Maximum and Average Retracement
Fibo and wave t. are the 2 things I'm currently convincing myself to start testing on historical data. I haven't really done any progress on it, so technically I'm just interested in your findings and willing to help :)
To start it up:
Why not for starters just take the period data, calc the fibo levels and count how often next period data falls into any of the fibo levels of previous period? Average data and calc standard deviations. That way you get pretty conclusive data on the validity of the fibo claims. (meaning the probability that the next low price falls to for example 61.8% of retracement and so on)
On the same note I was also gonna write a standard candle recognition library to test the candle patterns as well. This should be very easy to do, but I simply haven't had the time to do it yet.
Very interested in the concept. Was looking for the average retracement to help me determining the correct grid size to use in trending markets.
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I'm trying to wrap my head around how to code the worse Fall (or Rise) of a Price within a Single Day (or Week); and the Maximum Retracement associated with that period. Also, along with the worse fall, I'd like to know what's the average retracement on a Daily (or Weekly) Instrument. I'd like the fall in Pips and the Retracement in %. I wanna run this script/ea on the instruments history to get the data.
Example of where I'm going with this: I'm not a big believer in Fibonacci Retracement, I've now gotten to it on my long list of stuff to investigate. Tho my ? have little to do with Fibonacci, it's the best example I can think of. I don't think one can know where the retracement would begin and thats why I wanna get a worse case scenario and average case scenario. Wave analysis might help on where it could start and I welcome comments regarding that.