You can use gaussian_filter1d() to smooth it out from there and you want get some many high and low values. Something I've worked on to try to send myself alerts when price changes significantly. Not sure if it is the best way though.
@BidOverflow that was my goal initially some years back. Over time I don't know if I just got better at reading price action or what, but trends became much easier for me to spot, so that wasn't as big of a concern.
The real reason is that over time as I collected data, I just found I was much more likely to be profitable that day.
Not only that, but I was less stressed overall.
Hi %chg days I found were trickier for me and required more skill (for me) to trade mean reversion successfully. So I ended up beating myself up when it didn't work out that day. Shoulda, coulda, woulda, etc.
Low %chg days on the other hand I found were my easiest days, and more likely to have lay-ups that were easy for me to capture. Over time, I just gradually stopped trading the hi% chg days altogether and was less stressed for it.
Retail- you amaze me!!! Insane amount of “free” heart filled and useful points in your writing, for those looking to continually learn. Keep up the good work brother! 👊🏻👊🏻👊🏻
Very broad point I wanted to make since you incorporated Vix, Anyone ever look at using the current atm es or spx at the money premium as a potential range for intraday trading. Example spx is 3820 at 11:00 am ny, the current at the money call is 9 points. It means 3829 is an expected potential range. I have been looking for a way to maybe use it as an input for a system but since it’s so broad don’t know where to start, all feedback ideas appreciated
Hey thanks so much for sharing! As a mean reversion trader this is right up my alley and I can tell it took a lot of work to put this together, so I really appreciate you taking the time to write this up!
I just started learning Python and programming my first trading system. What do you use or advise for backtesting to get some metrics like max drawdown ? And just curious, is part 2 of this article coming shortly ? Looping forward to it :-)
Are you using something like this to get the local min values:
(np.diff(np.sign(np.diff(data))) > 0).nonzero()[0] + 1
You can use gaussian_filter1d() to smooth it out from there and you want get some many high and low values. Something I've worked on to try to send myself alerts when price changes significantly. Not sure if it is the best way though.
Couldn’t be better timing, have been meaning to figure this out for myself on a similar project! Great article mate!
Great article, enjoy reading your posts !
Absolutely fantastic tutorial. Consider it shared!
Great stuff bro. Really helpful to see your thought process and methods. Really appreciate you sharing this.
@BidOverflow that was my goal initially some years back. Over time I don't know if I just got better at reading price action or what, but trends became much easier for me to spot, so that wasn't as big of a concern.
The real reason is that over time as I collected data, I just found I was much more likely to be profitable that day.
Not only that, but I was less stressed overall.
Hi %chg days I found were trickier for me and required more skill (for me) to trade mean reversion successfully. So I ended up beating myself up when it didn't work out that day. Shoulda, coulda, woulda, etc.
Low %chg days on the other hand I found were my easiest days, and more likely to have lay-ups that were easy for me to capture. Over time, I just gradually stopped trading the hi% chg days altogether and was less stressed for it.
Retail- you amaze me!!! Insane amount of “free” heart filled and useful points in your writing, for those looking to continually learn. Keep up the good work brother! 👊🏻👊🏻👊🏻
Very broad point I wanted to make since you incorporated Vix, Anyone ever look at using the current atm es or spx at the money premium as a potential range for intraday trading. Example spx is 3820 at 11:00 am ny, the current at the money call is 9 points. It means 3829 is an expected potential range. I have been looking for a way to maybe use it as an input for a system but since it’s so broad don’t know where to start, all feedback ideas appreciated
Hey thanks so much for sharing! As a mean reversion trader this is right up my alley and I can tell it took a lot of work to put this together, so I really appreciate you taking the time to write this up!
I just started learning Python and programming my first trading system. What do you use or advise for backtesting to get some metrics like max drawdown ? And just curious, is part 2 of this article coming shortly ? Looping forward to it :-)