Reply To: Help with testing a strategy: going from idea to script.

Optuma Forums Optuma Scripting Help with testing a strategy: going from idea to script. Reply To: Help with testing a strategy: going from idea to script.

#61731
AvatarFrancesco
  • Topics: 2
  • Replies: 8
  • Posts: 10

Hello Mathew,

thank you, I really appreciate the time you took to answer and think this over.

The CMT text (level 1) says at some point that whole numbers should not really be something people should pay too much attention to. I (respectfully) disagree
and if you look at fx options on CME it is plain to see how open interest stacks up on those levels (and the half-number levels, e.g. 1.1850, 1.1950, etc.). Sure, apart from my own experience observing this in the last few years, I would say that this is an fx thing, perhaps, more so than a stocks/equities thing. And these whole-number levels are not just for intraday, in currencies: they stretch back and forth through time.

To conclude: I would like to signal test selling when approaching a whole-number level and bouncing against it (= resistance) with the added condition of rising sell volume, all of which can be quantifiable (e.g. two or three successive sell-volume increases from the point of bounce, for example). It would be a case of seeing how many signals this would generate at each successive move up to the next whole-number level. Then, a test would be done on the reverse, i.e. buying on a break above the resistance level, again on condition that buy volume were rising.

In essence: I want to test the relationship between volume and buy / sell signals in fx futures. CME have just released a new tool, the FX Market Profile (https://www.cmegroup.com/trading/fx/cme-fx-market-profile-tool.html), which compares volume and spreads for spot and futures fx, specifically CME futures and the EBS spot. What this also shows is volume comparison intra-day, which could help in determining the most active hours overall to test signals for.

As always, I have years of observing charts but testing is a different thing. I would like to use signal testing to quickly answer questions that could otherwise take me even more years to answer, all in the pursuit of making my trading less subjective and more based on the wider view (supported by facts).

I looked up IQ feeds today but they are not free therefore I do not think it is for me – the CME futures charts may not feed directly into Optuma but they are fully functional and….free. I think if I were to make the decision of investing in one significant piece of software I would hope to have the few things that I needed in one place, rather than having to go off and buy more and more things. Maybe there are other ways of testing my ideas at this moment in time, so you could be right, it may be a good idea for me to take your input and try to find a way to break down my trading into a measurable sum.

Thanks for all your help and I hope to find a way forward.

F

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