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Using Dow Theory in Forex

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There’s hardly a trader, whether short term or long term, who doesn’t rely, in some form or another, on technical analysis. Yet many don’t know that the backstory behind what we today refer to as technical analysis is actually a collection of ideas on trading stocks. Some of those ideas are, 実際, more than a hundred years old; they are referred to collectively as Dow Theory. Going into the source, the so-called genesis of technical analysis can provide valuable lessons for a trader, even today and even in Forex. In this article I will go into some basic concepts of Dow Theory and offer my personal takeaways from it.

最初, しかし, the backstory. The Dow Theory is named after Charles Dow, a financial journalist and one of the founders of the world-renowned Wall Street Journal. Dow had written a series of articles on his theories and concepts on market behavior, pricing and patterns for the Wall Street Journal. Those ideas were later developed further, refined and enhanced by followers such as William P. Hamilton, Robert Rhea and Richard Russell. The collection of ideas known as the Dow Theory therefor, encompasses concepts from Dow and his followers.

Dow Theory Concepts

With that brief history of the Dow Theory behind us, it’s time to get into the meat and focus on some key concepts and how they could be implemented when trading Forex.

I like to think of the Dow Theory as having two pillars—one theoretical, the other practical. The theoretical concepts focus on how to approach the market, the so-called theory behind trading.

The practical ideas are focused on things such as rising tops and bottoms, which confirm a bullish trend, and/or rising volumes, which confirms a trend’s strength. Since most practical ideas belong to basic technical analysis such as stretching a trend line, I will focus on the theoretical side which is often overlooked by traders.

Combining the two pillars should give the trader the proper approach and the necessary tools to beat the market.

Concept

The Dow theoretical side focuses on the benefits of the bigger picture. 他の言葉で, it focuses on what the broad market is doing rather than a specific asset or security or, in our case, a specific pair. なぜ?

Over the longer term, the broad market cannot be manipulated by any one player. It is true that over short durations, the broad market can be manipulated, but unlike a stock or a security, over the long haul there is no one factor with enough liquidity to manipulate the long term trend. That means that in order to profit one must first gauge the long term trend of the broad market, and only then can one make a decision on the next trade.

さらに, according to the Dow Theory, the broad market prices all the knowns and even the potential unknowns that have a higher probability of occurring. 他の言葉で, the broad market is so big and diversified that the current trend and price behavior prices all the known positive and negative information as well as all that market participants believe could happen.

Dow in Forex

Although the Dow Theory was initially designed for analyzing stocks, the concepts stated above can provide some powerful insights into the Forex markets. If we refine the two concepts we get one clear idea; that is the best way to predict markets is to focus on the big picture and that means focusing on the long term and focusing on the broad market rather than a signal pair.

That means that focusing on the long term trend over months, and even years, can yield much better results than focusing on shorter durations. さらに, in a more practical sense, longer duration charts tend to be easier to analyze with support, resistance and trends much easier to define. 自ら, it is one of the key reasons that I prefer long term trades. もちろんです, short term traders can be highly lucrative and successful as well, but focusing on the long term trend is essential for crafting a strategy that could work over the long run. It allows you to identify areas of high volatility, areas where a pair is destined to have resistance, or areas where short term support can be broken.

Another important takeaway is focusing on the broad market. How does that come to play in Forex? It means that you should always aspire to analyze the big trend. In practical terms, it means, たとえば, that you should always analyze the Dollar Index before trading a dollar pair, to figure out the long term trend on the dollar. It also means that, if you trade a low liquidity pair such as the USD/BRL, you should first identify the overall trend in the FX market, risk on or risk off.

As seen in the sample below, the EURUSD is trending higher which means a bearish Dollar. But on the other hand in the second chart , the Dollar Index which represents the Dollar against a basket of currencies, is trending higher as well suggesting the exact opposite, a bullish dollar. Since Dollar index represents the big picture for the Dollar it is the one we should relate to when determining the long term trend.

