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Looking for patterns - page 130

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Evgeniy Chumakov:


Example of an indicator on the minutes, for TF above:

Count how many M1 candles were up and how many were down.

Output the difference (up - down) as a histogram in the basement.

The meaning: if the candlestick is closed upwards, and the histogram is negative, it means there was an impulse candlestick M1.

No regularities are more likely to be found, although I don't know. 

#property indicator_separate_window // Индик. рисуется в дополнительном окне
#property indicator_buffers 2       // Количество буферов
#property indicator_color1 Blue     // Цвет первой линии
#property indicator_color2 Red      // Цвет второй линии
#property strict


double Buf_0[],Buf_1[];             // Объявление массивов (под буферы индикатора)
//--------------------------------------------------------------------
int init()                          // Специальная функция init()
  {
   SetIndexBuffer(0,Buf_0);         // Назначение массива буферу
   SetIndexStyle (0,DRAW_HISTOGRAM,STYLE_DOT,2);// Стиль линии
   SetIndexBuffer(1,Buf_1);         // Назначение массива буферу
   SetIndexStyle (1,DRAW_HISTOGRAM,STYLE_DOT,2);// Стиль линии
   return(0);                          // Выход из спец. ф-ии init()
  }
//--------------------------------------------------------------------
int start()                         // Специальная функция start()
  {
   int i,                           // Индекс бара
       Counted_bars;                // Количество просчитанных баров 
//--------------------------------------------------------------------
   Counted_bars=IndicatorCounted(); // Количество просчитанных баров 
   i=Bars-Counted_bars - (Period()*2);           // Индекс первого непосчитанного
   
   while(i>0)                      // Цикл по непосчитанным барам
     {
   

double CAN_UP = 0;
double CAN_DW = 0;


datetime shift_time = iTime(NULL,Period(),i);
int shift = iBarShift(NULL,PERIOD_M1,shift_time,false) ;

for(int pos = shift; pos < shift + Period(); pos++){

if(iClose(NULL,PERIOD_M1,pos) > iOpen(NULL,PERIOD_M1,pos)){CAN_UP += 1;}
if(iClose(NULL,PERIOD_M1,pos) < iOpen(NULL,PERIOD_M1,pos)){CAN_DW += 1;}

}

double F_0 = (CAN_UP - CAN_DW);



     if(F_0 > 0){ Buf_0[i] = F_0;}             // Значение 0 буфера на i-ом баре
     if(F_0 < 0){Buf_1[i] = F_0;}              // Значение 1 буфера на i-ом баре
      i--;                          // Расчёт индекса следующего бара
     }
//--------------------------------------------------------------------
   return(0);                          // Выход из спец. ф-ии start()


I tried to do something fast, but it does not calculate it correctly.


Aleksei Stepanenko:
Zhen, I checked different DCs in my time , they definitely filter ticks.

It is not certain that they will. It is even more likely that all of them do not filter, otherwise they would fall prey to inter-dealer arbitrage. The difference in the number of ticks is most likely due to the fact that the liquidity providers are different in both number and composition.

[Deleted]
Grigori.S.B:

It's not a fact that they filter.

Yes, Grigori. That's my guess, I don't know what's inside. All I see is that the output is chaos. And it's hard to argue with that fact.

This is a value judgement, without claiming to be aware of the meaning of being.

[Deleted]
Just would like to hear arguments against this assumption.

If ticks are filtered, then the point of filtering is to keep the price in the direction of market movement. Then, in a rising market, the price will stay on bar hikes for much longer, and in a falling market, it will stay on lots. The question is the size of the window - maybe it's less than a minute, maybe not.

I haven't seen an indicator fixing the time the price is within a minute.

Aleksey Vyazmikin:

If ticks are filtered, then the point of filtering is to keep the price in the direction of market movement. Then, in a rising market, the price will stay on bar hikes for much longer, and in a falling market, it will stay on lots. The question is the size of the window - maybe it's less than a minute, maybe not.

I haven't seen any indicator fixing the time of price within a minute.

I dare to guess - exactly one minute?)
If you mean the number of ticks per minute, there are such indicators.
Макс:
I daresay - exactly one minute?:)
If you mean the number of ticks per minute, there are indicators.

No, not ticks, but time. Let's say at 60 seconds, the price moved in the range of 10 pips, then how long in seconds was the price at each of the 10 pips?

Aleksey Vyazmikin:

No not ticks, exactly time, let's say at 60 seconds, the price moved in the range of 10 pips, then how much time in seconds was the price at each of the 10 pips?

Everything will be predictable there - it will stay in one place longer at night than during the day.
Generally speaking, the information is useless, because we need movement to make money. And the movement should exceed the spread + commission at least 20 times. Otherwise it will be a complete casino. I.e. if the spread and commission are 1 point, then the take and stop should be no less than 20 points on average. And at such distances it doesn't matter what was on ticks.
[Deleted]
Yes, Max is right.
Макс:
There everything will be predictable - at night it will stand in one place longer than during the day.
By and large, the information is useless, because we need movement to make money. And the movement that exceeds the spread + commission by at least 20 times. Otherwise it will be quite a casino. I.e. if the spread and commission are 1 point, then the take and stop should be no less than 20 points on average. And at such distances it doesn't matter what was on ticks.

The question is not about earning, but about identifying the filtering method. I think filters work with the purpose of increasing profits and it means that brokerage companies try to forecast price movement with higher probability to a certain direction and if we understand the direction, we can use the brokerage companies achievements.

For the exchange it would be an interesting indicator - allowing us to see the average psychological price.

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