From theory to practice - page 638
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need to do a reverse PF to put the levels on the chart
it's tomorrow
You don't have a search engine? These Fourier formulas are scattered in the kodobase and in the threads.
Is your search not working? These Fourier formulas are scattered in the kodobase and in the threads, and if you're really struggling, ALGLIB can help.
Huh...
Exhausted by narcan, finally found a method to calculate non-parametric kurtosis (see attached file).
As a reminder, I personally still have nothing as a trend/flat parameter - no Hurst, no ACF, nothing at all.
My last hope is nonparametric skew and nonparametric kurtosis.
And I will apply them exactly to distribution of returnees and nothing else.
We'll see.
As there are no archives of Erlang's streams anywhere, what to do?! How do you test for excess?
Ugh...
We will have to take the usual CLOSE M1 for EURUSD from 01.05.2018 to 01.09.2018.
Let's see:
* trade 1:
entry: buy 1.17706
asymmetry: -0.02976
excess: 6.66843
exit:
Profit: +38 pips
* trade #2:
entry: buy 1.15188
asymmetry: -0.02981
excess: 7.88795
exit:
Profit: +105 pips
To be continued...
* Trade #3: 14 June 2018.
entry: buy 1.15898
asymmetry: -0.02287
excess:113.05929
exit:
Profit: +18 pips
* trade #4:
entry: buy 1.14550
asymmetry: -0.01887
excess:128.01273
exit:
Loss: -47 pips
* trade #5:
entry: sell 1.15771
asymmetry: 0.03241
excess: 53.53089
exit:
Profit: +19 pips
As you can see, the kurtosis of the increment distribution plays a much more significant role when entering a trade than asymmetry.
A total of 5 trades with a total profit of +133 pips and one losing trade would have been made in 4 months, according to the tests.
However, if we exclude 2 trades with an asymmetry >100, there would have been 3 trades in 4 months - all positive, with a total profit of +162 pips.
Not enough?
Of course it is! Especially given my passion for cash.
However, I can't offer a better one yet.
Sorry...