Goomboo's Journal

[Mahn]

Can someone explain, for a non-trader, what do these EMAs stand for? Why 10 and 21 and not 14 and 47? Just curious, I've been watching these averages for the past few days and the accuracy at which they predict where the prices are going next is pretty striking.

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[SkRRJyTC]

Can someone explain, for a non-trader, what do these EMAs stand for? Why 10 and 21 and not 14 and 47? Just curious, I've been watching these averages for the past few days and the accuracy at which they predict where the prices are going next is pretty striking.

Its a moving average from the last X periods where the most recent data is weighted more heavily.

http://www.investopedia.com/terms/e/ema.asp

[Crypt_Current]

Can someone explain, for a non-trader, what do these EMAs stand for? Why 10 and 21 and not 14 and 47? Just curious, I've been watching these averages for the past few days and the accuracy at which they predict where the prices are going next is pretty striking.

Its a moving average from the last X periods where the most recent data is weighted more heavily.

http://www.investopedia.com/terms/e/ema.asp

Great answer on the first, least important part of the question.
The SECOND, arguably more important part, is WHY those PARTICULAR numbers.

The answer is so that Goomboo knows how everyone is trading and can adjust his own trades accordingly.

[bitg]

...

Great answer on the first, least important part of the question.
The SECOND, arguably more important part, is WHY those PARTICULAR numbers.

The answer is so that Goomboo knows how everyone is trading and can adjust his own trades accordingly.

I don't think that is fair to say. The advice was indeed to use these numbers, but no one is forced to follow them blindly. Actually these numbers mean absolutely different things depending on the periods one chooses to trade in (ie. hourly/daily bars), something which Goomboo only shared his preference.

Can someone explain, for a non-trader, what do these EMAs stand for? Why 10 and 21 and not 14 and 47? Just curious, I've been watching these averages for the past few days and the accuracy at which they predict where the prices are going next is pretty striking.

I am no expert in any of the fields but as far as i get them the times they cross each other should not be looked at as future predictors, but as synthethisers of the past. As i have observed them, even if they're, at a certain moment, very prone to cross this can change and the "very likely" crossing turns out to _not_ happen. Basically they smooth over the discreet highs/lows changes that happen over time. The higher ema value more significance is given to the precedent and less likely it is to be affected in a sudden market move (to which you may then become exposed).

This is not to say that there isn't any influence if everyone start using the same numbers under the same time periods. But one may achieve very surprising results with totaly different numbers too. Ultimately there is a pair of numbers _and_ period which will be more efficient than any other. My view is, Goomboo advice is generaly very solid not because it predicts what will happen but because it will safeguard from catastrophe.

[Crypt_Current]

As i have observed them, even if they're, at a certain moment, very prone to cross this can change and the "very likely" crossing turns out to _not_ happen.

I've observed same; that's why I usually wait for another candle afterward to confirm the cross.

And I also do not use the numbers suggested by Goomboo.  Sometimes I even change the timeframe I'm looking at (other than just hourly all the time), depending on other factors.  But overall I have to say, the simplicity elucidated by Goomboo's system has instilled a confidence in myself to develop my own personal trading system, and to stick with the game, and I find that as long as I stick to my system (really just A system, no matter how simple/complex), I keep profiting more than I would just buying (or mining) & holding.

There is definite value in OP here and I certainly appreciate it.

[notme]

Somewhere in this thread is a table with back testing results for various combinations of fast and slow averages.  10,21 happens to be one of the more profitable pairs.

[dandirk]

As i have observed them, even if they're, at a certain moment, very prone to cross this can change and the "very likely" crossing turns out to _not_ happen.

I've observed same; that's why I usually wait for another candle afterward to confirm the cross.

And I also do not use the numbers suggested by Goomboo.  Sometimes I even change the timeframe I'm looking at (other than just hourly all the time), depending on other factors.  But overall I have to say, the simplicity elucidated by Goomboo's system has instilled a confidence in myself to develop my own personal trading system, and to stick with the game, and I find that as long as I stick to my system (really just A system, no matter how simple/complex), I keep profiting more than I would just buying (or mining) & holding.

There is definite value in OP here and I certainly appreciate it.

Great piece of advice... I think this method is simple and will make money for those with the patience to do so.  I think I looked back some ways and outside of those stable periods where they pretty much cross back over each other on a slim margin, the method is pretty much tried and true.

[Goomboo]

Re-read this post.

Optimization and the 10 & 21 moving average crossover system

In order to determine the robustness of our trading system, I have decided to see how our parameters hold up when they are varied.  To accomplish this, I used NinjaTrader to do an optimization of a variety of periods for our moving averages and I have graphically shown the results below.

This type of analysis shows us very important information - regions of profitability.  For nearly every technical indicator, there are parameters which you input (such as 10 and 21 in the moving averages), which determine how much data it uses in calculating values.  If you have a trading system which only works with a certain combination of parameters, this is a curve-fit system, or a system which will probably not hold up well in the future.

