Moving back and forth between SB and Eurusdd stuff. I can’t for the life of me “see” anything in the SB stuff but I will go back to it. I was planning on spending a lot more time with it and wait until eurusdd came back for 2015, but some additional information and natural curiosity is leading me to not give it up so quick. As is with the nature of my research, I basically try out all the ideas that I can and move on to the next topic when I’ve exhausted my possibilities and have no further room to move. Anytime I think of something new, I try something new.
I read through bits of the thread again, and something interesting stuck out to me.
Some of the original propositions and information given by eurusdd:
“if the h value is correct, for given time frame and at current price p, if the previous bars never hit p, then probability is on your side for a hit within the next h bars because the probability that p is h-transient is very low”
“if h is correct, this probability should be about 3%. That is, 97% of the time, at least 1 of the next h bars should hit p”
The auto assumption that came from this is that if the h value is correct, 3% of bars should be transient or contain a transient zone. Is this correct? I assumed so for a VERY long time, and many others did as well (see many of the indicators provided). After many reads though, I think this turns out to be wrong! (and so amusing I actually laughed out loud. Maybe I’m going crazy…)
Read it. Read it. Read it again. What the indication is here is that not that the percentage of bars that are transient is 3%, but that the percentage of potentially transient bars that become recurrent is 3%. Very different! As a quick check, I pulled up the 15m data I was using for something else, and used an h value of 100. Stats were as follows:
13000 bars of data
1.00% of bars were fully transient
6.07% of bars were left side transient
83.70% of left side transient bars were recurrent
Clearly, from the “traditional” view point, the h value is more than high enough to satisfy the requirement for 97% recurrent bars total. But, it is quite a ways off from meeting the requirement that 97% of left side transient bars become recurrent.
Something to think about.