Dow Theory

Dow Theory

ボトムライン

もちろんです, there are many more takeaways and more layers to the Dow Theory and it is always a good idea to go over the original books and learn from the source, whether it’s the articles by Charles Dow himself or The Stock Market Barometer written by William P. Hamilton and The Dow Theory by Robert Rhea. しかし, as an experienced trader, through the years I have found that the best takeaway from the Dow Theory is that its emphasis on the big picture improves your chances to avoid manipulation and areas of unexpected market reactions which, in turn, makes a strategy more successful. It doesn’t mean that you have to trade only over the long term but it does mean that you have to first figure out the long term before anything else.

 

NinjaTrader に銘柄をインポートします。

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面倒な作業は、NinjaTrader へ数多くのストック シンボルのインポート. 今まで楽器のマネージャーを使用して最も液体 Etf のリストを作成する場合, あなたは何について話して知っています。.

はるかがあります。, 楽器マネージャーを使用せず、NinjaTrader に複数銘柄をインポートするまでより簡単な方法.

コントロール センターに行く, NinjaTrader プログラムの主要部分. ファイルをクリックします。, ユーティリティは、株式銘柄リストをインポートします。.

import stock symbol NinjaTrader新しい画面は、テキスト領域をもたらす. 記号の一覧で入力または左側に向かって画面の真ん中に小さな負荷のボタンをクリックしてください. 彼らはすでにファイルに入力している場合、テロップのリストをインポートすることができます。.

Import stock symbol screen in NinjaTrader

“上場” 交換は、これらの楽器が取引. ライブ貿易を計画していない場合は、ニューヨーク証券取引所を使用できます。. ライブ注文を執行 NinjaTrader を使用する時に、シンボル マッピングが重要なだけ.

最後のヒントは、リストにすべてのこれらの楽器を割り当てることができます。. スクリーン ショットがいくつかの商品 Etf を示しています. 多くの ETF 一覧にこれらの楽器を分類する意味になります. クリックすること、 “新機能” 右にあるボタンまたは, 既にその名前のリストを作成した場合, ドロップ ダウン メニューから選択します。.

Could An Overnight Edge Enhance Your System?

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Markets are capable of changing dramatically while we are asleep. This can be seen in all types of markets for many different reasons.

Many traders avoid ever carrying a position overnight. Others ignore this concept because they believe that the impact is minimal over the long-term. Some traders simply avoid taking positions ahead of key news announcements, which is usually what trigger big overnight moves.

overnight edge

Sometimes markets make significant moves while they are closed for the night. Could we develop a system to capitalize on these overnight edges?

Jeff from Alpha Interface took a different approach to this idea when he wrote a recent post summarizing some research he found concerning large overnight price moves in US stocks. Based on the research Jeff wrote about, there may be an overnight edge in trading these moves.

The research Jeff summarized was a paper by Berkman, Koch, Tuttle, and Zhang. They examined 3,000 US stocks from 1996 を通じて 2008 looking for strong positive overnight moves. Here is what they found according to Jeff:

They found a strong tendency for positive returns during the overnight period followed by reversals during the trading day.

This behavior was driven initially by an opening price that was high relative to intraday prices.

It was concentrated among stocks that had recently attracted the attention of retail investors (typically due to a news announcement), it was more pronounced for stocks that were difficult to value and costly to arbitrage, and it was greater during periods of high overall retail investor sentiment.

So basically, when stocks make large positive moves overnight, they tend to go a bit too far. Jeff’s piece continues my suggesting how traders could take advantage of this:

Their tests were predictive and thus indicated that postponing purchases of these stocks from the open until later in the day can avoid these hidden costs.

同様に, selling these stocks at the open, rather than later in the day, can lead to major improvements in performance.

明らかに, this idea would need a lot more development before it could ever be a legitimate strategy. しかし, it is a very interesting concept.

It would be interesting to research how many “significant” overnight moves actually happen over the course of a year. This would probably vary a great deal based on the stock universe and your definition of “significant.” From there, you would want to determine the percentage of those trades that would have been profitable and calculate the returns on both the winners and losers.

