Discussion of article "Price velocity measurement methods"
For instantaneous velocities, you need to look at their probability distribution. From there you find the mean speed, RMS, etc. You make tables of applicability to the market. But this is a lot of work, you can't just write an article in a day.
What is missing is a comparison of forwards (and preferably in a more visual way than tables).
A coherent statement of the essence. However, I would like to note that "speed" of price movement is formed of two components: difference of activity of buyers and sellers (who makes more market deals) and difference of volumes of market and limit orders. The more active one of the parties buys or sells at the market price and the smaller the volume of limit orders of the opposite party, the more points the price will pass per unit of time.
In the tester it is impossible to learn about the volume of limit orders and we can only guess whether the price speed is formed by a fall or increase in the volume of orders of one of the parties, or by a change in the activity of one of the parties making Market deals (thus moving the price in its direction).
That is, we do not know the exact cause of the price speed, which we measure, and this cause, in my opinion, is not less (even more) important than the speed indicator.
Реter Konow:
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Still, the problem can be solved. If we make an indicator of volumes of limit and market orders, which would record in a file their current ratio (data can be taken from the price stack), and then before testing load its data into the Expert Advisor (only the testing period should be the same as the period of recorded data) and analysing changes in the ratio of market and opposite limit orders, and the number of passed points per unit of time, we can make an observation of changes in the activity of the parties. Thus, to get a complete picture of the dynamics of the main factors that determine the speed of price movement and the role of each at any given moment. The task is difficult, but feasible.
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That is, we still do not know the exact cause of the speed of the price we measure, and this cause, in my opinion, is not less (even more) important than the speed indicator.
Реter Konow:
However, the problem can be solved. If we make an indicator of volumes of limit and market orders, which would record in a file their current ratio (data can be taken from the price stack), and then before testing load its data into the Expert Advisor (only the testing period should be the same as the period of recorded data) and analysing changes in the ratio of market and opposite limit orders, and the number of passed points per unit of time, we can make an observation of changes in the activity of the parties. Thus, to get a complete picture of the dynamics of the main factors that determine the speed of price movement and the role of each at any given moment. The task is difficult, but doable.
However, the problem can be solved. If we make an indicator of volumes of limit and market orders, which would record in a file their current ratio (data can be taken from the price stack), and then before testing load its data into the Expert Advisor (only the testing period should be the same as the period of recorded data) and analysing changes in the ratio of market and opposite limit orders, and the number of passed points per unit of time, we can make an observation of changes in the activity of the parties. Thus, to get a complete picture of the dynamics of the main factors that determine the speed of price movement and the role of each at any given moment. The task is difficult, but doable.
Yes. I agree. But as - it is certainly long and troublesome.... all this ... :-)
But there is something in the approach, it is necessary to do it - again, to carry out the correspondence... volumes of applications and their speed...
it should be easier... to solve it...
In general, in the markets, my opinion, time is relative and for this reason speed should be calculated from the efforts made to the distance, i.e. the volume of deals made to the points travelled. And then during gaps our speed will simply approach the speed of light, and on weakly volatile markets(trading sessions) we will not overtake the snail.
"Respect and Respect =)
I just finished a bot that uses almost the same strategy in its trading!
Very useful article for people who want to earn and not "drain" on the Forex market!
Thank you.
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New article Price velocity measurement methods has been published:
There are multiple different approaches to market research and analysis. The main ones are technical and fundamental. In technical analysis, traders collect, process and analyze numerical data and parameters related to the market, including prices, volumes, etc. In fundamental analysis, traders analyze events and news affecting the markets directly or indirectly. The article deals with price velocity measurement methods and studies trading strategies based on that methods.
Trading strategy 1
To test the first method based on measuring velocity as a number of passed points per unit of time using Average Speed indicator, the filter showing a trend direction should be added to the tested strategy since the indicator displays the number of points per unit of time regardless of the trend direction.
I decided to use Coordinated ADX and MACD (CAM) indicator as such a filter. The trading strategy will look like this:
Fig. 6 visualizes opening long and short:
Fig. 6. The trading strategy's entry conditions
Author: Alexander Fedosov