Parabolic Time Price System

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Parabolic Time Price System

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I am new into Algo. Trading. Started of with the book written by J.Welles Wilder Jr. I have a question

---> a position is entered when a price penetrates the SAR. For the first day of entry,the SAR is the previous SIP
1. If entered LONG the SIP is the lowest price while in previous short trade day
2. If entered short the SIP is the highest price while in the previous long trade day

I Have a scenario in which I cannot determine if I am entering a LONG or SHORT day.

day - HIGH LOW
day 1 - 52.35 51.50
day 2 - 52.10 51.75
day 3 - 51.80 52.25
day 4 - 52.10 52.50

I am trying to Enter at day 5.

Can someone help me plz. Thank you in advance

3 responses

Hi Ansh,
Are you trying to implement SAR from scratch? Or are you planning to use talib? If you are implementing it on talib, then the answer is simple: Follow the output of the SAR. Alternatively, if you are trying to implement it from scratch, then, I have to ask why? and can you post your attempts at writing the code?
/Omar

I just joined a start-up company, deals in HFT, as a programmer ( working on IPC, system programming) . My boss wants me to look into quantitative analysis so that I can help him with designing algo's later on. I have absolutely no idea about stocks etc. I want to start from scratch so that I can have a better understanding of how things work.
Started of with the book written by J.Welles Wilder Jr. As I mentioned still cant understand wether I am entering a SHORT or LONG day trade in the given scenario.

Though I have narrowed it down that it is eventually a LONG DAY TREND, and if the SAR is penetrated , that would be my entry point. But I was Hoping if there could be another way.

P.S. what is talib!!!!

You must try to tell where the sar is. Since it is stop and reverse you should watch for changes in sar (from above to bellow prices) to enter long positions (and contrary) to enter short.

In your examples, you should include the SAR value for each day. I suggest you to create an algo entering and exiting positions on sending orders on market price and only after it works. You improve your entries and exits using SIP.

I am trying to create the same system.

Good lucky

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In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.