While this system would require a lot of effort to develop, it could be the type of short term strategy that keeps your capital out of the market most of the time. That would give it the added benefit of protection from ブラック スワン events and some slight interest income from the risk-free asset you kept the capital in when there were no trades to be made.

Retail trader disadvantage

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Michael Halls-Moore invited a reply to one of my tweets last week, “Retail traders have an advantage over the pros? Me thinks not.” He wrote a great overview of why the institutional traders look longingly at the retail crowd and all the hoops that they don’t have to jump through.

His points are all valid, but he overlooked the big picture. Pricing is everything to a trader. Retail traders get the short end of the stick when it comes to the cost of doing business.

The cost of trading is massively disproportionate

Let’s say that you’re a would be quantitative trader and that you’re looking for opportunities. Let’s say you trade mini lots in the forex market with 60% accuracy and 1:1 risk reward ratios. If you’re not familiar with what a typical trading system looks like, those numbers means that you have an enormous edge.

Some of the less reputable forex brokers out there charge 3 pip fixed spreads. If you’re trading with a broker offering fixed spreads, I urge you to start price shopping. Fixed spreads are wildly overrated. You pay a huge premium for the certainty of a fixed spread. I can’t think of anything remotely plausible to justify them.

The larger forex brokers charge typical spreads in the neighborhood of 2 pips on the largest majors. Although most seem to find this reasonable, the comparison between a 2 pip average spread and institutional spreads is night and day.

Do you know what the average EURUSD spread looks like on the interbank market? It’s often 0.2-0.5 ピップ. Retail traders pay an average markup of over 300% on their trades.

retail trader pricing

Retail traders facing the institutions is a bit like David and Goliath.

Retail forex prices have declined in recent years. A few brokers like MB の取引 と Pepperstone offer raw spreads with commissions tied to the dollar volume traded. These are, 私の意見で, are about the fairest prices available to low balance traders running an expert advisor.

The best deal available to semi-institutional forex traders (CTAs, large balance retail traders, など) is Interactive Brokers. The customer support is famously poor; they’re cheap for a reason. IB also offers raw spreads with a commission.

My experience with IB has been excellent, but you need to trade size for the economics to work. A 0.5 pip typical spread is great, しかし、 2 mini-lot minimum trade size and $2.50 minimum commission really adds up. Trading with IB doesn’t approach institutional type pricing until your average trade size approaches 1 標準ロット.

だから, how does pricing affect the final outcome with our 1:1 risk reward strategy that wins 60%?

  • Free trading: 後 100 取引, you’ve earned $600 and lost $400. The hypothetical net profit is $200.
  • Fixed spread: You’ve spent $300 in spread costs to enter 100 取引. The total net profit is -$100 ($200-$300).
  • Average retail: You’ve spent $200. There is no profit because you breakeven ($200 hypothetical profit – $200 コストの). しかし, your broker loves you for doing that many trades.
  • Good retail pricing: Let’s say the average cost of a trade is 1.3 pips after commissions. You’ve spent ~$130 placing 100 取引. The total profit is $70.

Even with good strategies, the profitability of your algorithm is as simple as choosing the cheapest broker.

Equities pricing

Trading stocks is even more expensive than forex. I remember back in the day when I thought Scottrade was cheap for offering $7 手数料. It gets worse and worse when you go through the list of stock brokers. Most of them try to get away with charging $7-10 1 トレード当たり. If customer service is important to you, then those are the shops to look at.

If your top priority is trading profitably, then again, broker selection is critical. The only way that a small guy can make it is by chipping away at the costs. Interactive brokers is again a great option, charging fractions of a penny per share traded. If you decide to trade 2 shares of Google (GOOG: $1,017 per share) または 1,000 shares of Fannie Mae (FNMA: $2.35 per share), the transaction costs are tiny. Two ticks in your favor is all it takes to cover the trade.

You might be thinking that I said two ticks in forex is expensive. How can I say that two ticks in equities is reasonable?

ボラティリティ. Two ticks in the stock market is a little hiccup. It’s not at all uncommon to see highly liquid stocks move 2-3% in a single day. Forex is only interesting because of the leverage. The currency pairs themselves rarely move more than 1%, and that’s usually on major news.

