Welcome to the dusty old archives room! This is where I store all the research notes from market related projects that I've done. Most of the notes are fairly well organized, but earlier ones may tend to be quite unfocused, rambling and lengthy. So be warned!
January 17, 2008 "Price Action and Structure" This was a monster project which is divided into 3 parts. The purpose was to explore the fundamental structure of price movements from several different angles. The first part dealt with macro structures composed of many bars, the second looked at micro signals composed of only a few bars, and the last part combined the two by looking at the macro price dynamics inside a single price bar. I developed a few new methods and tools during the project, one of which was an Excel tool for testing profitability of signals. The notes are 60 pages long and include a list of topics on the first page. Each of the three parts includes its own page of conclusions.
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December 11, 2007 "Reversal Patterns for Scalping" The purpose of this project was to identify price behavior that may signal a price reversal in the very short term (10-sec charts). I used a new method of searching through a very large patternset with good results. I used a search dataset to identify the driving factors in a reversal signal and then tested that signal with out-of-sample data. I found 3 basic criteria to use in a signal and the tests showed that the signals did increase the likelihood of finding an imminent reversal. The notes are 21 pages long and include a list of topics on the first page.
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November 30, 2007 "Identifying Opportunities with Weekly Bar Patterns" The purpose of this project was to help with my trading decision making process. I created a tool based on weekly bar patterns which allows me to rank the 18 currency pairs that I follow by expected bullish or bearish strength. While not a standalone indicator, this ranking helps me to choose between competing alternatives found through more standard TA and FA. It basically provides a third window onto the 18 pairs, and I can use it as a kind of tiebreaker. The notes are 16 pages long and include a list of topics on the first page.
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October 5, 2007 "EUR/USD Scalping Study" I started this project based on a suggestion from "jrbscrazy" over at Investor's Hub, and it turned out much better than the last project! There were really no false starts in the project and everything just progressed logically from beginning to end. I ended up with what looks like a very viable scalping technique for EUR/USD. During the project I developed a new bar-by-bar look-ahead technique for testing purposes that addresses the old "ambiguity problem" when both the stop and target are hit during the same time period. Because this involved some complex coding in Excel, I've included a spreadsheet here showing the method I used. The project notes are only 9 pages long with a list of topics on the first page.
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September 22, 2007 "GBP/JPY Scalping Study" The purpose of this project was to find a way to increase the frequency of trading signals for scalping purposes. Although I managed to develop some new analytical and testing techniques during the project, the ultimate results were less than stellar. There are a few interesting insights into price behavior throughout the notes though. They are 32 pages long with a list of topics and a summary on the first page.
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July 25, 2007 "Scalping with Multiple Regression" This project uses the previous one as a springboard. During that project I began using Excel’s powerful multiple regression analysis (MRA) capability to model price movements from bar to bar. In this one, I originally wanted to use the actual price action in relation to the projected price action as a signal to predict the NEXT relationship between actual and projected price action. Near the end of the project I realized that I could simplify this approach by just looking at how each price bar behaved in relation to my MRA projection for that bar. Doing this gave me an immediate insight into how I could improve my scalping activities with GBP/JPY. The notes are 12 pages long with a synopsis and summary on the first page.
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June 21, 2007 "Price Direction" Using the analysis tool described in the last project, I found that choosing the right price direction is my biggest challenge currently, so the goal of this project was to increase the accuracy of price direction choices. After a lengthy false start, I decided to research the proper methodology instead of developing my own from scratch. I settled on Multiple Regression Analysis, and discovered during the project how to use Excel's data analysis feature to do this. The project resulted in the development of a new and hopefully more accurate way to derive my weekly price projections. The notes are 38 pages long, but almost half of that consists of me floundering around before settling on a method and a research plan. A lot of the rest consists of test result tables. There is a synopsis by page number and a general summary on the first page.
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May 30, 2007 "Trading Behavior Analysis" This is another set of notes that describes an MS Excel tool which I will be using to track my own trading behavior. So I'm mainly describing a research tool that I developed, however there are some results here too. I've included the first 19 trades that I analyzed with the tool, and summarized the findings at the end of the notes. This archive contains two documents. There is a spreadsheet to go along with the written notes, which are 7 pages long. View Microsoft Word Document View Microsoft Excel Tool
February 21, 2007 "Price Projection Tool" These are not research notes. They just describe how an experimental tool works in MS Excel. This is part of a larger project on how the cumulative effects of economic news affects market sentiment and price behavior. As an exploratory step in this larger project, I developed a tool which uses a set of recent key economic reports, looks at the way prices have responded in the past to similar outcomes in the reports, and makes a future price projection based on a simple average of all those past reactions. This 4-page document just describes in detail the calculations that the tool uses.
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January 7, 2007 "CAT3: Upgrade of CAT2 for use with daily bars" This project was prompted by the unreliability of a key source of intraday data. I had to switch to daily bars only and needed to immediately adapt the Conditional Analysis Testing (CAT) system to daily bars. This set of notes covers only one day and is just 7 pages long. It is a description of the research for and the design of the upgrades that I would have to do to move to the newest version of the system; CAT3. There is a brief summary of the planned upgrades on the last page of the notes.
