If we knew exactly how the price was moving... - page 7
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
In fact, the question was originally a theoretical one.
Also correct. :-)
At any rate, we have to admit that there are certainly distributions for which asymmetry can be exploited for profit.
However, apparently we are not offered such on the forex market. :-)))
The question seems to remain theoretical: we are smartly reasoning about the pdf, ignoring the ACF process.
By the way, I have dug out a book on optimum profit strategies.
The question seems to remain theoretical: we are smartly reasoning about the pdf, ignoring the ACF process.
By the way, I have dug out a book on optimal strategies for profit extraction.
It's not the pdf that needs to be analysed at all, especially when it comes to using sp and tp, but High-Open and Open-Low, for example.
I made a script to check the significance of levels. When price approaches the maximum/maximum for X hours with less than Y points, we plot the distance distribution from this level and to the extremum for the next Z hours. It is also possible to select the time of day when we are counting.
For example, if the EUR goes from 8 AM to 13 AM towards the maximum of 8 AM by less than 10 pips, then we calculate the distance from the maximum of the following hour and up to that level.
A strong surge is at zero. I.e. the probability that the maximum of the next hour will be equal to the maximum of the previous 8 hours is higher than it should be, for example, on the Sat. There are also small spikes in the levels 10, 20, as well as -10 (but it is hardly visible on this chart, we should look at the approach of less than 20 pips). Roughly speaking, the price is most likely to reverse at the previous extremum or at levels multiple of 10 pips above and below it. Frankly speaking, as for the -10, +10, +20 levels, they are much weaker. The same is when you approach the lows.
For the pound, it is almost the same, but the -10 and +10 levels from the extremum cease to be significant (it remains +20):
for the yen is different:
There are almost no outliers at zero (the level of the previous extremum). There are dips in t-steps -8,-5,-2,2,5,8,11,13 etc. Which is probably due to DT filteringThere are also small spikes of 10, 20 and -10 (but this chart does not show it very well, we should look at the approach of less than 20 pips). Roughly speaking, the price is most likely to reverse at the previous extremum or at levels multiple of 10 pips above and below it. Frankly speaking, as for the -10, +10, +20 levels, they are much weaker. The same is true for the approach to the lows.
This is the effect of the fifth digit.
It's a fifth sign effect.
unlikely. I analyzed on 4-digit history (m15 over 10 years)
More likely just placing the pending orders at previous extrema and the more cunning ones at 10-20 pips above and below it.
I continue to spoil myself with nothing to do and observe some miracles!
I decided to gain more statistics for the TS trading on the principle "cut the losses and let the profits grow", implemented on the principle of trailing StopLoss. I have introduced a mobile TakeProfit in TS and plotted the distribution of takes from their size (Fig. on the left).
You can see that loss-making takes greater than Stop Loss are small for the TS that trades on formed bars, and they are determined by the size of the bar, which can be larger than the size of the SL (to get in behind it). And the miracle starts when you introduce a Take equal in absolute value to the Stop. Suddenly, there appear "heavy tails behind the Stop (Fig. right)! I can not understand why this effect can be explained except for algorithm error. The problem is that you can't see the error, because EA's code is as simple as a kopeck.
Below, videotape, which demonstrates dynamics of change of FR of bribes as a function of value of TR.
We can see that for the TS that trades on the formed bars, the loss-making takes greater than the StopLoss are small and are determined by the size of the bar, which can be larger than the SL (to get behind it).
If you use stop and take at the same time in this testing, their values become dependent. If you set sl and tp at the open bar, the triggering of the take depends on the High-Open distribution, while the stop depends on the Open-Low distribution. If you limit the High-Open and decrease the size of the take, the Open-Low increases. Roughly speaking, if a 5 pips takeout failed, the Low will on average be much lower than if a 20 pips takeout failed. If we consider SB (cumulative sum) and put the absorption screen in the positive zone (analogous to tp), then if the particle is not absorbed in time t, it will most likely be in the negative zone and the smaller tp and the longer time, the lower on average. I.e. we beforehand limit set of trajectories SB
I have run the TS at the opening prices. There is no Close, High or Low in the system... Nothing but Open!
Also, unusual is the fact that to the left of the take, there is a dip in the number of takings close to the take level. It's as if someone senses the presence of a cutoff. That's where the bullshit is! Look at how the previously flat slide of takedowns deforms.
I have run the TS on opening prices. There is no Close, High or Low in the system... Nothing but Open!
Well in principle the increments are dependent anyway. Completed the previous post with the SB analogy.
Maybe not the same.