Attempt at states

I’ve been updating a paper to-do list which I think is helpful to give me a better, more clear direction on what to do next. Traditionally I’ve just asked questions about the market in general, and come back with a statistic that answers that question (what’s the average wick size?) What I’m trying to do now is to break the market down into a “complete” structure, by asking questions and receiving at the end not a statistic, but more data. Data that can be changed as the info that goes into it changes, and data that can allow me to ask more questions about the market.

I’ve been soaking in information from Rel and my first stop is to come up with my own way to do them. I think even though there are issues with the fixed TF, I just don’t have the programming ability, nor do I particularly want to expend the resources to learn how to create MTF or range bar charts. I’d also like to create these states as an indicator in MT4, but again, my programming skills are not up to par; When I have a specific goal in mind I’ll do the work to see if something is there first, and then perhaps pursue an indicator to make the grunt work easier should it be easier.

Right now, the hardest thing about creating an indicator (I think) is my foundation/premise. Rolling 1x24hr, my (temp) “fix” for MTF. There are a lot of issues with rolling days, specifically when it comes to H-L ranges and averages, because essentially rolling days means that for every additional hour, it’s calculated as an additional day. We’ll see if I can come up with a good way to filter out data and not destroy it or be too arbitrary.

I decided to start with 3 types of states: Flat, Expand, and Trend. I want flats to represent low volatility, expansions to represent increase in range with no direction, and trending to be the “move”.

prettypicturethe blue box is the SB flat box, but I want to make it more dynamic by doing the rolling hours and potentially creating a flat box that starts/stops at a specific hour, not day. Ideally a flat box would look something like the blue+yellow box combined. Atm, I kind of see expansion boxes like flat boxes with a bigger range.

Once I create the states, I need to extract information via asking it questions. I think flat and possibly expansion boxes can utilize the ‘funny rectangles’ and trends will utilize active price ratios as well as interacting TCDs. Identify state->utilize state specific strategy->determine next state timing. I now think I see the use in states. I think I will soon see the issues with it hehe.

trend change

Rough draft states. Currently I have a total of 94 state changes from January of this year until now. 1 state transition for every 36 hoursish? I know states are constantly interacting with each other and they overlap, but in this basic version, I’ve pinned down the state change to a specific hour. Problem using fixed time? Maybe. Workable? Hopefully. Perhaps I can late use some SB-style subordinate to dominate “state” trajectory” to determine probability of state change. I will definitely find out in time if the numbers are off.

 

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