Monthly Archives: August 2014

Updated stats on basic movement, Wave modeling 2.0!

I added in between points for occurrences of “double” tops and bottoms.

I think now I have my second “basic wave” structure, which accounts for movement between day to day. I think it’s a step up from the traditional ABC waves I worked on in Wave modeling 1.0 10 months ago!

updated stats

Example:

before

 

after

Looks slightly better I think. Anytime the filter draws away from tail ends and adds more to the already “builked” categories, it creates a more bell shaped distribution which I think is always good.

Now for the hard part..

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Basic movements on T-bars

It looks like I’ve been getting some more attention on this blog lately since two people have promoted it (thanks to Rel and Shiva). So to the new people, Welcome! For anyone wondering why I am no longer posting in that thread and did not realize, I have been ignored and banned from it (I made some comment about following blind trades). At least I can still read it. I’m not bothered by it at all.

 

As for progress, I’ve written a couple posts about ideas and problems that need to be solved, but I still haven’t quite been able to create a model that produces the things that I want to see.

Theory->Abstract->Hypothesis->Design->Code->Results->Analysis

  • Theory: How does the market move from point to point? How do I connect these transient bars together?
  • Abstract: Perhaps T-bars(their position, their timing) are predicted by where past transient bars are? Maybe they are connected by which levels are attracting/repellent?
  • Hypothesis: What if T-bars can be better pinpointed by projecting an extension from the past 2 T-bars?
  • Design: I will take the 3rd T-bar and measure it compared to the length of the previous 2 T-bars, both in length and time
  • Code->Results->Analysis are self explanatory

Theory is the base and premise of everything, but it’s not very useful if there isn’t a good way to confirm/deny it. Creating the proper ideas that flow from the theory to something that can actually be tested is where I am at currently.

Ideally I’d complete an abstract in the next few weeks.

 

Basic movements in T-bars:

I had the data on hand, and here is an idea that’s quite interesting to think about.

Capture

Perhaps it’s a law of the market, but there is a safe minimum movement required before the next transient bar can occur, which I think is more reliable than time atm.

Capture2

Below is our good friend the oscillator between lengths from T-bar to T-bar. The fact that it moves quite regularly from positive to negative is some proof for waves (: I think these transients might be able to identify market states for me..

oscillate

 

Moving forward with T-bars

Additional notes (tip transient only).

-Master concept: In the way that range bars are ‘perfected’ in being able to calculate which pip value to use per bar, would this transient concept would be perfected if I were able to identify  which h to use.

-PNR-Point of No Return: If price has extended a certain point away from the tip, can we know that it is likely transient before the h has completed?

-Is it true/how true is it that a wave trajectory cannot change until it has taken out the transient zone ‘blocking’ it?

Green denoting the ‘resistance’ to be taken out in going up. In wave land, I also continue to notice the .5-.7 retrace followed by the 1.5 extension being hit. Denoted in yellow.. like clockwork

1

 

Edit: Will edit as I get around to working on the foundation lol! Will edit tomorrow as I work on the foundation.

Timing ideas for transient bars

Being able to incorporate MTF analysis will once again be one of the biggest challenges..

I do want to try to find some way to tackle the attract and repel theory that was discussed in the comments yesterday, but completing the abstract for that will be hard. It’s one of the ideas about market structure movement and theory that I’ve thought about for a while be have never really attempted because it seems really daunting to extract the correct information.

Here are some notes and ideas I’m thinking of:

-After h, what’s the probability that a recurrent/transient zone will be recurrent/transient again?

-Does this have to do with how zones are forming on higher time frames?

-Does price approach or leave transient zones in a particular fashion? (ideas of speed,released “energy”, pip movement, extension of the bar)

 

Until then..

It’s nice to see that price does form transients within a certain time frame. 80% of the time we can expect a new temporary extreme to be created within 3 days. Occurrence of tops is a nice stat as well and we can expect to see a pretty regular rhythm of top/bottom/top/bottom most of the time. Lastly we expect that when we do see the transient bar, it tends to occur in the pre-volatility stage, Asian to London, rather than London and New York. This was rather unexpected.

1 2

Tracking Transients-zone size differences

I think I’ve found my trick in the thread; now it’s time to try to turn it into a full system. The trick always involves me going counter-trend, but it’d be nice to go in the direction of the flow. Little scalp picks are great but knowing the general flow and going back to the ‘follow the trend’ idea is in general best if you can manage it.

There’s some important differences between transient bars that have their tips never touched, and mid bar transients. The first generally marks all relevant reversal points and the aim is to always trade counter the bar in question. The second marks the best points to place a moving SL, or an add on buy. Never forget that the worst place to trade is always the best place to trade the other direction.

size

Reversal transient bars tend to have much smaller transient zones than mid bar transient bars. Quite a big difference really.

 

Edit: Added filter. This looks good

filter

 

Transient setup

At any left side transient zone that appears at the top, you can sell and make profit. At any left side transient zone that appears at the bottom, you can buy and make profit. The ONLY time you lose… is if you enter in a zone that becomes mid-bar transient. According to the stats, of all left side transient bars, only 4% of them are complete mid bar transient, that is price flies through the level, never even looked back at. Of the rest of the 96% of the left side transient bars however, price comes back but doesn’t kill the zone nearly 30% of the time. This seems a bit much, but if I’m working about price not returning, I’m certainly worried about the mid zones than I am the top and bottom zones.

Capture

So, there needs to be a way to filter out the “bad” trades, and avoid taking traders when the entry zone might become part of a mid-bar transient zone… possibly Bollinger bands?

eureka.

I’d shout it but there’s still some parts to work on. I was reading a few pages that I had printed off the thread for probably the 5th or 6th time right before I went to bed and had one of those “oh my.. what if..” moments. I checked the charts, checked the data, double checked both of them. It’s works! On to the next steps. This is only the beginning (: