GKD-C RSX on OMA [Loxx]

2023年3月6日

Giga Kaleidoscope RSX on OMA is a Confirmation module included in Loxx's "Giga Kaleidoscope Modularized Trading System".

█ Giga Kaleidoscope Modularized Trading System

What is Loxx's "Giga Kaleidoscope Modularized Trading System"?

The Giga Kaleidoscope Modularized Trading System is a trading system built on the philosophy of the NNFX (No Nonsense Forex) algorithmic trading.

What is an NNFX algorithmic trading strategy?

The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm:

1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc.
2. Baseline - a moving average to identify price trend
3. Confirmation 1 - a technical indicator used to identify trends
4. Confirmation 2 - a technical indicator used to identify trends
5. Continuation - a technical indicator used to identify trends
6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown
7. Exit - a technical indicator used to determine when a trend is exhausted

How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above?

Loxx's GKD v1.0 system has five types of modules (indicators/strategies). These modules are:

1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm)
2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm)
3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm)
4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm)
5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm)

(additional module types will added in future releases)

Each module interacts with every module by passing data between modules. Data is passed between each module as described below:

GKD-B => GKD-V => GKD-C(1) => GKD-C(2) => GKD-C(Continuation) => GKD-E => GKD-BT

That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy.

This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm.

What does the application of the GKD trading system look like?

Example trading system:

• Backtest: Strategy with 1-3 take profits, trailing stop loss, multiple types of PnL volatility, and 2 backtesting styles
  
• Baseline: Hull Moving Average
  
• Volatility/Volume: JCFBaux
  
• Confirmation 1: RSX on OMA as shown on the chart above
  
• Confirmation 2: Williams Percent Range
  
• Continuation: Fisher Transform
  
• Exit: Rex Oscillator
  

Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD protocol chain.

Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm)

Standard Entry
1. GKD-C Confirmation 1 Signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees

Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior

Continuation Entry
1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously
2. GKD-B Baseline hasn't crossed since entry signal trigger
3. GKD-C Confirmation Continuation Indicator signals
4. GKD-C Confirmation 1 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 2 agrees

1-Candle Rule Standard Entry
1. GKD-C Confirmation 1 signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
Next Candle:
1. Price retraced (Long: close < close[1] or Short: close > close[1])
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees

1-Candle Rule Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close[1] or Short: close > close[1])
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees

PullBack Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is beyond 1.0x Volatility of Baseline
Next Candle:
1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees

█ RSX on OMA

What is RSX?
The Jurik RSX (Relative Strength Index) is a technical indicator used in financial markets to measure the strength of price movement. It was developed by Mark Jurik and is based on the RSI formula, with the addition of smoothing and other modifications.

The Jurik RSX is designed to be smoother and more responsive than traditional RSI indicators, making it more useful for detecting trends and trading signals. It is also less prone to false signals and noise, which can be a problem with some other technical indicators.

The Jurik RSX can be used in a variety of ways, including as a trend-following indicator or a momentum indicator. It can also be combined with other indicators and trading strategies to improve overall performance.

What is OMA?
Adaptive, One More Moving Average (OMA) is an adaptive moving average created by Mladen Rakic that changes shape with volatility and momentum

The usual story goes something like this : which is the best moving average? Everyone that ever started to do any kind of technical analysis was pulled into this "game". Comparing, testing, looking for new ones, testing ...

The idea of this one is simple: it should not be itself, but it should be a kind of a chameleon - it should "imitate" as much other moving averages as it can. So the need for zillion different moving averages would diminish. And it should have some extra, of course:

The extras:
it has to be smooth
it has to be able to "change speed" without length change
it has to be able to adapt or not (since it has to "imitate" the non-adaptive as well as the adaptive ones)

The steps:
Smoothing - compared are the simple moving average (that is the basis and the first step of this indicator - a smoothed simple moving average with as little lag added as it is possible and as close to the original as it is possible) Speed 1 and non-adaptive are the reference for this basic setup.
Speed changing - same chart only added one more average with "speeds" 2 and 3 (for comparison purposes only here)
Finally - adapting : same chart with SMA compared to one more average with speed 1 but adaptive (so this parameters would make it a "smoothed adaptive simple average") Adapting part is a modified Kaufman adapting way and this part (the adapting part) may be a subject for changes in the future (it is giving satisfactory results, but if or when I find a better way, it will be implemented here)