In order to insure robustness, or its ability to hold up in the future, a system must be rigorously tested across a variety of markets and a variety of settings.  In the chart below, you will see 620 moving average combinations with their respective profitability.  It is important to note that the data has been normalized, so the number you see is meaningless - it is just a comparison to all of the other data points.  Additionally, it is very important not to look for the best value, but rather look for a region of profitability.  Markets change over time and the best results today probably will not be the best results tomorrow.  This said, it is important to try and place yourself in the region in which you will more than likely be able to survive and profit in the future.

-Red = below average
-Yellow = average
-Green = above average







The image above powerfully demonstrates the use of a simple technical trading concept applied to the markets.  When you are creating a trading system, you must question where the inputs came from.  Why did I choose 10 for my short moving average?  Why is 21 a good moving average length?  In order to protect your money, you must begin asking "why" to the decisions you make.  I suggest that you critically analyze, quantify, and backtest every aspect of your decision making so that you can behave in a consistent, confident, and disciplined manner as you trade in the markets.

[smoothie]

Re-read this post.

Optimization and the 10 & 21 moving average crossover system

In order to determine the robustness of our trading system, I have decided to see how our parameters hold up when they are varied.  To accomplish this, I used NinjaTrader to do an optimization of a variety of periods for our moving averages and I have graphically shown the results below.

This type of analysis shows us very important information - regions of profitability.  For nearly every technical indicator, there are parameters which you input (such as 10 and 21 in the moving averages), which determine how much data it uses in calculating values.  If you have a trading system which only works with a certain combination of parameters, this is a curve-fit system, or a system which will probably not hold up well in the future.

In order to insure robustness, or its ability to hold up in the future, a system must be rigorously tested across a variety of markets and a variety of settings.  In the chart below, you will see 620 moving average combinations with their respective profitability.  It is important to note that the data has been normalized, so the number you see is meaningless - it is just a comparison to all of the other data points.  Additionally, it is very important not to look for the best value, but rather look for a region of profitability.  Markets change over time and the best results today probably will not be the best results tomorrow.  This said, it is important to try and place yourself in the region in which you will more than likely be able to survive and profit in the future.

-Red = below average
-Yellow = average
-Green = above average







The image above powerfully demonstrates the use of a simple technical trading concept applied to the markets.  When you are creating a trading system, you must question where the inputs came from.  Why did I choose 10 for my short moving average?  Why is 21 a good moving average length?  In order to protect your money, you must begin asking "why" to the decisions you make.  I suggest that you critically analyze, quantify, and backtest every aspect of your decision making so that you can behave in a consistent, confident, and disciplined manner as you trade in the markets.

Well is there an updated chart? This was posted in feb 2012. Lots more data has come available.

Perhaps time for an update?

[TsuyokuNaritai]

It looks like even better EMA pairs might be hiding off the top of that chart.

Is there any data for 1-12 vs 13-19, or even lower EMA timescales?

[sukiho]

It looks like even better EMA pairs might be hiding off the top of that chart.

Is there any data for 1-12 vs 13-19, or even lower EMA timescales?

I thought Gooboo did post some extended charts but I cant find them now, would be interesting to have the charts updated though if anyone can do it

[vanya1210]

Re-read this post.

Optimization and the 10 & 21 moving average crossover system

In order to determine the robustness of our trading system, I have decided to see how our parameters hold up when they are varied.  To accomplish this, I used NinjaTrader to do an optimization of a variety of periods for our moving averages and I have graphically shown the results below.

This type of analysis shows us very important information - regions of profitability.  For nearly every technical indicator, there are parameters which you input (such as 10 and 21 in the moving averages), which determine how much data it uses in calculating values.  If you have a trading system which only works with a certain combination of parameters, this is a curve-fit system, or a system which will probably not hold up well in the future.

In order to insure robustness, or its ability to hold up in the future, a system must be rigorously tested across a variety of markets and a variety of settings.  In the chart below, you will see 620 moving average combinations with their respective profitability.  It is important to note that the data has been normalized, so the number you see is meaningless - it is just a comparison to all of the other data points.  Additionally, it is very important not to look for the best value, but rather look for a region of profitability.  Markets change over time and the best results today probably will not be the best results tomorrow.  This said, it is important to try and place yourself in the region in which you will more than likely be able to survive and profit in the future.

-Red = below average
-Yellow = average
-Green = above average


http://www.thetradequest.com/bitcoin/BTC_optimization.png

http://www.thetradequest.com/bitcoin/BTC_optimization2.png


The image above powerfully demonstrates the use of a simple technical trading concept applied to the markets.  When you are creating a trading system, you must question where the inputs came from.  Why did I choose 10 for my short moving average?  Why is 21 a good moving average length?  In order to protect your money, you must begin asking "why" to the decisions you make.  I suggest that you critically analyze, quantify, and backtest every aspect of your decision making so that you can behave in a consistent, confident, and disciplined manner as you trade in the markets.

