Market etiquette or good manners in a minefield - page 86
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The PT kinks should lie on the kagi +/- spread,
In the picture they are under/over the kagi breaks.
Is it the quality of the picture or...?
If it's the former, please make the picture more readable.
Mikhail, you are right of course. This image is not attached to ticks and therefore it is drawn in its own counts. If the chart is drawn on tick data, it will be exactly as you say - the breaks of PT lie on the edges of kagi +/- spread. Only not the spread, but +/-. Here's the correct picture with the timing of the ticks:
It is the spread from the edge(in the general case), as "payment" for the entry at the +/- point from the kagi bend - now, I guess, everything is correct and complete.
H+ strategy is easy to imagine,
Please give a graphical example or signs ("...a saw going counter-rotation (H-pack)...") of an H-pack occurrence.
Apart from some "sags/flashes" on kagi ribs nothing comes to mind, but I don't think they can be considered as a sign of H-pack.
In the sparrow you can see that the H+ strategy opens a position in the direction from the formed Kagi top to the last point of the PT (along the "trend"):
In contrast, the H- strategy implies a counter-directional position opening (Figure left). Obviously, on the same section of historical data, it is possible for different horizons of vertical partitioning of H, to allocate H+ package or H- package, which is actually shown. Of course, the H+ strategy looks more attractive in terms of risks the trader has to take. The matter is that this strategy comes down to the rule - "Limit losses and let profits grow", and in contrast to the N-strategy(limit profit and let losses grow), it has a strong limitation of maximum loss per one transaction, which is limited by the value of H. But, unfortunately, statistical analysis shows that in today's markets, the more profitable TS is the H-strategy (markets are now predominantly rolling). It certainly leads to more unavoidable risks, but nevertheless makes a profit.
What I'm talking about, is easiest to understand, looking at the TP size of the bribes of TS trading by the Н-strategy:
From Fig. it is clear that with a positive MO of the H-strategy, you can take lots (up to 3-4 H). The H+ strategy has a similar distribution of take values, but mirror-like.
Great, i.e. in fact the value of H determines the type of strategy.
But, imho, it is also determined for the given H by the instrument, or more precisely by the VI.
Here is a tabular representation of the previously shown charts
green marked areas with cagi-buildings < 2H
For the stock market and futures the influence of VX will be even more significant.
It turns out that there is a further challenge to choose the type of strategy.
What do you think are the ways of solving it, apart from history analysis?
Michael, not to sound snobbish, but tell me what you have where in the table. What do the numbers mean? And draw a conclusion from this data, it will help us to navigate more easily.
Michael, not to sound snobbish, but tell me what you have where in the table. What do the numbers mean? And draw a conclusion from this data, it will help us to navigate more easily.
Same as in my last chart and your last 2 pictures,
showing the different cagi split at different H's on the same time interval
The hours of the day on the left.
Columns - different H with step = spread
Cells - cagi segment length in H
respectively, green cells - hours with cagi segment length < 2H, i.e. assuming H
The conclusion, imho, is simple, since no pips will be given, the task of choosing an H-strategy arises.
Hence the question: What do you think is the best way to solve it, apart from history analysis?
Here's what I think about all this: for any BP there must be such an H, at which a breakdown giving H+ strategy is possible. The only question is that this H may appear to be within 2 - 5 spreads, which would result in Pipsing, and therefore there is nothing to do on such a market and we should wait for market situation change (at least to H=7 spread ). Here I remember the words of Jessie Livermore, who said that the mistake of many promising, but losing speculators of his time was thinking that they can trade every day in any market. It seems to me to be a mistake too, and here's why: because it's a simple reversal system - if you don't buy, you sell and vice versa. This approach can only exploit the statistical advantage, which we now know NS has, but it is within the spread. In my opinion the system should not always work, but only when the market patterns used by the system statistically significantly exceed some background. It is quite possible that the measure of this background is the size of H and the strategy(+/- H) determined based on this size. Of course, this is just my assumption and it needs to be checked, which I can't do myself.
P.S.
Neutron, please excuse me for using this value (spread), but so far my conclusions about its extreme relevance have not been refuted by practice and (even indirectly) confirmed by numerical experiments with the distribution of kotir increments. I completely agree with you about the importance of adjustment of the system exactly to my brokerage company and to my filter (and to a real filter, not a demo one, because there is reason to believe they are two big differences), however, this agreement leads me again to the same spread.
green highlighted areas with kagi building < 2H
Michael, the values obtained in the cells are the average. This is understandable. But, it is not at all clear how reliable the result obtained is. Output the variance information for each value. My understanding is that after this procedure, more than 95% of the reported data will be invalid (the standard deviation will be commensurate with the MO estimate).
Also, it seems surprising that for small H you have observed Hvol>2 values (second column). According to my data, Hvol<2 is stable in this area.
Here's what I think about all this: for any BP there must be an H at which a breakdown is possible, giving an H+ strategy.
The problem is that the stability (in terms of trend reversal) of the H- strategy is much higher than the H+ strategy, which erases all the advantages (in terms of risk) of the latter.
Michael, the values obtained in the cells are the average. This is understandable. But, it is not at all clear how reliable the result is. Output the variance information for each value. My understanding is that after this procedure, more than 95% of the reported data will be invalid (the standard deviation will be commensurate with the MO estimate).
Also, it seems surprising that for small H you have observed Hvol>2 values (second column). According to my data, Hvol<2 is stable in this area.
The problem is that the stability (in terms of trend reversal) of H- strategy is much higher than H+, which erases all advantages (in terms of risk) of the latter.
Certainly the findings need to be evaluated.
However, in any case, there will be identified VIs with stable > or < 2H with sufficient certainty.
In practice at +/-H points from the kagi bend a buy or sell decision has to be made
based on a choice between H+ and H- strategies.
What methods do you propose to solve the problem of strategy selection, apart from the analysis of the VI history?