, a first degree polynomial equation is an exact fit through any two points.

If we increase the order of the equation to a second degree polynomial, we get:

y = ax^2 + bx + c\;.

This will exactly fit three points.

If we increase the order of the equation to a third degree polynomial, we get:

y = ax^3 + bx^2 + cx + d\;.

This will exactly fit four points.

for more information please contact over ninjaforum ...

whself beginner

JS said...

HI Mike. Did you mention somewhere you run your OWN version of PRC that you paid to have coded? Wonder if you would share how this differs from the ported version that is on Ninjatrader Forum?? Can email me if you do not wish to share here. Thnx J

Big Mike said...

Hello whself beginner,

Have you found that using 4 degrees is beneficial? Do you have a modified version of the code you care to share?

Mike

Big Mike said...

Hello JS,

I am not sure what the differences are between my version and the public version I've listed (on ninja forum). I imagine the basic math between them is the same. I know that some people (I think eDanny being one) contributed some extra work to the public version for a overbought/oversold type region.

Mike

Anonymous said...

He Mike,

4 degrees is useless for me. the repainting factor is to big.
Deegree: 1
Period: What You want ? 7 Days
StrdDev 0,618
StrdDev2 1,618

Show ChannelSize SQH2 - SQL2
DrawRegion beetween SQH1 - SQl1 --> No Trade Zone ...

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