Dekalog Blog

This post, as the title suggests, is about trading forex news releases and, incidently, is a small update to the appearances of my PositionBook chart and OrderLevels chart. I recently came acro...

http://dekalogblog.blogspot.com/2024/04/trading-forex-news.html

During the course of writing this blog I have visited the idea of using Kalman filters several times, most recently in this February 2023 post. My motivation in these previous posts could best ...

http://dekalogblog.blogspot.com/2024/04/a-new-use-for-kalman-filter-on-price.html

In my previous post I suggested three different approaches to using PositionBook data other than directly using this data to create new, unique indicators. This post is about the first of the a...

http://dekalogblog.blogspot.com/2024/03/standard-volume-based-indicators.html

Since my last post I have been trying to create new indicators from PositionBook data but unfortunately I have had no luck in doing so. I have have tried differences, ratios, cumulative sums, l...

http://dekalogblog.blogspot.com/2024/02/indicators-derived-from-positionbook.html

In my previous post I said I was trying to develop new indicators from the results of my new PositionBook optimisation routine. In doing so, I need to have a methodology for judging the quality ...

http://dekalogblog.blogspot.com/2023/12/judging-quality-of-indicators.html

Just over a year ago I previewed a new chart type which I called a "PositionBook Chart" and gave examples in this post and this one. These first examples were based on an optimisation routine o...

http://dekalogblog.blogspot.com/2023/11/update-to-positionbook-chart-revised.html

Recently I responded to a Quantitative Finance forum question here , where I invited the questioner to peruse certain posts on this blog. Apparently the posts do not provide enough information t...

http://dekalogblog.blogspot.com/2023/08/currency-strength-revisited.html

Managed to code it up and get it working, but at the end of the day I couldn't see any value added over just averaging the output of the indicators I was trying to fuse together via Kalman filter...

http://dekalogblog.blogspot.com/2023/05/quick-update-on-kalman-filter-and.html

In the Spring of 2012 and again in the Spring of 2019 I posted a series of posts about the Kalman Filter , which readers can access via the blog archive on the right. In both cases I eventually ...

http://dekalogblog.blogspot.com/2023/02/kalman-filter-and-sensor-fusion.html

As a quick follow up to my previous post I thought I'd show an example of how one could possibly use my new PositionBook chart as a trade set-up. Below is the USD_CHF forex pair for the last two...

http://dekalogblog.blogspot.com/2022/11/positionbook-chart-example-trade.html

It has been almost 6 months since I last posted, due to working on a house renovation. However, I have still been thinking about/working on stuff, particularly on analysis of open position ratios...

http://dekalogblog.blogspot.com/2022/11/a-new-positionbook-chart-type.html

This post is about using OrderBook/PositionBook features as input to simple machine learning models after previous investigation into the relevance of such features.  Due to the amount of tr...

http://dekalogblog.blogspot.com/2022/04/simple-machine-learning-models-on.html

In my previous post I talked about how I planned to use constrained optimization to create features from Oanda's OrderBook and PositionBook data, which can be downloaded via their API . In a...

http://dekalogblog.blogspot.com/2022/03/orderbook-and-positionbook-features.html

In my previous post I ended with saying that I would post about some sort of "sentiment indicator" if, and only if, I had something positive to say about my progress on this work. This post is ...

http://dekalogblog.blogspot.com/2022/02/in-my-previous-post-i-ended-with-saying.html

It has been over three months since my last post , which was intended to be the first in a series of posts on the subject of the title of this post. However, it turned out that the results of my...

http://dekalogblog.blogspot.com/2022/01/matrix-profile-and-weakly-labelled-data.html

This is the first post in a short series detailing my recent work following on from my previous post. This post will be about some problems I have had and how I partially solved them. The mai...

http://dekalogblog.blogspot.com/2021/09/matrix-profile-and-weakly-labelled-data.html

Back in May of this year I posted about how I had intended to use Matrix Profile (MP) to somehow cluster the "initial balance" of Market Profile charts with a view to getting a heads up on ...

http://dekalogblog.blogspot.com/2021/09/back-in-may-of-this-year-i-posted-about.html

Below is a screenshot of this new chart version, of today's (Friday's) price action at a 10 minute bar scale: Just by looking at the chart it might not be obvious to readers what has changed, s...

http://dekalogblog.blogspot.com/2021/08/another-iterative-improvement-of-my.html

As a diversion to my recent work with Matrix Profile I have recently completed work on a new chart type in Octave , namely a Market Profile Low Volume Node (LVN ) chart, two slightly differe...

http://dekalogblog.blogspot.com/2021/07/market-profile-low-volume-node-chart.html

Since my previous post, on Matrix Profile (MP), I have been doing a lot of online reading about MP and going back to various source papers and code that are available at the UCR Matrix Profile ...

http://dekalogblog.blogspot.com/2021/05/update-on-recent-matrix-profile-work.html

A quick preview of what I am currently working on: using Matrix Profile to search for time series motifs , using the R tsmp package . The exact motifs I'm looking for are the various "initial b...

http://dekalogblog.blogspot.com/2021/03/marketvolume-profile-and-matrix-profile.html

After yesterday's Heatmap Plot of Forex Temporal Clustering post I thought I would consolidate all the chart types I have recently created into one easy, snapshot overview type of chart. Below i...

http://dekalogblog.blogspot.com/2021/02/a-forex-pair-snapshot-chart.html

Following up on my previous post , below is the chart of the temporal turning points that I have come up with. This particular example happens to be 10 minute candlesticks over the last two da...

http://dekalogblog.blogspot.com/2021/02/heatmap-plot-of-forex-temporal.html

In the following code box there are the results from the temporal clustering routine of my last few posts on the four forex majors pairs of EUR_USD, GBP_USD, USD_CHF and USD_JPY. ###### EUR_USD...

http://dekalogblog.blogspot.com/2021/01/temporal-clustering-times-on-forex.html

Below are some more out of sample plots for the Temporal Clustering solutions of the EUR_USD forex pair for the week just gone. The details of how these solutions are derived is explained in my p...

http://dekalogblog.blogspot.com/2020/11/temporal-clustering-on-real-prices-part.html