Category Archives: Delta Trading

RHS # 2.9 Ratios separated by type

old

new

one line for down waves, 1 line for up waves, filtered by smaller ratio. A nice idea, which is why I’m posting it, but atm i think it might be a bit too choppy to trade with.

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RHS #2.7 Swing Ratios

t2
Each type leads to one of 3 other types. Total of 6 types, plus dom/non-dom, makes this one set out of 12.
These ratios still don’t tell me about the reversal probability, but rather about the continuation probability and when price may not have to continue. I think I definitely need a new TCD completely to try to capture reversal moves. Distinct Vega or Vega prime maybe? hmm..

The way I’ve been using this is pretty simple; if the current wave ratio is in an extreme in terms of the histogram, then price should make a new extreme on the chart.

current

I find the 0-140 ratios to work much better than the 100-500 ratios, and since the dom and non-dom are roughly flipped, I pretty much always have a ratio that is in the favorable range that I can use. The histogram for the 100-500 range is much more spread out, and harder to be accurate.

I still need to look at how these ratios play out in the charts, but my gut hypothesis is that ~.84 ratio suggests that price is a bit over-extended (being in a ~5% extreme), but needs to “fix” the ratio to be in an acceptable range. These numbers are averaged over the length of the wave, so this would mean that if price wanted to create a “correct” ratio, it would need to make a new extreme to print a new number, but only after some time, in order to drag the average down. In other words, the expectation is pullback or pause, followed by new extreme.

c price

We’ll see how this one plays out. If these ratios really work like this it would be awesome. Not quite what I was originally aiming for, but still big.
Edit:
fail
Not quite there. Some good opportunity for profits if I wait for a good R:R probability which I did get. but the map did not complete..

Edit2: I’ve been studying the ratios over wave time. Oh boy does the rabbit hole go deep.

RHS #2.5 Fill bars as R/S

The number is referring to the timing of the fill bar – 1 is the first fill bar that appears, 2 is the second fill bar that appears, etc. Probability that fill bar holds as support/resistance.
fill break
Kind of interesting to note that the 3rd-5th bars have a higher probability to hold than the first two.

Number of bars it takes for the fill bar to be broken:
number count
This one was kind of a bummer, I hoped that it would be much more clustered towards the lower count because it would map the overall map much more clear. As it stands though, I take it as a sign of no edge. Remember that markets have to move in order, so a completely uniform distribution is a very rare event. If they were more clustered, it would mean I could take this approach to the market:
-New wave occurs (still have to distinguish between the starting point of the new wave vs mini retracement in bigger wave)
-Wait for over/under fill
-If overfilling, wait for high of bar to be taken out, likely in next or 2 bars later (note: not the case here)
-Short
The probability to break is decent, but if I want to have an accurate measure of when it will break, I’d like to to wait until at least an 80% probability, which is 5 bars. To me it’s just too late, because 5 bars vastly increases the probability that the wave has already ended because if price is not going down (breaking the bar) then it’s going up and extending the wave.

Overall, there is a 86% (233/271) that the first over/under filled bar will be a continuation bar. In up moves, an underfilled bar will lead to at least 1 more higher high before the termination of the wave and vice versa for shorts. aka, there is a 14% chance that the first bar that is extreme filled is actually the extreme itself (done this before). It continues that there is a 66% chance that this bar is broken on the other wise (further pullback). So the most likely flow of price in these structures is to make an extreme, pullback, and continue, sort of like a mini-swing within the swing. These are more tradeable points, rather than the map given by the overall swing.

fill bar entries
These are kinda cool to look at, may be some extra things to pick up and test.

Rabbit Hole Series #2.2

PP
Calculating pip profit from the first signal entry to end of wave. Negative numbers, of course, for the entries that occur at the end of the wave. There were a few (<10 or so) that had a “valid entry” but occurred near the end of the wave anyhow, so the potential was quite low. The overall summary of this single aspect is roughly: 98% of the time if you take the first signal that appears in the true wave, there is a 70% chance to make at least 5 pips. Seems okay, but is missing the possibly large error that the system would require assumption of where the current wave start point is. Sometimes one would perhaps think that a UR is starting when it’s really just a small bounce in a continuation DT.]

The upside is that the large majority of the profits are in the over 25 pips category, suggesting that overall, this TCD does give the correct signal about where price can go. I think this is an okay start depending on what I can add on to it, I still need to:
Look at the other two scenarios: oversold in down moves and overbought in uptrend moves
Look at the TCD crosses or create a new TCD to interact with this one.

Rabbit Hole Series #2.1

Note: I’ve been through a lot of renditions of this already tweaking numbers and adjusting values; optimal numbers for frequency and success are still being looked into

4 Possibilities:
script
Either find a chance to jump in with price before the move is over, or anticipate the end of the current move.

Starting with the in-trend moves, or the oversold up moves and the overbought down moves. Within each wave, I’m looking at the number of times one of the above occurs within the set:

occurances
I was hoping that there would be much more of a cluster, rather than the range that we see (like 90% of the data contained with 0-5, but that’s clearly not the case). However, it’s just the case that sometimes you get something that looks like this:

seve
This is showing 8 occurrences when I think it should really be 2.. so filtering out the clumps..

1

Much better! My developing general intuition about using the number of occurrences before the “max” is that if you can’t cover at least 90% of the data within 3 or 4 points, it’s not very useful.

In these two scenarios(overfill/underfill), since movements are pinned against a wave, the only time it fails is if it gives a signal at the very end. In other words, The worst case scenario is if the price wave is down, and this TCD prints a overbought at the very end of the wave; inducing more sells at the worst price possible. For this TCD to have value, the number of these failures needs to be REALLY low. Trading TCDS is essentially statistically backed confidence, so I better have a good reason for being confident!:

post

A=The probability that the incorrect signal appears at the very end of the wave
B=The probability that the incorrect signal is the first time a signal is given
Therefore: probability that the first signal given is the incorrect signal= (.040*.348)=.014 or 1.4%. not bad..

currently there extra bars are in there are a sort of filter protecting (in live trading) against starting a new wave too soon, and also in hopes of potentially catching the new trend right as it’s developing. Each wave currently has an extra 2 dummy bars attached at the end of it. I think that I likely need to add a couple extra to help determine when the move is over, find a use for the other TCD, or create a new TCD (most likely) Example of one of the failures:

seve

What’s left is the biggest piece of the puzzle: How accurate are over/under fills in respect to price? Sure visually they consistently look similar, but how similar are they really? Tricky to answer..