Goomboo, can you teach us how to create those tables in NinjaTrader?

And BTW, why did not you use 11\21?

[virtimus]

Nice simulation :_)

I think I could include such simulation in my bot.

However it would be some signifficant work.

First have to implement "noTrade" mode, then use this mode to generate data (each cell  as I think is an effect of going through some historical data with certain ema params).

It would have even some configurable simulation boundaries ...

[StarenseN]

Goomboo, can you teach us how to create those tables in NinjaTrader?

And BTW, why did not you use 11\21?

This ?! How to backtest BTC/USD with NT? (+ why not 11/21?)

Edit:

Found the answer to backtest here: https://bitcointalk.org/index.php?topic=60501.msg715563#msg715563 (in this topic )

But my last question still stands.

[StarenseN]

How can I generate a fresh new BTC.last.txt like you've uploaded in this post?
- https://bitcointalk.org/index.php?topic=60501.msg716004#msg716004

[bitg]

How can I generate a fresh new BTC.last.txt like you've uploaded in this post?
- https://bitcointalk.org/index.php?topic=60501.msg716004#msg716004

Depends on the source you have.

looking at the first line:

20100104;0.71;0.76001;0.69;0.716;5627

Don't quote me but it appears to be:

YYYYMMDD;OPEN;HIGH;LOW;CLOSE;VOLUME

separated by ";"

You could obtain data to play with here:
http://bitcoincharts.com/about/markets-api/

with the format (unixtime,price,amount)

you would need to, pseudocode:

Code:

for each line
  convert unixtime to YYYY-MM-DD date (save current day)
  check if new day (create new dialy record, save open)
  check if price > high (save new high)
  check if price < low (save new low)
  saved amount + amount (save amount result)
  save close
  update daily record in format (YYYYMMDD;OPEN;HIGH;LOW;CLOSE;VOLUME)

if my initial assumption is correct you would need something along these lines, unless you are able to find historical data on a daily basis instead of trade by trade.

[papamoi]

hi gomboo


hi do you have something for forex/precious metals

i m pming you

[Seal]

Re-read this post.

Optimization and the 10 & 21 moving average crossover system

In order to determine the robustness of our trading system, I have decided to see how our parameters hold up when they are varied.  To accomplish this, I used NinjaTrader to do an optimization of a variety of periods for our moving averages and I have graphically shown the results below.

This type of analysis shows us very important information - regions of profitability.  For nearly every technical indicator, there are parameters which you input (such as 10 and 21 in the moving averages), which determine how much data it uses in calculating values.  If you have a trading system which only works with a certain combination of parameters, this is a curve-fit system, or a system which will probably not hold up well in the future.

In order to insure robustness, or its ability to hold up in the future, a system must be rigorously tested across a variety of markets and a variety of settings.  In the chart below, you will see 620 moving average combinations with their respective profitability.  It is important to note that the data has been normalized, so the number you see is meaningless - it is just a comparison to all of the other data points.  Additionally, it is very important not to look for the best value, but rather look for a region of profitability.  Markets change over time and the best results today probably will not be the best results tomorrow.  This said, it is important to try and place yourself in the region in which you will more than likely be able to survive and profit in the future.

-Red = below average
-Yellow = average
-Green = above average







The image above powerfully demonstrates the use of a simple technical trading concept applied to the markets.  When you are creating a trading system, you must question where the inputs came from.  Why did I choose 10 for my short moving average?  Why is 21 a good moving average length?  In order to protect your money, you must begin asking "why" to the decisions you make.  I suggest that you critically analyze, quantify, and backtest every aspect of your decision making so that you can behave in a consistent, confident, and disciplined manner as you trade in the markets.

Goomboo, can you teach us how to create those tables in NinjaTrader?

And BTW, why did not you use 11\21?

I wouldn't mind seeing this either. Given how much interest this post has got, I'd love for you to teach us more about technical analysis and backtesting in general (not just how to use 10/21 SMA)

[Goomboo]

Well is there an updated chart? This was posted in feb 2012. Lots more data has come available.

Perhaps time for an update?

I don't particularly see the utility of an update.  That chart was created during a different environment and mimics what I have typically found to be true of other markets giving me greater confidence in the results.  If I were to re-create that chart using recent data, it would be skewed towards longer period averages due to the recent run-up in prices.

Unfortunately, not all elements of trading, testing, and optimization can be fully scripted - you've got to rely on discretion at some point and I am doing so by saying that I believe those results are a more true representation of what will work in the long term.

[Goomboo]

It looks like even better EMA pairs might be hiding off the top of that chart.

Is there any data for 1-12 vs 13-19, or even lower EMA timescales?

Yeah, here's another area where I chose to use discretion.  In an environment in which you pay relatively large commissions and the spread is huge, you're going to want to trade less or you will be eaten alive, even if you are correct in market direction.  To directly answer your question, I did test those time periods, but commissions and spread really threatened the results.