a trading strategy based on Elliott Wave Theory - page 211
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This is an interesting picture.
Visually, only the asymmetry of the filling of the 1st and 4th quadrants draws attention. Especially the quadrants with side 20, adjacent to the origin of coordinates.
In the 2nd and 3rd quadrants this asymmetry is almost imperceptible.
And the tail on the diagonal of the 2nd and 4th quadrants probably cannot be considered significant for trading.
IMHO. What do you see here ?
If this question is asked to all of you, I can add from myself that I don't see anything yet. :о(
How do I use it? For example, I have a current outrage of +10 and what should I expect? The response "used to be, and for the whole year" has varied from -35 to 35 (by eye on the chart). So how do you predict?
PS: Well yes, asymmetry, only I'm afraid it doesn't help. We have the vast majority of "disturbances" lying flat in the rhomboid.
Would I be wrong in assuming that these parameters are determined for each reference? That is, for each current y(i) , there would be:
Perturbation: y(i-1)-y(i)
Response: y(i)- y(i+1)
Is this correct? Or are perturbations counted by some kind of zigzag?
That's right.
Disturbance: Open[i]-Open[i-1].
Response: Open[i+1]-Open[i]. where i sequentially runs from 1 to N-1, N being the number of bars in the row. In this case minute series of the whole year was used. Such an effect is observed to a greater or lesser extent in all symbols, but it is the most pronounced on short timeframes. Well, I'm not going to show you what happens on ticks... You won't believe me anyway, or one of two:-)
The interpretation is as follows: if we have seen +10 points disturbance, most likely we must expect -10 points pullback at the next bar (see figure). Of course, the pullback may be any, even "to the wrong side", but statistically, the amplitude of the rollback is equal to the disturbance amplitude. Errors are not senile, they are equally likely and will absorb each other as the number of trades increases, but the statistical advantage remains on our side!
Neutron, don't be stingy... it's not fair, I've done it myself with minutes, but I don't have any ticks, but I'm terribly curious...
Не ошибусь я, если предположу, что эти параметры определяются для каждого отсчета? Т.е. для каждого текущего y(i) ,будут:
Возмущение: y(i-1)- y(i)
Отклик: y(i)- y(i+1)
Правильно? Или возмущения считаются по какому ни будь зигзагу?
Everything is correct.
Disturbance: Open[i]-Open[i-1].
Response: Open[i+1]-Open[i]. where i sequentially runs from 1 to N-1, N being the number of bars in the series. In this case minute series of the whole year was used. Such an effect is observed to a greater or lesser extent in all symbols, but it is the most pronounced on short timeframes. Well, I'm not going to show you what happens on ticks... You won't believe me anyway, or one of two:-)
The interpretation is as follows: if we have seen +10 points disturbance, it is more likely to expect reversal of -10 points on the next bar (see fig.).
I asked Yuriy, now I will ask the author, Sergey, how to use it? For example, my current disturbance is +10 and what should I expect? The response "used to be, and for the whole year" varies from -35 to 35 (by eye on the chart). So how do I predict?
Let me remind you, I used to get very similar beautiful pictures only with volumes and perturbations. But never could estimate their usefulness
PS: Knowing that the distribution of price increments is normal, I don't see anything surprising in the picture so far...
Well, not exactly even. :-))
I suppose asymmetry in the right half-plane can give a difference of a few percentage points between the probabilities of positive and negative response. This means that after every up candle you have to open down.
It is only unclear whether the stat difference that this picture reflects can pay off the spread. Let alone make a profit ?
Neutron, it's not irony, it's a question. Visually it is very difficult to estimate this stat difference.
Besides, perhaps you see much more in this picture than I do. Share your assessment.
It's easy to imagine what happens on ticks.
Because the price moves slowly, and ticks quickly, there must be a very strong negative autocorrelation. And understandably: up and down and up and down ...
So what follows from this? After every tick upwards open downwards and vice versa ? :-)))
I thought the picture you gave referred to your synthetic t/f. Turns out it refers to minutes. :-(
I remember your recent irony concerning my indicator, which almost every minute gives buy-sell signals. It turns out that we are not far away from each other here as well ? :-))
About statistical advantage.
So, there are two competing processes: the commission per trade and the average profit per trade. Clearly, the latter must be greater than the former. The average statistical profit from each trade can be easily estimated by multiplying FAC in the selected TF by the instrument volatility. If this product is greater than the spread - we are in luck!
Can you formulate this sentence without the word "if" ?
PS: I mean, that criterion will be triggered every once in a while...or, in a tick....o about that...