リスク管理

Every employee knows that they’re only one mistake away from getting fired. That’s the reason that everyone hates having a boss. There’s a single person with unilateral authority to financially murder you. Who’s going to look upon that as a good thing?

まあ, the truth is that bosses exist for a reason. It’s someone that calls you out when you do something stupid. もっと重要なこと, the boss has the power and influence to ensure that you stop doing stupid things.

The dream of entrepreneurship is not having a boss. You go on vacation when you can, you don’t have to play office politics, you don’t have to waste time selling good ideas. You just go out and do them.

Even with good strategies, the profitability of your algorithm is as simple as choosing the cheapest broker

I can tell you as a small business owner that the negatives stand out strongly in my mind. When you don’t have someone to hold you accountable, even if it’s a mentor, you make many more dumb mistakes than you should. It takes incredible discipline to hold the line consistently. Knowing that I’m not going to look stupid or have to explain myself to anyone probably gives me a lot more false confidence than I really need.

Self-employed traders working at home experience the same thing. Who calls you out when you’re trading just because you’re bored?

The decline in the trading account points out the obvious, but that’s not enough to necessarily stop the bad behavior. We’re social creatures. Most people need to speak with other people to maintain their sanity. When you’re trading at home alone, it takes a lot of effort to ensure that you’re getting enough social contact. A good boss prevents you from indulging in bad behaviors.

結論

Selecting the right broker is enough to determine whether or not a good strategy will wind up making money or not. It’s expensive to trade. The bigger you are, the better your pricing.

Retail trading prices have reached a point where it’s at least possible to trade profitably. それにもかかわらず, the number of strategy types out there is limited because the lower, shorter term strategies are prohibitively expensive to trade.

The quantitative traders and hedge funds get the more active strategy space to themselves. Their trading costs are so low that they’re really the only people that can afford to trade actively.

SPY Crisis Strategy

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Yesterday’s musings on an S&P 500 doji strategy led to a general discussion of stocks and market crises. I promised to analyze a price-moving average cross strategy and to analyze the performance in times of exceptional volatility.

The results are in and they’re exactly what I predicted. I’m shamelessly tooting my own horn on this one – it’s so rare where strategies do exactly what I predicts.

SPY Crisis Strategy Returns

The direction of the returns matches any traders definition of crisis and regular trading periods over the past decade

SPY Crisis Strategy Rules

The trading rules only initiate short trades. No long positions are allowed.

Enter short next bar at market when:
The price crossed and closed below the 20 day SMA on the last closed bar
The trader believes that a crisis environment either currently exists or is about to exist

Exit an open short trade when:
The price crosses and closes above the 20 day SMA on the last closed bar

The position size is equal to a fixed dollar value divided by the current share price. 例として, SPY currently trades at $169.24. If you wanted to control a position size worth $1,000, then the number of shares is the floor of $1,000/$169.24 = 5 shares.

This strategy is intended to be timely for the current trading environment. Based on all of my proposed definitions below, most of the crisis alarm bells are ringing at the moment.

Defining a crisis

The most difficult part of this type of strategy comes from defining a “crisis environment” quantitatively. Crises don’t happen very often by definition, so I don’t think it’s a worthwhile endeavor to try to quantity the crisis bit. ということで, a few obvious crisis indicators come to mind based on basic market mechanics.

PE Ratio

The morons on Tout TV (CNBC and company) keep on screaming how cheap stocks are. I’m not a fundamental trader, but the PE ratio contains useful information. Even the most hard core technical analysis buff would agree that companies generating huge positive cash flow and earning growth have to appreciate いくつかの時点で. The argument isn’t about if that type of stock will rise; it’s just a question of when.

I don’t see how anyone could possibly look at the current PE ratio of 19.3 and argue that stocks are cheap. They aren’t. Stocks are currently very expensive based on a historical comparison.

ビクス

VIX is a CBOE benchmark index that allows traders to compare the price of front month options traded on the S&P 500. A more detailed explanation of the VIX is available on Wikipedia if the concept is new. There’s nothing magical about the 20 レベル. It’s my general experience that most traders consider that number the one to watch. They think of VIX < 20 as "normal" and VIX > 20 as a severe market move.

