Market patterns
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How do the typical indicators help in trading? Before answering, think objectively about the pricing mechanism.
I've been thinking a lot, I've tried hundreds of turkeys, probably thousands, and the more I think and study, the foggier things get. At first it all seemed simple.
What's interesting about "how" is just to sum it up. In what way or not? Unfortunately, I still have difficulties understanding the whole picture, like MACD or stochastics making predictions by themselves without considering all the reasons, is it better than a coin or is it generally possible to make a prediction higher than 50%? I haven't seen such a difference of opinion in such a simple matter, except for trading. Sometimes yes, sometimes no, sometimes yes, sometimes no... The feeling that all the market-related even laws about the market bite like quotes. But there is only one truth, all its variations are lies. I would like to find out.
I actually want to show the main types of market correlations on the level of mathematical regularities without using particular indices and their modifications. For example "trend(t)>>>trend(t+1)", "flat(t)>>>flat(t+1)", i.e. inefficiency of inertial type, or "trend FI1>>>trendFI2", or some reasonably statistically valid patterns, i.e. if(F(X(t-n,...,t)*P (t-n,...,t)) >>>UP\DOWN, like if some function from scalar product of weight vector to price vector crosses some threshold then the movement to or from this or that probability is expected...
Basically, I want to summarize in some gallery of regularities, cluster them, average them, reduce redundancies and so on. Aim to reduce the gigantic volume of all sorts of alchemy, which I personally feel stupid and unable to grasp the immensity. I've been thinking about trading for about a year already, even though I don't do it very often, I've been trying to break down the very basics.
It is purely on the level of time series, without the bull/ bear whistle, the bulls and the nature of specific FI, baskets, etc. The idea is that the analysis itself should highlight dominant and slave, structural and elemental.
I trade as I often try to do it and I get distracted by the fact that I have not understood the fundamentals. I screw up and forget about it for a while, but then my interest increases. Here I want to dot all the I's and cross all the T's.
I've read this thread, it's a concentration of it. You personally, a special commendation for not stewing in your own juices, but broadcasting knowledge.
I'm sure my intentions have not been sufficiently understood. Let me try the other side...
You need a sort of catalogue of statistically reliable relationships between time series and a set of ways to find them. The crudest outline possible, without spreads, swaps, slippages, commissions, kitchen sinks, etc.
Assume that conditions are perfect, what are the pure relationships and how they are looked for, the most typical relationships and the most typical ways to find them.
I am a designer by profession(2d, 3d, animation etc). I would like to draw the structure of the root system of trading fundamentals. I think it is clear that nothing good will come out of it without good fundamentals of construction and processing. I have learned this the hard way. The situation is different in design - you can create patch upon patch and something will work out in the end, but I see that it is not so with trading. The punishment is more severe for such lazy thinking.
I've read enough books and watched video-media, but it's like everybody avoids to speak about the most important things, they all go straight to the specialties, modify millions of times all known principles and ask for know-how, I have to understand these details all my life in any place, even in details of details, they are fractal like the market, you may look around and there is no limit to variations and nuances. And I spent a year on foolish thoughtless tests without understanding whether such a system had any chance of success, and whether this success was something objective, rather than just an accident... I should better aim to understand what to deal with in order not to get stuck in the thoughtlessness for ever.
Anyway! I want to make a gallery of inefficiencies.
A variant on the discussion of the first most obvious:
TREND(t-n,...,t)>>>TREND(t,...,t+m)
Movement in the past increases the probability of movement in the future.
I want to make a selection from simple ones to more complicated ones, and then sort out the main types of strategies and see which ones belong to which type, which ones are mixtures, which ones are even useless, etc.
pantural:
...The crudest sketches, no spreads, swaps, slippages, commissions, kitchen gimmicks etc....
Don't talk nonsense. Topekstarter, don't waste your time with this obscurantism.
It wasn't about the thread, it was about the info in the specific post on the other forum at the link given.
"Finding what you don't know what" is apparently just my case.
And concerning the nuances of forum communication, flood filtration, etc., frankly speaking, the designer forums are more rubbish as it seemed to me, after all the pseudo-bogeyman cronies are more feminine and grumpy, and the traders because of the risk of sober thinking (IMHO), dough oopsyvayut apparently ... In general, I do not care much about the flood. The main thing that among it was a grain of truth.
Don't bullshit. Topikstarter, don't waste your time with this obscurantism.
Why obscurantism? It's a great starting point! Let's think, for a start, how it can be concentrated into a set of rigorous inferences. With which you can process time series and make predictions.
1) Three types of trends.
