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Ram Goli's avatar

Thanks for writing this. Interesting and elegant! I am curious if there are other methods like this that are "simple" and elegant. I have couple of thoughts:

1. As an example, if the price goes above noise area, and then comes back to the vwap/noise area where it is closed. Is another trade not opened until it crossed the opposite noise area? Or can the trade be opened on the same side the first trade was taken and closed?

2. Instead of having a trade at half hourly intervals to reduce premature closing/opening of trades. Would something like Kaufman moving average be used, and then it doesn't need to be at half hour intervals?

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TowerQuant's avatar

I have been working on replicating the result of your NQ futures version but I found my results are quite deviating and I think I have done something wrong. May I ask in your version do you ignore the trade starting at 09:30:00? My trades numbers have gone to around 10085 trades.

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