Optimal h value v2


Given that my coding is correct (which I always hope it is but am vulnerable to error), I think I’m going to be done with h values for a while. If trading transient bars mean always counter trend trading, and this is the true hit probability, then this is basically the equivalent of a “minimum retracement level”. I think I’ll go all in on a micro to see where it leads me. There is still one more interpretation that I haven’t gotten around to which will probably be done at some point, as well as figuring out the k value. This is one of the best results I’ve gotten so far, but implementing it correctly is still an issue. I’ve always been a believer that a semi martingale strategy works, but it must be implemented very cleverly with a worst case scenario exit signal that doesn’t end in a margin call.

There’s still a lot of work to be done with transient bars, specifically with the sequencing that has been mentioned but I think I’ll wait until another time to read through that and work through what it actually means..


Time to re-attempt SB work I believe


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