June 2019 Newsletter , teaching an old dog new tricks

[Ward Systems Group Support]

Glad the chart gave you a new area to explore.  I’m also working on volume indicators, as you can tell from the recent newsletters.

Marge

 

[michael]

On further study , my directional signals are not as robust as i would like.

When the market is rallying strongly , my system will loose money as the market makes new highs , it will be short and the drawdowns will be severe .ouch .

I have a gut feeling that the HFT have distorted the volume in the stock market which is why i have never had any luck with them , i never thought of using volume indicators in the futures market but i am guessing that the volume figures might be more valid . If anyone has a view on that , let me know .

Regards

Michael.

[michael]

Well i spent the weekend trying to use the OBV on actual stocks ,

generally it failed , worked for MSFT . Makes me think volume is distorted in Stocks by HFT. I will try some bond futures .

admittedly i only tried 7 stocks but the futures look a better bet .

 

[tovim]

Hi

You can  first predict  the OBV indicator  n  bars ahead first ( regression) then use the the predicted OBV value as input.My experience is, this method  works slightly better than the using the original  indicator as input, because it is less noisy.But  this is only  my experience though.

[michael]

Thanks Tovim , good idea , i will try it .

on the futures i note the sudden change in volume , so maybe add days until the third

friday , as an input for calculating the predicted OBV .