VIX danger level

Most traders regard a VIX above 20 as a dangerous level.

Put-Call Ratio

Options are effectively leveraged bets on market movements with fixed downside risk. When traders load up on puts, they’re expecting the market to fall. When traders buy more calls, they’re expecting the market to rise.

The put call ratio is simply the number of put contracts traded / the number of call contracts traded. A number > 1 means that more puts were purchased that day than calls, indicating an expectation of a market drop.

Theory has it that short term traders are wrong, making the put call ratio a 逆張り投資家 インジケーター. I see the put call ratio as more of a lagging インジケーター.

ES Put call ratio

When a move is real and already happened, traders react too late and buy protection that they no longer need. 、 2008 financial crisis a great example when the ratio spiked to 1.5, a wild number. Just in the past week the ratio went as high as 1.3 before settling back down. The volatility in the number indicates a panicky crowd in my opinion.

Margin debt

Leverage is a two way sword. The theory is that it’s a way to multiply returns by risking debt in the market.

Most traders, and especially retail traders, wind up using leverage as the rope to hang themselves with. Stocks are most commonly purchased with cash among investors. Unlike forex and futures where almost every trader enters a position with leverage, the average retail stock trader enters a position using only the cash present in his account.

An increased willingness among traders to move from cash to margin debt is typically a sign of froth, bubble fever or whatever you want to call it. The chart of margin debt from Business Insider と ゼロヘッジ show that stocks are currently trading near historical highs.

margin debt business insider

Margin debt Zero Hedge

結論

、 20 day SMA price cross strategy is a great way to run account protection whenever market warning signs are going off. The warning signs may not predict the precise market turning point, but the strategy can function as an effective form of insurance.

The strategy would roughly break even over time if someone were foolish enough to run it that way. Say that you mistime the crisis. Big deal. This type of strategy can run for months without causing irreparable harm to the account.

The signals can run in the background. If you’re only a little bit right with your crisis predictions, the risk reward ratio is massively in your favor. If you’re wrong, the consequences appear to be slow losses that lose a couple of percentage points per quarter. If you’re feeling edgy, I think it’s a great strategy to run in the background to calm your mind.

無料の在庫データを検索します。

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過去 2 年間の私の寝室に家がままに動いたアルゴリズム取引システムを書く, 私の一日の仕事を働いた, 私の人生を生き、. アイデアを取った派生に数ヶ月, 実装, 私が想像したかもしれないより多くの障害を克服しながら完全なと. はるか, 私が遭遇した最大の問題は良い見つけることです。, 無料株式データ.

株価の変化データ

私は"NetFonds"を Google で検索して「翻訳このページ」を選択すること英語で読むことができるノルウェーのウェブサイトは見つけることができる無料のデータの最小増分通貨および商品データと共に, NetFonds すべてのナスダックのティック データがあります。, ニューヨーク証券取引所, アメックス株式. 無料のデータを得ることは容易, 理解するいくつかの努力を取るが、.

無料株式データ

ビーチで 1 日としてさわやかな無料の株価データの取得.

開始するには, お使いのブラウザーに次の URL を入力してください。

http://hopey.netfonds.no/tradedump.php?日付 =[日付]&紙 =[株式]&csv_format txt を =

ここで, 2 つのパラメーターを変更する必要があります。.

[日付] – YYYYMMDD 形式の日付に置換する必要があります。, ですから、例えば 20130919 木曜日から、データを取得するだろう, 9 月 19, 2013. 私の経験で, データが戻って一周します。 15 日, 全ての株式にこれを保証することはできませんが、. 一般的に, 私が取るし、今日昨日のデータを格納.

[株式] – これは収集するティッカーの名前を交換します。. キャッチは、exchange コードを知る必要があります。.

