Hello everyone,
I am new to scripting and it comes on top of a few years of learning a lot of TA, getting profitable at trading, etc. so I want to
be efficient with time spent on any new learning - i.e. trying to seek help and then get stuck in learning the necessary bits
but not actually have any ambition to become an expert.
The main difficulty is how to quantify my trading strategy, which is quite fluid, in a way that Optuma ready-made scripts would understand.
I trade fx spot and tend to either trend-trade or range-trade, depending on conditions. My main concern in both is that there is enough momentum
to go from one whole number level to the next.
The question is how to make this testable in a scripting, computer-driven way…
Here is a possible sequence of thought processes that I use when deciding if taking a trade; let us take EUR/USD as an example:
-
look at price in relation to the nearest whole number levels: if it is above the half-way mark, e.g. 1.1850, but below the 3/4 way (1.1875) then I would
think about going long; if below the half-way mark, but above the 1/4 mark (1.1825) then I would think about going short. Then I would look at… -
the intra-day candles leading up to that price, to see if we had ‘leg’ in the move up or down; then…
3)… I would go over to CME’s Euro futures and check the hourly volume bars to see if volume confirmed the move or not;
-
… if still in doubt, I would go over to CME’s Euro options open interest heatmap and check the bullish/bearish sentiment looking at the rate of change
in calls and puts at the price levels nearest price action (and further up/down); -
sometimes I would also look at ATR to see if the range was expanding or shrinking, again to see if the move had momentum or lacked ‘oomph’;
-
for situations where price experienced many days of congestion I would also keep an eye on RSI for divergence if at extremes (I tend to look at 4H
or higher timeframes and set my overbought at 80/ oversold at 20).
When I automated my trades, i.e. very simply put in limit orders (as ‘set and forget’ trades), I tend to set the long entries above the next whole number
level from 25 pips up, thus using a filter of 25% of the 100-pip range between the two whole number levels, to avoid false starts, and for selling I do the
same in reverse (i.e. from 25 pips below a whole number level).
Question is: how does one even begin getting something like this scripted? It seems too difficult and also I am not sure how looking at fading volume in relation to price, which I do discretionally, could be quantified.
In essence, I am trying to coming volume /open interest data from the futures / options side into my decision-making over on the spot charts, so that
trading currencies (notoriously lacking in volume data) on the spot side can benefit from using confirmation from sentiment.
I know that some studies concluded that spot fx price leads that of fx futures, given its much larger size, but I do think (from watching this day after day, week after week) that there may be something in it, i.e. that the futures volume data and the options open interest figures can become integrated in the decision-making of trading currencies. Ideally it could all be tested to give me an idea of how much ‘leg’ there was in the idea, and if parameters could be tweaked to my advantage.
Does anyone have any advice on how to get this idea down into a format that is test-ready?
Thank you so much.
Francesco