Market Statistics (Volume Histogram, VWAP with SD bands) - page 18

akifusenet
292
akifusenet  

an explanation

Even if the most users know there might be some new users around so it is better to give explanation for AppliedPrice:

AppliedPrice = 0 - Close

AppliedPrice = 1 - Open

AppliedPrice = 2 - High

AppliedPrice = 3 - Low

AppliedPrice = 4 - Median Price = (High+Low)/2

AppliedPrice = 5 - Typical Price = (High+Low+Close)/3

AppliedPrice = 6 - Weighted Close = (High+Low+Close*2)/4

Akif,

xx3xxx
1754
xx3xxx  

thanks akift and igorad

I have tested it on historical chart on CAD-JPY

my findings is

- kind of like bollinger Bands

- but non - lag -- no repaint (my guess)

-- have to use with it other indicator during start of BIG trending

-- avoid using it during consolidation time -- misleading

I do have great admiration on akift work because it is on the way to build the best Crag computer for the broker -- a great swallow machine is on its way

got any notes, on how to use it -- which pair etc -- what market conditions scenarios -- wanna to exchange some notes on the personal level

I got my SL indicator made last weekend- kinda of dynamic too -- I don't mind to share with inner circle of forex friends == that is a barometer to measure volatility that suit our Trading Style -- the code are pretty primitive, but do the task nicely

erich
20
erich  

Vwap pvp

Hi Akift,

This new indicator v7 is completely different then v6.

How we can use it ?

It shows only two parallel bands.

Erich

akifusenet
292
akifusenet  

it should work

Hi Erich,

I tried again just to be sure but it is working correctly in my computer. And it is exactly the same as MSv6.2 but in lighting speed compared to MSv6.2. The only difference instead of giving the period in days, now we are giving the period in bars. So for example to calculate DAILY statistics on a 5 minute chart enter 288 for Periods. If it is 15 min chart enter 96 and so on...

Akif,

erich:
Hi Akift,

This new indicator v7 is completely different then v6.

How we can use it ?

It shows only two parallel bands.

Erich
akifusenet
292
akifusenet  

Still in the lab

Ok here is a screenshot from my current research. I believe with Market Statistics indicators we have a pretty solid picture of what is going on in the market.

As it is 1:20 am here I need to go to sleep now. I will talk about this later.

Akif,

Files:
erich
20
erich  

Vwap pvp

Hi Akift,

Would you please programm IMAX3 with alert EA.

xx3xxx
1754
xx3xxx  

EA is not the harry potter magic wand

basically a profitable EA -- is just an experiment that subject to forward and backward testing

my understanding to this akift indicator -- it is pure manual -- it does not tell you START nor END -- it just tell you critical point is being reached

---

to be an EA -- it must have good estimation of daily pip spread cost and volatile market's margin of error in term of pip spread cost -- as we know our cost center is SL and pip spread -- wrong choice of pairs in most people portfolio-- as most people think Other Yelling traders must give them the wisdom of eurusd to play with (what a mess for newbie to play with eurusd - but stats and advice on eurusd are widely available)

then most of them are betting on the randomness of the market -- you will be amazed by how many EA see the market is random

some of them aim to minimal break-even price level -- but what is the pip cost to do that

some of them are ZZ speculators -- if this point is the ZZ, then with this SL, I will aim for such profit

and you could also be amazed by how many EA bet on the market is a swinging market with many price action point to enter / reentry into the market

I still am not into EA, otherwise computer would take over the world trading scene -- but I do have reservation that does not have enough datamining to analyze its result and statement (balance) chart

===

in the workplace, you could open (start an project) or close (debriefing after the project is completed and close)

Have you ever try to open as Many project possible, and by doing so, you look busy while not closing it

surprise, most EA work on this logic, so you can see plenty of transactions (the EA broker , micro or normal accounts, they would be happy)

--

actually, akift could combine HIS Avalanche and HIS boundary indicator then we could have a spectacular indicator that is good enough for most time zone -- except the japanese evacuation period in the early mornings

try to think of EA is a traffic flow (weather) forecaster

an EA does have no regulatory control on the traffic

and each RV car is a CANDLE in your chart or your computer mouse on top of your bowl shape mouse pad

the key to success -- can you guess the TRAFFIC (not any car) NET direction within next 5 hours -

----

AKIFT

I am doing researching too before any job int. become successful

but I think I am a bit further in my forex research

this weekend, I am kinda into turning EXCEL style LO price range into an automatic indicator

so I modify few of my favorite indicators (other people creation, but I modify it to suit my needs, quite sophisticated coding - as I am quite ambitious in term of PREDICTION indicators for 2 years already)

now, it will tell me what price level to place my LO and how to do the SL (controlled explosion) thing after the price is HIT -- so it has to be MANUAL, the indicator just give me very good advice on the price level for entry (it also save plenty of time in the Excel data entry too , as it is so automatic, we could make the indicator to be)

if you are interested into my ScreenCapture or, my methodology etc

you can write me an email to lorealy5@ymail.com --- but I do need some form of feed-back confirmation that it is YOU (in the email)-- I could share my methodology , the display, but may not share with my improved indicator though -- as I progressively develop this one for over 1.5 months already, and it is approaching my Perfect tell tale price level point now

we could have some exchange on how our trading style which success is dependent on the market scenarios

akifusenet
292
akifusenet  
erich:
Hi Akift,

Would you please programm IMAX3 with alert EA.

Hi erich,

I am really having time issues these days. But I am writing it down maybe later I will look at it. And for EA, it is still someting which is far from me. But again maybe later...:)

I am still wandering and searching.

Akif,

MadCow
66
MadCow  

Stationarity of statistics??

I just finished reading this thread, as well as the thread of JPerl. You have done a lot of work to bring these indicators to life for us and I thank you.

I wonder if you have considered the problem of stationarity? It seems that you must make some sort of assumption about the stationarity of the market statistics if you expect past measures of mean, stdev, skewness, etc to hold during your trading period. I have not seen any mention of this in JPerl's work or in this thread.

FX price series are not stationary, but the first difference (p[t]-p[t+1]) are stationary in the sense that the mean and stdev are stationary over short periods. The volume weighting may change this, but FX volume has significant diurnal variation, so volume weighting may actually make things worse.

akifusenet
292
akifusenet  
MadCow:
I just finished reading this thread, as well as the thread of JPerl. You have done a lot of work to bring these indicators to life for us and I thank you.

I wonder if you have considered the problem of stationarity? It seems that you must make some sort of assumption about the stationarity of the market statistics if you expect past measures of mean, stdev, skewness, etc to hold during your trading period. I have not seen any mention of this in JPerl's work or in this thread.

FX price series are not stationary, but the first difference (p[t]-p[t+1]) are stationary in the sense that the mean and stdev are stationary over short periods. The volume weighting may change this, but FX volume has significant diurnal variation, so volume weighting may actually make things worse.

Hi Madcow,

I have to admit that I am really not good in statistics. I believe this thread has been the maximum state what I know about statistics. So I am not sure if I can give you a good answer. But I agree with your post. Yes we are making an assumption that the distribution characteristics will hold for the future. But you say in your post they can be "stationary over short periods". But what is short periods? There a lot of people looking at only daily charts and 1 daily bar is equal to 288 5min bars.So 1 bar in daily timeframe is the shortest you can get, yet you can get a very nice daily distribution in 5 min timeframe with 288 bars. And volume weighting, is it useful or not especially with tick volumes? It is debatable. I am sorry that my insight is limited on this maybe jperl has better answers for you.

Akif,