a trading strategy based on Elliott Wave Theory - page 195
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Я сейчас работаю по паре GBP/USD, здесь волантильность побольше, чем у EUR/USD.
Соответственно и возможностей больше. :)))
Strangely, I always considered the volatility of both currencies to be about the same. And the calculation of the average relative spread of the daily bars (High-Low)/Close by days of the week confirms it:
EURUSD_1440_Day_of_Week_1 0,007266
EURUSD_1440_Day_of_Week_2 0,007871
EURUSD_1440_Day_of_Week_3 0,007981
EURUSD_1440_Day_of_Week_4 0,008332
EURUSD_1440_Day_of_Week_5 0,008522
GBPUSD_1440_Day_of_Week_1 0,007224
GBPUSD_1440_Day_of_Week_2 0,007431
GBPUSD_1440_Day_of_Week_3 0,007535
GBPUSD_1440_Day_of_Week_4 0,007863
GBPUSD_1440_Day_of_Week_5 0,008052
For the calculation of each value, 100 daily bars were taken for the corresponding day of the week.
Another thing is if you calculate the average absolute range in pips using the formula (average relative range)*Close[0], surely this value will be? Because the stop loss and take profit on GBPUSD will simply be scaled by the ratio between the currencies about one and a half times? That is, the profitability of the strategy itself will remain the same!
Volatility , as well as fractality, is understood differently by everybody :)))
Let me put it another way - the "amplitude of fluctuations" of GBP/USD is slightly greater than of EUR/USD.
The more often and "sharper" the movements occur, both in one direction and the other, the easier it is to
to increase or decrease the deposit, rather than do it during a sideways trend :)
1. I did not say that all indicators are dependent. Also, "dependent" is an elastic term. Since it is easy to check it, then provide an example of completely independent indicators. For example, prove the complete independence of ATR and any of MA.
2. Usage, i.e. interpretation, is already from the field of psychology. :-) Before you use this statement as an argument, prove that your way of usage actually carries information and not misinformation. :-))
2 встречается принципиально разное использование самих данных индикаторов, а следовательно заключения (например MACD и тот же MA)
1. I did not say that all indicators are dependent. Also, 'dependent' is a stretchy term. Since it is easy to check, give an example of completely independent indicators. For example, prove the complete independence of ATR and any of the MA.
2. Usage, i.e. interpretation, is already from the field of psychology. :-) Before you use this statement as an argument, prove that your way of usage actually carries information and not misinformation. :-))
I was about to start to write a long answer, but re-reading your post, I realized that there's nothing left for me to do but to put this symbol: - oh:)
Let me put it another way - the "amplitude of fluctuations" of GBP/USD is a bit bigger than of EUR/USD.
The more often and "sharper" the movements occur, both in one direction and the other, the easier it is to increase or decrease the deposit, rather than do it during a sideways trend :)
I think this is what I'm talking about... The spread of daily bars contains information about the maximum amplitude of price movement during the day. That is, we have information about the maximum potential profit of one trade during the day, which according to calculations should be equal for both pairs. Although, if you have passed in your strategy from the long-term analysis for 3-5 days ahead simply to the intraday game, taking into account the additional twitching of the pound within a day and to the orders with expected profits in 10-20 pips, then of course, the change of currency on the pound can only contribute to it. On the contrary, I try to avoid it, as it is probably easier to predict longer term trends (in the sense that you have more time to think and justify conclusions), rather than short term jerks in the currency during the day. I personally have nothing against your system though. Try to play on the pound. I wish you success with the new currency.
PS: By the way, I can recommend you not to limit yourself to one of the currencies. I used to do it the same way - for example I looked at one EURUSD. But now I have installed my Expert Advisor on all available currencies at my broker. There are 19 of them. Correspondingly, I decreased the lot size, because the number of open positions has increased significantly. I think it helps me to observe some technical differences in movements of various currencies and improve my Expert Advisor accordingly. I also train my eye to recognize technical images and form my own suppositions, observations and conclusions which I think help me to improve my Expert Advisor according to the strategy described here.
The answer to the question about how forecast reliability P changes with increasing number N of indicators used was of interest. The calculation was performed for any number of indicators that do not correlate with each other and have the same probability p of each correct prediction in the series. The graph shows the results of numerical modeling of forecast reliability at simultaneous operation of all indicators for p=0.5 ... 0.7 I think that in practice it's impossible to obtain p=0.55 and more from the indicator accuracy in the long run, that's why the case with p>0.6 is of academic interest only.
The results look plausible. It may be noted that prediction reliability increases dramatically with increasing number of indicators which do not correlate with each other. In this sense, it is useful to pre-evaluate the independence of signals of applied indicators and try to use them. On the other hand, any indicators that use historical price data for signal generation are a priori dependent. Therefore, we should try to use the indicators on different timeframes, it will reduce the correlation of signals, at least to some extent.
Thanks, really plausible.
In any case, I have no objections inside. Silence ! :-))
Interestingly, neither formula is confirmed on the numerical experiment.
Despite the absence of correlations the result is less than the formula with product gives.
However, it is not an arithmetic mean either !
It turns out that to achieve P>80%, you need 8 indicators with p=0.55, 4 with p=0.6 and only 2 with p=0.7.
The conclusion is clear - we should make good indicators. The more so, they are also correlated. :-))
Thanks again, it's a really valuable result.
Although the calculated form is still a problem for me.
Good luck.
That way absolute unanimity and mutual understanding is achieved. :-)
I think, in fact, the more indicators, the worse.
s=Vol*(2P-1). Profit S of TS for the finite time period t can be estimated as the product of return on the frequency of trades f and on time:
S=s*f*t.
At first approximation we can consider that P increases almost linearly with the increasing number of used indicators (see picture in the previous post). In its turn, the probability of the simultaneous operation of n indicators exponentially decreases as n increases, and it means that the frequency of trades will decrease as quickly. Thus, we have two competing processes: profitability and frequency of trades. The first one grows linearly, while the second one exponentially decreases with the growth of the number of indicators. This fact should be kept in mind, because at the number of indicators greater than a certain value, the effectiveness of TS will begin to decrease dramatically. It is interesting to find the optimal number of indicators, for example, for the forecasting probability of each p=0.55, see picture
. The conclusion is the same: the use of two independent indicators will give a generally worse result on the plot with the number of trades >10 (for the statistical significance), than when using one indicator. This is due to a sharp decrease in the frequency of entering the market.
Получается, что чтобы добиться Р>80%, нужно аж 8 индикаторов с р=0.55, 4 с р=0.6 и только 2 с р=0.7.
I think, in fact, the more indicators, the worse.
I agree with Rosh. It's all from "the evil one". At least, my own experience confirms it. In addition, the points I have highlighted are extremely important, let me remind you with my colleagues' permission:
1 sure that not all indicators will depend on each other (e.g. ATR and any of MA). This is easy to check.
2 one may encounter fundamentally different use of these indicators themselves and therefore conclusions (for example MACD and the same MA)
Point 2 is especially interesting. Take the MACD, for example. On its basis it is possible to select "triggering" in a sufficiently large amount. The most interesting is the overbought and oversold levels. That is how to determine them? Of course they are visible to the eye, but after all the most interesting things have passed. Add to this some input parameters for it, on which everything depends, plus additional logic built by each player for "triggering". This all can't help but lead to the fact that many indicators are worse than one.