FX TRADING SYSTEMS MARNEY VOLUME INDICATOR™
input: avgLen(10), mins.
in.session(1440), autobars(True), upcolor(cyan), dncolor(red); var: start(0), end1(0), end2(0), x(0), p(-1), count(0), avg(0), barsinday(0), DayNumber(0); array: xv[199,1440](0);
if bartype 2 then begin
start= (Sessionstarttime(1,1)); end1= (sessionendtime(1,1)); end2= (sessionendtime(1,2));
value1 = timetominutes(start); value2 = timetominutes(end2); if start > end2 then value3 = 1440+(value2-value1);
if start end2 then value3 = -(value1-
value2); if autobars = false then value3 =
mins.in.session;
barsinday = ceiling(value3/ barinterval);
if d<>d[1] then begin if count=barsInDay then begin p=iff(pfor x=1 to barsInDay
begin
xv[p,x]=ticks[barsInDay+1-x]; end;
end; count=1;
end else count=count+1;
if xv[avgLen-1,count]>0 then begin
avg=0; for x=0 to avgLen-1 begin avg=avg+xv[x,count];
end; avg=avg/avgLen; plot2(ticks,”ticks”,default
,1); plot1(avg,”avg”,yellow,defau
lt,1); end;
if close > open then setplotcolor (2,upcolor); if close open then setplotcolor (2,dncolor);
end;
if bartype > 1 then begin avg =
averagefc(v,avglen); plot2(v,”ticks”,default
,1); default,1);
if close > open then setplotcolor (2,upcolor); if close open then setplotcolor (2,dncolor);
end; Copyright Caspar Marney 2010 © Copyright Caspar Marney 2010 ©
if close > open then setplotcolor (2,upcolor); if close open then setplotcolor (2,dncolor);
end;
if bartype > 1 then begin avg = averagefc(trueran
ge,avglen); ,default,1);
plot1(avg,”avg”,yellow, default,1);
plot2(truerange,”range” plot1(avg,”avg”,yellow,
MARNEY RANGE INDICATOR™
input: avgLen(10), mins.
in.session(1440), autobars(True), upcolor(cyan), dncolor(red); var: start(0), end1(0), end2(0), x(0), p(-1), count(0), avg(0), barsinday(0); array: xr[50,1440](0);
if bartype 2 then begin
start= (Sessionstarttime(1,1)); end1= (sessionendtime(1,1)); end2= (sessionendtime(1,2));
value1 = timetominutes(start); value2 = timetominutes(end2); if start > end2 then value3 = 1440+(value2-value1);
if start end2 then value3 = -(value1-
value2); if autobars = false then value3 =
mins.in.session;
barsinday = ceiling(value3/ barinterval);
if d<>d[1] then begin if count=barsInDay then begin p=iff(pfor x=1 to barsInDay begin xr[p,x]=truerange[bar
sInDay+1-x]; end;
end; count=1;
end else count=count+1;
if xr[avgLen-1,count]>0 then begin avg=0; for x=0 to avgLen-1 begin avg=avg+xr[x,count];
end; avg=avg/avgLen; plot2(truerange,”range”,defau
lt,1); plot1(avg,”avg”,yellow,
default,1); end;
if close > open then setplotcolor (2,upcolor); if close open then setplotcolor (2,dncolor);
end; Conclusion
This series of articles has been the result of years of research, learning many expensive mistakes along the way, such as identif ying arbitrary mathematical algorithms that appeared to be the Holy Grail, finding systems that worked particularly well on some markets but not others and systems that appeared to work well both in and ‘out of sample’.
Almost all of these ideas and discoveries were flawed.
I have learnt that each mistake was, in some way, a result of either over optimisation, or curve- fitting , even if inadvertently. I hope that these articles help others to avoid many of the pitfalls of building trading systems that it has taken me years to learn; with no doubt many lessons still to be learnt.
To summarise, in a few simple rules :
Keep it simple – if a system looks too good to be true, it probably is. There is no ‘Holy Grail’ – only applying a small robust edge with consistency and discipline, over a portfolio of instruments, with good risk management.
Avoid arbitrary formula – if you test enough parameters, you will always find some that work, both in and out of sample, or on some markets. That doesn’t mean they’re robust parameters, nor even robust ideas.
Do base systems on market behaviour that can be explained and understood.
Remember that nothing in the world can take the place of persistence.
Caspar Marney 16 FX TRADER MAGAZINE July - September 2010
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