Thursday, March 24, 2016

Currencies, major markets, sentiment (2016/3/24)

Currency strength...

Major markets...

Sentiment from MyFxBook...

GBP/USD retail sentiment is long...

Tuesday, March 22, 2016

Monday, March 21, 2016

Machine Learning for Finance

I've long been a fan of machine learning, and actually this is how I started off with my study into computational trading - back in the day looking at neural network solutions for trading algorithms. I quickly learnt that it was not an easy area to apply this technology, and at that time I was hand-coding all the algorithms myself. I decided that I need to know more about trading in general, before trying to apply raw computational power - I needed more knowledge of the domain area.

I recently decided to take up machine learning again, this time using Python programming language. Python has rapidly become a key programming language in the area of computational finance and analysis, and there's a library for almost anything you can think of. The language itself is not too hard, but understanding all the different library functions is the main difficulty here.

For my first steps I just wanted to try something simple, yet relevant. I've used a machine learning algorithm to classify candles types for EUR/USD (daily candles). This is using K-means clustering (with k = 16) on normalized candle data. As expected it has learnt a set of 16 candle shapes and sizes, nothing particularly special about them - they could be any randomly picked candles from the last few years of data. However, these have been learned as exemplars of broad classification types.


This was really just an experiment in programming and using  the libraries. Next I will extend the study, and look at classifying candles at the tops/bottoms of ranges, see if there is some change.

Further down the line, it should be possible to look at patterns of candles (e.g. 3 candle patterns), and classify these into common groups.

Currencies, major markets, sentiment (2016/3/21)

Currency Strength...

Major markets...

Sentiment (from MyFxBook)...

More information here.

Thursday, March 17, 2016

EUR/USD Sentiment getting very short

According to MyFxBook, the retail crowd sold into this recent EUR/USD rally. Were they right? The average short position price is a long way below, and plenty of room to squeeze those shorts still.


The MyFxBook Sentiment indicator is a new indicator, you can find out more about it here.

Tuesday, March 15, 2016

MyFxBook Sentiment Indicator

The Sentiment indicators use the “community outlook” data from the MyFxBook website.

“MyFxBook is an online automated analytical tool for your forex trading account and a social forex community first of its kind. Currently supporting over 100 brokers, enabling you to track, compare, analyze and share your trading activity.”

In particular, the MyFxBook siste provides a feature called “Community Outlook”.  This feature summarizes the net long and short positions for all of its 1000s of members / users, for many instruments (forex and some other instruments like gold, DAX, FTSE100, Dow Jones, etc.). The outlook shows the % short, % long, short volume, long volume as well as average short price and average long price.

This information reveals the overall sentiment of this community. It is similar to the Speculative Sentiment Index (SSI) provided by FXCM. However, the data from MyFxBook covers more instruments, as well as providing data that is not available from FXCM (such as the average short price / average long price). Furthermore, MyFxBook provides a public interface (API) to this data, so that it can be accessed from within 3rd party indicators, web-tools, etc.

NOTE: In order to use these indicators, you need to provide login credentials for the MyFxBook website. This means you need to join their website community. However, you do not need to provide any details of your trading accounts, it is sufficient to join simply with a valid email address. You can join MyFxBook at www.myfxbook.com.

Two sentiment indicators are provided:

  • Sentiment 1
    • Displays the data for many instruments in tabular form
    • Displayed as a separate panel below the price chart
  • Sentiment 2
    • Displays the data for the current chart instrument only
    • Displayed as an “over-lay” on to the price chart
    • Also displays the average short price and average long price







This indicator is now available on the store.

Sunday, March 13, 2016

MyFxBook Sentiment - fully working version

Still under development, but got the basic thing working now. I've decided to create 2 indicators. The first of these tabulates the data for a group of instruments. The data consists of the short / long % and short / long volume. Additional, some other stats are available on the tool-tips.


The second indicator is be an "overlay" indicator that just displays the data for the current instrument only. This also shows the average short price and average long price. I need to do some more work on this (e.g. to set the position and size).


The average short/long price is interesting. You can see here that the average retail long is a long way under-water !

Another display option for the 2nd indicator shows the % as a kind of meter or dial.


Friday, March 11, 2016

MyFxBook Sentiment

MyFxBook is a website primarily for retail traders. They have a large number of registered trader accounts, and some of this information is made available in the form of number of open positions (long and short) for various instruments. They call this the "Community Outlook". You can find it here.

I've managed to use their public API (Application Programming Interface) to access this data, parse it, and display it as an indicator within MarketScope platform.

This is very much a work-in-progress. The bulk of the effort spent so far has been getting the data and making it in a form that is usable. The "presentation" part is so far very primitive, just to prove the concept.

The end result is very similar to FXCM's "SSI Snapshot", except that the data is from a different source, more varied, more instruments available, etc. It can also show the "average long price" and "average short price" (not shown in this screenshot), which could be useful.

Monday, March 7, 2016

Composite Profile (Release 19)

I've just uploaded a new version of the Composite Profile indicator.

Release 19:
  • Added labels option for POC, VWAP, Median, HVNs, LVNs, etc.
  • Added “tool-tip” option which shows the volume when you mouse-over the profile


More information on the Composite Profile can be found here.

Saturday, March 5, 2016

Multi-Indicator indicator (Release 7)

Just uploaded release 7 of this indicator.

Release 7:
  • Added candle price view mode (now supports line, bar and candle)
  • Added ability to overlay price and indicators
  • Added support for  additional indicators: Ichimoku, 3-line MVA and 3-line EMA



More information on this indicator can be found here.

Friday, March 4, 2016

Multi-Indicator

Now supports 3-line moving averages (simple and exponential) as well as Ichimoku. Custom indicators with more than 4 streams are now also handled.


These changes are still being tested, and will be in the release soon.

More information can be found here.

Thursday, March 3, 2016

Multi-Indicator (with candles and price display option)

I'm modifying the Multi-Indicator indicator to support proper candles. Previously I left these out because the graphics don't render very nicely on very small charts, but it's such a useful and common way of showing price so I decided to add it.

Also added is the ability to show price (line, bar or candles) as well as an indicator (e.g. EMA). Of course, for some indicators this is not possible (e.g. can't display price on top of RSI chart as the scales are totally mismatched).

This is still work in-progress still, but will be in the next release of this indicator.


More information on the "Multi-Indicator" indicator can be found here.