Move the Markets

RWT-009 Posted

Posted on February 9th, 2010
Written by Richard

This one was sparked by a comment one of the team members made the other day, about how coin flips can beat their intuition for where the market is going sometimes. Well, it turns out that in a variety of zero-sum games, randomizing your strategy is the only way to keep a stronger opponent [...]

RWT-004 updated

Posted on February 5th, 2010
Written by Richard

RWT-004 was about storing references to Ninjatrader indicators. In NT7, as of recent betas, there is an OnStartUp() method that is a perfect place to initialize indicator references. So, I’ve updated the document to reflect that.
It’s #4 on the articles page.

RWT-008: Forever is a Long Time

Posted on January 28th, 2010
Written by Richard

I’ve posted RWT-008, which goes over some basic game theory as it applies to a common trading decision: taking profits vs. letting the trade ride. In a canned example, I show how you can mathematically decide which option is best, and also give a way to model the imperfection of the common trader when [...]

Wavelets Integrated into Mathematica

Posted on November 13th, 2009
Written by Richard

Over at the Wolfram blog, they’ve been posting bits from the last Mathematica conference. Very interesting stuff about what’s coming in future releases. The whole post has a ton of content, but one thing that caught my eye in particular:

[...] OK, yet another area. It almost made it into Version 7, but [...]

Interesting Splines Discussion

Posted on November 12th, 2009
Written by Richard

Team Member DanielM brought our attention to an interesting forum topic about the use of splines to track the center of gravity of price moves, and project them forward. I wouldn’t normally consider splines to be that useful for projection (or at least, not more useful than regression methods), but there is interesting talk [...]

Wavelet Demonstration

Posted on September 25th, 2009
Written by Richard

I wanted to give you an idea of what using wavelets is like. This is just scratching the surface, but it’s stuff I happened to already know how to do. Basically, you can transform some data, mess with it, and transform it back. What you get out of it is useful manipulations [...]

The Purpose of Science

Posted on September 21st, 2009
Written by Richard

People have funny ideas about science. They seem to think it is about uncovering the truth, but that’s not really correct. From Wikipedia:
“Science refers in its broadest sense to any systematic knowledge-base or prescriptive practice that is capable of resulting in a prediction or predictable type of outcome.”
One philosophical abyss you must eventually [...]

The EMA and RC Circuits

Posted on September 17th, 2009
Written by Richard

In this installment of my series on the Exponential Moving Average, I point out the relationships between the EMA and simple analog RC circuits. Electronics really isn’t my thing, but I found this to be interesting and kinda beautiful.

How Well Do EMAs Track Parabolic Curves?

Posted on September 7th, 2009
Written by Richard

In the last post, we went over how well EMAs track straight lines in detail. Now, it’s natural to wonder how EMAs do with sources modeled after:
s[t] = m t^2
It turns out, they don’t do very well at all. Here’s our standard 20-ema of the basic parabola with ‘m’ = 1:

As you can [...]

How Well Do EMAs Track Straight Lines?

Posted on September 5th, 2009
Written by Richard

We know from a couple posts ago that the EMA of a constant is equal to that constant. In other words, EMA’s track a DC signal perfectly. It might be natural to wonder how well they do against a straight line.
Recall that a line has a slope ‘m’ and an offset ‘b’ at [...]