ニューヨーク証券取引所コードは ' n ' — たとえば, メイシーズを収集するには, [株式] = M.N
ナスダック コードです ' o ' — たとえば, Google を収集するには, [株式] = 卵。O
アメックス コードは 'A' — たとえば, 画像を取得します。

表示されるデータは、時間, 価格, ・ .txt 形式で量. すべてが自明に見える, 時間列を期待します。. 私は私が参照してください最初のエントリの例で詳しく説明します。.

時間 = 20130919T153000

として翻訳 2013, 09 (9 月), 19 (日), 時間, 15:30:00

これは奇妙なようです。, しかし、覚えています。, ノルウェーのウェブサイトからデータを収集しているし、オスロ、ニューヨーク時間より 6 時間. 軍の時間のフォーマットを考慮しました。, 15:30:00 本当に 3:30 ノルウェーで, あります。 9:30 米国東部標準時刻と市場開放. この論理の下お知らせ, 市場開放時間中に最後のデータ ポイントは、文字列で表される

時間 = 20130919T220000

はるか, 私が遭遇した最大の問題は、良い無料のデータを見つけることです。

あなたは、いくつかの行が同じタイムスタンプを持っていることをまた気づくでしょう. これは、毎秒数回価格を変更するロジックを年代順に解釈すべき. 価格の変更を思い出す.

最後に, 外が常に注意したいです。 15:30 と 22:00 時間トランザクションを後します。. Google ファイナンスの市場活動の後常に見ることができます。. リンゴを探してみてください。, 指定されたグラフの設定リンクの下で「延長時間」をチェックし. グレーの価格が時間後に発生したトランザクション.

注文帳ティック データ

表示を見つけることができる最高の無料カチカチ受注データ唯一の最高単価し、与えられた時間の引用を頼む. それにもかかわらず, この情報は、システムを改善するためにされる可能性があります。 無限の方法があります。.

NetFonds に再び, お使いのブラウザーに次の URL を貼り付けるしようと:

http://hopey.netfonds.no/posdump.php?日付 =[日付]&紙 =[株式]&csv_format txt を =

上記使用同じ日付と証券条約と. ボリュームと市場の最高ビッド/アスクに対応するいくつかの追加の列があることに注意してください。.

このデータ セットの, はるかに超える拡張時間の引用にティック データ拡張することがわかります, しかし普及がかなり広がる. 取引時間の延長は、この流動性の不足しているのため危険と考えられる, しかし、これはそれ自身のトピック.

Google ファイナンスのデータ

データはこちら, 1 分ごとにデータが付属しています NetFonds に非常によく似た規則に従いますと. URL は

http://www.google.com/finance/getprices?私 =[期間]&p =[日]d&f = d,、,h,l,c,v&df = cpct&q =[ティッカー]

[期間] – 秒単位で時間間隔
[日] – 歴史的なデータ期間. たとえば [日] = 10 d を求める最後の 10 日間
[ティッカー] – 銘柄記号. 必要なコードなし, AAPL はちょうど見事に働きますので

Yahoo ファイナンスのデータ

Google ファイナンスとヤフーに似て, 一般的な URL によってを与えられる

http://chartapi.finance.yahoo.com/instrument/1.0/[ティッカー]/chartdata;タイプ = 引用;範囲 = 1 d/csv

周波数は秒, 利用可能な歴史的な範囲は、 5 日.

データを取得

プログラミング言語時代の古い貿易があります。. 場合は、高速言語, 非自明な言語と概念の学習に犠牲にしなければなりません。. 場合は、上記のデータのセットをダウンロード コード, 明日は仕事したいです。, 遅い言語を使用して犠牲にしなければなりません。.

私にとって, Mathematica と Python が非常に直感的に 1 日目使用, 両方の機能を参照およびダウンロード データを構築して、. また非常に少しの努力で私の mac のアップル スクリプトを使用することを学んだ. 朝の目覚めに私のコンピューターをプログラムできるのでこれは便利でした。, ウェブサイトに行く, 最新のデータをダウンロードし、.

C++ のような言語を使用していないから速度のトレードオフは離れて私のためとされていた. トップドルを支払う場合を除き、, ダウンロードするデータはやや摂動とはそれについて行うことができます何も想定する必要があります。.