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December 2006 "Characteristics of Trends" This is the first set of notes in which I used a list of conclusions at the end and a synopsis by page number right at the beginning, so you're in luck! Watch out though, these notes are almost 70 pages long. I started out by developing a new way of defining trends contextually based on the price chart in which they exist. This provided a way to get a computer to divide any chart into uptrends, downtrends and sideways trends. I then studied the characteristics of these trends and the transitions between them. After a lengthy false start, I developed a set of five price bar patterns that are not only simple and intuitive for a trader to identify, but seemed to appear in certain non-random ways within trends. For example, a very bullish looking bar pattern tends to cluster near the ends of uptrends. After a halfhearted attempt at correlating TA indicator behavior with trend changes, I ended up just using moving averages and the five bar patterns in the preliminary design of a trading tool. The tool, which I'm tentatively calling a "Trend & Bar Pattern Table" shows how price has reacted historically to ten possible situations on a chart. I tested the tool briefly with inconclusive results as to its effectiveness, so I concluded the project with the decision to continue to test the tool week by week in the same way that I'm doing with CAT2.
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November 8, 2006 "Conditional Analysis Testing Upgrade(CAT2)" This project was an upgrade of the CAT tool that I developed at the end of July. The main purpose for the upgrade was to change the approach from using medians to using the 25th and 75th percentiles of price movements so that I would have a clearer picture of how price was behaving and where the stops and targets should go. There are other changes and simplifications documented in these notes as well as some preliminary testing of the new version. The final result is that when I run historical data through CAT2 (the new version) I can quickly see the best performing technical indicator and conditions for each currency pair, as well as a trading setup for each. This lets me simply post "Trading Opportunities" on the site consisting of pair, indicator signal, stop and target. This will be much more user-friendly to traders than posting the whole Price Behavior Map and making them stare at it trying to find good trades. The notes are 13 pages long, but much of that is taken up with charts and tables during the testing phase.
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November 5, 2006 "Real Economic Value Index" This was the first project I did involving Fundamental Analysis as opposed to Technical Analysis. Unfortunately, the project was inconclusive and did not lead to any useful analysis tools. The idea behind the project was to determine a currency pair's "intrinsic" trading range based on the idea of price parity. I used labor buying power as a benchmark for the USD/JPY and found that while the pair traded at a rate below its "parity value" for a period of two years, it showed no tendency to revert to that parity level. Because I was about to begin work on an upgrade to the CAT tool (the spreadsheet I've been using to create Price Behavior Maps), I decided not to pursue this Fundamental Analysis project any further. At only 10 pages it might be worth a skim though.
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July 28, 2006 "Conditional Analysis Testing (CAT)" This project rectified the problems with the previous one by looking at how price behaves during multi-bar time periods for which a certain condition or set of conditions was met. This work eventually resulted in the creation of the publicly posted tool which I called the "Price Behavior Map". This project describes an earlier version of that tool called the "CAT scanner". The scanner gives a set of scores for a set of TA conditions based on the intensity of the change in price behavior under those conditions and the calculated probability that those behavior changes are not due to chance alone. The notes are 43 pages long, but much of them are devoted to a detailed explanation of the steps involved in hypothesis testing as well as a bunch of revisions of how I presented the results of the tests in various tables. The meat of the project is really in the "Additional Investigations" sections in the second half of the notes.
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June 19, 2006 "Technical Event & Signal Testing (TEST)" This was the first really organized project that I completed for Market-geeks.com. It involved using statistical methods of hypothesis testing to investigate whether or not there was a significant correlation between moving average crossovers and price behaviors. Before you read all the way through the 14 page document, beware! Unfortunately, the logic of the experimental design had a very fundamental flaw in it, so we can draw no conclusions from this project. You may want to just skip ahead to the analysis and conclusions sections. This project was a good learning experience though, and it helped to point the way toward a better method of testing the correlation of price behaviors with technical signals.
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Early February, 2006 "BPA Datasets" These are the 12 datasets I used to test the PTRL values of the first 13 patternsets. Each consists of 305 weeks of weekly open, high, low, close and volume data. While only 300 weeks are used in the analysis, the extra 5 weeks are necessary to calculate an initial "local range" (LR) which is a variable used in the analysis. The "Datawash Template" tab in this document is a tool I used to adjust historical prices for splits and dividends, put the price bars in the correct order, and format the raw data so that prices are rounded to two decimal places. The date ranges for all 12 datasets are the same, ranging from the week starting 2/22/00 to the week starting 12/27/05.
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Sometime in the last week of November, 2005 "BPA 1.0" This document is a summary of BPA just prior to some major revisions. The later revisions took place in late November/early December and involved a different scoring method than the one described here in section-G, and the introduction of a LIMIT ENTRY PRICE to the trading plans. In the version of BPA described in this document, trading plans just consisted of a stop price and target price, and the entry was assumed to be at the open of the next bar. This was a mess, because depending on where the open occurred there would be a different plan! The version created right after this one in early December is much more user friendly, but I didn't document it; I just modified my Excel spreadsheet to make it work.
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September 1, 2005 - November 19, 2005 "Early Rambling Notes" My earliest notes (the genesis of BPA) are handwritten over the course of a few years so they're not archived here. This archive shows the first set of notes that I kept on the computer, and they make a brief reference to those first handwritten notes. Beware that there are almost 100 pages of typed notes here, and since I was just basically writing to myself at the time, they are very disorganized and unfocused in some areas. Also, BPA has changed a bit since I wrote these. I don't expect anyone to get anything much out of these particular research notes because they basically describe my thought processes as I moved from one idea to another, trying to get it right. I've included them in the archives for historical purposes only.
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