Looking for patterns - page 22
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
Time is linear)) but price movement within an hour is non-linear. The point: in an hour the price can make 100 steps or 10 steps, it depends on the intensity of trading. Let's assume that 1 step is 1 transaction between market participants. It becomes obvious that if there are 1000 trades per hour, the price can go very far and may go only 10 deals and we will see it as a flat. True time is expressed in trades for the market, and time sampling introduces sampling noise... This is where that "noise" comes in.
So in order to see the "right" picture of the market you need to form candles with the same tick volume?
This is one of the few ways to see the Truth.
Maxim Romanov's project. The indicator calculates the difference in the number of candles of opposite directions.
The indicator has one input parameter - the number of bars of history, during which this difference is considered.
While writing this indicator, I remembered a bad side of all the indicators that have a floating history window: the current value is influenced not only by incoming data, but also by descending data from this history window. Therefore the current curve sometimes behaves strangely active on seemingly little changing current data. The point is that there was a strong movement at the end of the window, and now we drop those values from the calculation. The curve bounces because of it.
Maxim, tell us what you did next.
The analysis window should be floating. I set the ranges. For example, I analyzed a range of 30 to 300 candlesticks. You need to find ranges where the deviation meets certain requirements and is higher than the threshold. Here in your figure you can see that everything is spinning near 0. In essence we represent it in the form of a sine wave with a floating scale. You need to monitor the current front of the sine wave and assume its future characteristics. The scale floats both vertically and horizontally. Next, the task is to adjust to the desired scale. So it turns out that we analyze the right front of a sine wave with unknown amplitude and frequency. From there on it is an engineering task, how to solve it)) And trading is a separate subject. We can simply trade that there will be more falling ones than rising ones, or we can make some grid and close by the total profit. But we must estimate the form of the deviation compensation in order to develop a trading strategy. If we see a sharp deviation on several scales, for example if we catch a deviation in the range of 50 to 100 candlesticks, we expect a corresponding compensation. In the worst case the compensation will be smooth, in the best case it will be sharp.
We should determine the level of compensation, I did not take 100% but based on the fact that the market will have characteristics of a random walk.
The point is that we should not analyse a fixed window but a floating one and analyse behaviour in these windows, then understanding the character of the movement as a whole.
So, in order to see the "correct" market picture we should form candles with the same tick volume?
To begin with, you need to understand what the market time will be. I assume you have to discretise by trade transactions. There have been 50 trades, for example. But I haven't developed this direction in detail myself yet. I have implemented another discretization that is needed specifically for my algorithm, so we can discuss and think about how to do it better. Of course, it won't work in Forex, I should make experiments with exchange, because the transaction data is more complete there. I do not think that tick volume is right because anything can happen inside a tick.
This is one of the few ways to see the Truth.
How do you advise to choose candle volume (how many ticks) ?
Pundits advise to work with a range of 50-100 ticks.
Different.
How do you advise to choose the volume of a candle (how many ticks) ?
You can calculate the number of ticks in a candle, and most importantly, compare it with other candles on history. I've noticed that if a candlestick itself has a small body (within the ATR), short shadows and maximum tick volume, then the opening shadow of such a candlestick is a very strong level in itself. And this level should be traded on the rebound, and after the breakdown - on the breakout.
What is the shadow of discovery?