Quite controversial, in my opinion. You can do 2, you can do 5 and you can do 10 too. Thousands of large and hundreds of thousands of small influences on price, a flood of trade orders that are based on arbitrary prediction, thousands of strategies, all timeframes, etc. etc. The distribution is close to normal in most parameters. I don't want to divide it into 3 types. I do not understand what the point is. I reject it.
2)Three primary trend phases from the same thread. (IMHO) It's a bit far-fetched.
3)The market takes into account all the news. Yes, it makes sense. It's a kind of TA ratification, but no more.
4)FIs and their baskets are correlated. О!!! Now that's a sweeping thought! Let's figure out exactly how, and what are the common ways to find the most meaningful correlations, relying as far as possible only on the TzVRs without additional explanations preferably. This is because if the information is public, it is obvious that it has been completely cut, nibbled and scratched clean, i.e. nothing is left, the whole strength is in search methods, or rather in bricks of such methods, we will not finalize the methods themselves, as it would spoil the idea, but the constructor can be discussed.
5)BP of the volume complements the prediction. Also good. As for me in general need to find a way to quantify how all available information can be related to the BP under study. And use all data, with a certain threshold of course.
6)A single-valued cessation signal is very subjective. "Single-value" is not the same as single-value, that's how you define it, in short I don't agree.
The main Dow principle is that the market is more likely to stay in the same condition than to change sharply. That the trend is statistically more likely to continue.
In principle it is something to think about, how to make it into a brief formal statement and put it in the gallery.
Great! A start has been made, I think we can do it!
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Hello, everyone. I'm Pantural.
I have tried to use Forex for the third time already, I believe there is something in it, but life bends its course. I have never gone further than 2 depots of 200$ each. Now I think the situation is better than it was 4 years ago, at least spreads are wow cool!(oh my god! It is the pantural! wow!)
I've been looking in here for a while now, whenever I get a spare minute. I haven't really gotten into automation yet. I don't have much experience in manual trading, either. I'm matured, like a juicy peach! So I decided to log in and start a dialog. I'm a hot Caucasian guy. I'm a hot Caucasian guy, demanding seriousness and deference.
I read the thread How to Write a Robust Expert Advisor, and some posts encouraged me to investigate.
In particular, I want to once and for all define what is meant by "market regularity", it is also called "inefficiency", as I understand it in the sense that efficiency = randomness, respectively inefficiency = non-randomness. In general, long ago, I immediately and without going into the essence, as if I understood what it was about, but now I must admit that I no longer understand, everything splinters. I have to put it all back together again.
For example, a comrade is speaking in black and white:
1(the pantural!)
The first place to start writing a robust EA is to look for market patterns .
If the pattern you've identified really exists, it will surely show up on the Equity graph or at least statistically (you must use scripts to collect statistics). If the "pattern" really is price noise, then on a sufficiently large sample it will collapse to zero and there will be no advantage.
2. At the initial stage it is also very important to limit yourself to minimum parameters. It is desirable to remove absolutely all auxiliary variables, including StopLoss and TakeProfit. Practice shows that a robust strategy generates profit without protective stops and profit levels, but a noise trading strategy will not be saved by any stops.
3) If the identified pattern is confirmed during preliminary tests, an overshoot graph is built. It is done in the following way, the exit from the trade is replaced by the exit by time. Then the parameter responsible for the holding time is optimized, as a result we get a certain dependence of the strategy efficiency (profitability) on the time it has been in the market. The extremum of this curve will determine the horizon of this dependence. Now we have the dependence and the time for which it is valid.
4. Then the optimizer is involved. We look through all the possible parameters and build 2D or 3D surfaces of the profit-parameter type. If the convexity of the surface has a stable structure, we can talk about a really reliable algorithm.
5. Forward testing. Proper testing on the OOS allows to identify the fit of the strategy to the market and mistakes in its development, as well as to make sure of the stability of a given pattern.
6. Further it is simple. We modify the obtained strategy by adding protective stops and additional rules that can improve the strategy performance. The main thing is not to overdo it at this stage.
7. The final variant should also be confirmed on the history and pass the OOS.
8. Testing in demo mode. Technical bugs are searched for, implementation inaccuracies are corrected. The correlation between the test and demo results is confirmed.
9. Real.
Is there a procedure (method, algorithm) for searching such regularities? Or it is a random search of all possible combinations of indicator parameters and Expert Advisors, candlestick patterns, etc. And if the equity increases and differs from the chart, the determined regularity is announced? Is there any logic or plan to it?
Please speak without too much modesty or embarrassment, but without any memes or other tomfoolery please.