Some comparisons for different speed settings (all the comparisons are without adaptive turned on, and are approximate. Approximation comes from a fact that it is impossible to get exactly the same values from only one way of calculation, and frankly, I even did not try to get those same values).

speed 0.5 - T3 (0.618 Tilson)
speed 2.5 - T3 (0.618 Fulks/Matulich)
speed 1 - SMA , harmonic mean
speed 2 - LWMA
speed 7 - very similar to Hull and TEMA
speed 8 - very similar to LSMA and Linear regression value

Parameters:
Length - length (period) for averaging
Source - price to use for averaging
Speed - desired speed (i limited to -1.5 on the lower side but it even does not need that limit - some interesting results with speeds that are less than 0 can be achieved)
Adaptive - does it adapt or not

What is RSX on OMA?
For our purposes here, the source input is smoothed using OMA and then run through a modified version of RSX to produce the oscillator.

Requirements

Inputs
Confirmation 1 and Solo Confirmation: GKD-V Volatility / Volume indicator
Confirmation 2: GKD-C Confirmation indicator

Outputs
Confirmation 2 and Solo Confirmation: GKD-E Exit indicator
Confirmation 1: GKD-C Confirmation indicator
Continuation: GKD-E Exit indicator

Additional features will be added in future releases.

2023年3月6日

發行說明

Removed extra inputs

2023年4月13日

發行說明

Upgraded to relax signal rules. This only applies to the Full GKD systems. All settings for signals are controlled by the Confirmation 2 indicator. So this means when you build a Full GKD system, the C2 indicator controls the relaxation of all signals including the Continuation indicator that you are required to add on top of the C2 indicator the full GKD system.

Added the following signal types:
Volatility/Volume Entry
1. GKD-V Volatility/Volume signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior

1-Candle Rule Volatility/Volume Entry
1. GKD-V Volatility/Volume signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close)
2. GKD-B Volatility/Volume agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-B Baseline agrees

Added the following backtest options
-Super Complex allows for the creation of a GKD system without Confirmation 2 indicator. This backtest type requires the addition of a GKD-C Confirmation indicator
-Stacked allows for the creation of infinitely stackable GKD-C indicators. This is useful for combining two GKD-C indicators to test their synergy together before using these indicators in a full GKD system.

2023年4月14日

發行說明

Updated to handle GKD-V stacks

2023年4月15日

發行說明

Added volatility signals to continuation signal qualifiers.

Added Confirmation 1 + Confirmation 2 backtesting. This allows you to backtest C1 with C2 indicators together without setting up the full GKD system. In the GKD system, the C2 indicator acts as a minor trend filter while the C1 indicator delivers the actual signals and entries. This new backtest allows you to test the entries and signals from the C1 indicator while using the C2 indicator as the macrotrend filter.

2023年5月7日

發行說明

Updated for new GKD backtests.

2023年5月13日

發行說明

Additions and Subtractions:

-All signal logic has been transferred to the new GKD-BT Backtests. You can access these backtests using the links provided below:

GKD-BT Giga Confirmation Stack Backtest:

GKD-BT Giga Stacks Backtest:

GKD-BT Full Giga Kaleidoscope Backtest:

GKD-BT Solo Confirmation Super Complex Backtest:

GKD-BT Solo Confirmation Complex Backtest:

GKD-BT Solo Confirmation Simple Backtest:

-Removed all Confirmation Type options except for "Confirmation" and "Continuation." The "Continuation" type is only used in GKD-BT Solo Confirmation Super Complex Backtest and GKD-BT Full Giga Kaleidoscope Backtest when selecting a Confirmation indicator.

-Added new signal plots based on the selected Confirmation Type. For the "Confirmation" type, only initial Longs and Shorts will be displayed on the indicator. For the "Continuation" type, both initial and continuation signals will be displayed. In both cases, if multiple signal types are present (e.g., middle cross, signal cross), these signals can be controlled using the "Signal Type" option.

-Implemented code optimizations to enhance the rendering speed of signals.

-Streamlined the export process by generating only a single value for export to other indicators or backtests. This exported value is named "Input into NEW GKD-BT Backtest."

2023年6月7日

發行說明

Updated for multi-ticker GKD.

2023年6月7日

發行說明

UI update

2023年6月7日

發行說明

Input fix

2023年7月3日

發行說明

Updated for GKD optimizer.