Big Mike's Trading Blog

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

More about Symmetry and my system

I've received quite a few requests recently to share more about my setups, my system "Symmetry", and even my audio files that play the Long or Short alerts from my strategy. I will warn you this post is lengthy and very detailed, but you asked for it!

So let's take the easiest one first, here is a link to the audio files:
It's a simple message for Short's and Long's. I use the AT&T TTS engine so you can make your own easily if you wish.

Download the sounds "Possible long signal" and "Possible short signal" here:
http://www.mgbi.net/ninja/sounds.zip

Unzip to C:\Program Files\NinjaTrader 6.5\sounds

To play them with an indicator or strategy, use the PlaySound command:
PlaySound(@"C:\Program Files\NinjaTrader 6.5\sounds\long.wav");

Alright, now let's talk more about Symmetry:

Symmetry is a NinjaScript Indicator which I wrote to visualize the rules of my strategy. I use the word strategy here to communicate the ideas/theories of when I should be trading, not to imply an actual NinjaScript Strategy. I do not automate Symmetry, I just use it for discretionary trades to help me.

Here is part of the indicator that does the heavy lifting. I will then dissect it below:


Line 57: First, I only want the indicator to operate between 7am and 3:15pm my time. That is because I only want to discretionary trade within those hours.

Lines 59-75: This code just does some cleanup, resetting some stuff. Basically, if conditions are met I don't want a new arrow every single bar. Instead, I only want it to paint an arrow if something has reversed.

Lines 76-96: This is the "look for longs" section. It evaluates multiple variables from my indicator repertoire and decides whether they meet my rules, and if so, paints an up arrow, draws the closing price of the bar, and plays the "possible long" sound.

Line 86: Only paint a long if it isn't already long. See lines 59-75.

Rest should be self-explanatory.

In more detail...
Mike_Trend is the indicator in my second panel which charts my own adaption of CCI. I do plan to give this away, but am still working on it and changing it on a regular basis, so have not done so yet. CCI (yellow line on my chart 2nd panel) needs to be above zero for longs and below zero for shorts, unless the ECO2 has already crossed the zero line, in which case the CCI just needs to be going in the right direction. The customized CCI I use is basically a ZeroLagEMA version of it. Also in Mike_Trend is the histogram which is a my own customized flavor of TrendStrength (download here) using an EMA or LinReg setting (still playing) of about 100, 10. The numbers it outputs is a strength of the trend, for instance a value of 60 means that 6 out of 10 of the prediction models suggest an upward trend. It needs to be on the right side to enter the trade (above/below zero line).

ECO2 is a public indicator. You should have this already if you read my blog. Thanks to zoltran as always for his work. I've blogged about it many times, but basically you are looking for the main line to cross the signal line. An upwards cross is a long, a downward cross is a short. On my charts the signal line is the white dotted line. I use settings of 3,7,21 and have not customized this indicator. Download here. I really enjoy this indicator, before I discovered it I used Blue Wave Trading's BB's Osc but found the ECO2 to deliver better and easier to interpret signals.

TrendBars is my own adaptation of Roonius' SuperTrend. It is what paints the price bars blue or red, and what draws the hash marks for my stop/reversal marker. Roonius' recently released version 2 (download here) of SuperTrend, and in this new version he included most of what I had customized in my personal version. While I still have my own flavor, you can nearly duplicate it with his new release. The general principle involves an average true range and the closing price of the bar to determine if the trend is up or down. My customized version, and Roonius' new public version, takes that further allowing moving averages to be used as well. In my version I've also incorporated a maximum stop reversal limit which I usually have set to 16 ticks. The hash mark (reversal marker) in mine will never be beyond that mark.

DoubleMA is a public indicator I've recently added to my arsenal (remember, trading is war!). I like it so far, and the credit goes to Rollins for the original design. Again my version is slightly customized, but I've posted an early version of my modifications of it on my blog for download. I am using it as more of a support/resistance line with settings of 7 HMA, 45 VMA. I am trying out the rule of "only long above a rising 45", and "only short below a falling 45". So in other words, price needs to close above/below the line and the line needs to be blue (rising, long) or red (falling, short) to trade in that direction.

Recap:

As I've mentioned before, don't worry so much about trying to catch the top or bottom of every move. Instead, focus on the moves that will hit your target, regardless of where you enter or exit them. Remember, if you can consistently earn 2 points a day on the ES you could literally retire. You can throw a lot of contracts at the ES before worrying about liquidity problems, so that 2 points can easily become 20 a day ($1,000 a day) with 20 contracts, or even more.

Mike

16 comments:

Anonymous said...

He Mike,

look at this indicator http://ninjatraderindicators.blogspot.com/search/label/CCI

best regards wh

if you want to use prc, i make following settings:
5 min PRC(1, 576 Bars Back) - 2 Day for Daily Regression (1 Day Devition)
30 min RPC(1, 336 Bars back) - 7 Days for Weekly Regression
240 min PRC(1, 168 Bars back) - 28 Days for Monthly Regression

trades only on 30 min and 5 min.

you can combine all prc in one frame ( i use three --> better for trend trading 5, 30, 240 min and 16 renko to clear out)

1 day a 1440 min * 7 days / 30 min = ...

Big Mike said...

Hi wf,

Yes I already have the AdxCCI. I used it previously in some of my automated strategies with success.

I know many readers on the blog are looking for more on the Polynomial Regression Channel (PRC), but I've not had a lot of time lately to devote to it. Thanks for providing details.

Mike

Anonymous said...

hey mike i zipped the sound file but when i goto ninjatrader to import i goto sound and theres nothing there. help!!!! sam

Big Mike said...

Sam,

This is not an importable Ninja zip file. It is a regular zip file you'll need to extract the wav files to c:\program files\ninjatrader 6.5\sounds

Then you can call them in your custom indicators and strategies using PlaySound.

Mike

Anonymous said...

ok mike thanks but im so lost im not a big computer guy so ill guess if you cant make a video for us dummies ill just not be able to use it lol have a nice day sorry for the trouble ...sam

Anonymous said...

Anonymous,

No video necessary. Uncompress/extract the file to the c:\program files\ninjatrader 6.5\sounds folder on your computer. Done.

If Windows XP, double click the file, copy all of the files inside, go to the folder listed above, paste. Done.

- GK

Anonymous said...

ok i did all that i see them in my sound folder now so does that mean it will aotomatically sont from now on or do i have to change a seeting in ninjatrader? sorry im just a trader not a very computer literate guy.. sam

Anonymous said...

same question I have. Where I need to put above codes?

Anonymous said...

does anyone know how we get the arrows to plot on our charts?

Anonymous said...

dear mike,

at the first thanx for sharing your settings. i hope i have finished my setting to make more gain with small losers. i use multitimeframe (5 Minute, 15 Minute(Weekly and Daily RChannel) and 180 Miunte (Monthly RChannel). All before i do simple trend trading like guppy i do not like cci and so on. but in the moment i impressed. For the 5 Minute Chart i use 6 Range and 89 Tick Charts ... on all Frame run Symbiose to see where the market players goes.

keep it simpel ... and sorry for my small english skills but russian at school was 8 years and english 6 years ... .:)

here my symbiose indicator like an biologian ...

if (CurrentBar < 15)

return;



double upperValue= Bollinger(2,14).Upper[0];
double lowerValue= Bollinger(2,14).Lower[0];
double middleValue= Bollinger(2,14).Middle[0];
double bbwp= ((upperValue/lowerValue)-1)*100;

double EMAvalue = EMA(Close,3)[0] - EMA(Close,5)[0] +
EMA(Close,8)[0] - EMA(Close,10)[0] +
EMA(Close,12)[0] - EMA(Close,15)[0] +
EMA(Close,30)[0] - EMA(Close,35)[0] +
EMA(Close,40)[0] - EMA(Close,45)[0] +
EMA(Close,50)[0] - EMA(Close,55)[0];

double LINE = EMAvalue / TickSize;
double ADXBBCCI= (((ADX(14)[0])/10))*(bbwp*5)*((CCI(20)[0])/100);
//Print(LINE);
if(standard)
{

if( LINE > filter && ADXBBCCI > 0 && ECO2New2(7,4,21).Main[0] > 0)
{
//Print(Time[0] +"Up");
BackColorAll = Color.FromArgb(50, Color.Blue);
counter = 2;

}
else if( LINE < filter*-1 && ADXBBCCI < 0 && ECO2New2(7,4,21).Main[0] < 0)
{
//Print(Time[0] +"Down");
BackColorAll = Color.FromArgb(50, Color.Red);
counter = 1;
}
else
{
counter = 0;
}
}
else
{


if( LINE > filter && ADXBBCCI > 0 && Rising(ECO2New2(7,4,21).Main))
{
//Print(Time[0] +"Up");
BackColorAll = Color.FromArgb(50, Color.Blue);
counter = 2;

}
else if( LINE < filter*-1 && ADXBBCCI < 0 && Falling(ECO2New2(7,4,21).Main))
{
//Print(Time[0] +"Down");
BackColorAll = Color.FromArgb(50, Color.Red);
counter = 1;
}
else
{
counter = 0;
}
}



best regards wh

Anonymous said...

http://img30.imageshack.us/img30/6435/4mike.png

better then words

wh

Big Mike said...

Regarding "where to put the codes" and the other sound related questions. These are just wav files. You need your own custom indicator or strategy to call them. If that is beyond your abilities, please consult a professional NinjaScript programmer. I recommend Roonius on the Ninja forums.

Mike

Big Mike said...

Hello wh,

Thanks for the code and detail, I will review it as soon as I can.

Your screen shot looks good, it looks like you know how to program and how to get your charts setup exactly how you need them -- and that is what is most important, being comfortable with your own rules and trusting them.

Mike

Anonymous said...

Hi Mike,

Thank you so much shareing all of your indicators.

Can you make Symmetry indicator? I don't no how to use these code

Big Mike said...

Hello anonymous,

Sorry, no it doesn't work like that. It's a custom system, you'll need to know how to do it yourself or hire a NinjaScript consultant. I recommend Roonius from TradingStudies.com.

Mike

Anonymous said...

there is all in code on top with some simple modification

for beginning you can chance
BackColorAll = Color.FromArgb(50, Color.Blue);
to
BarColor = Color.Blue

i would see to share

best regards
wh

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