Category Archives: eurusdd

Trend is your friend?

Is this scientific proof to follow the trend and it’s strength?¬†(pt 2)

Continuation complete

I’m cautious to make more additions to this. I think at this point I want to be veryy critical and precise with improving at the core components. I’m kind of viewing this as “gen 1” of 1 part of a system of x number of components if we’re speaking about the SB metabrain style of trading.

The picture is pretty self explanatory given one is aware of what h values are. What’s interesting is the difference in strength between the low and high extreme h values.
For context:

Goal:
Capture

Currently (after nearly 18 months LOL):
com

The journey continues.

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MTF aggregating attempt #2

Initial batch done!

1

2

 

I think correct aggregation will be hard or impossible to do without actually using real price points, but I will see what I can come up with. At the moment, it seems that the initial edge I found a few months ago will be universal for all time frames and h values.

 

might end up ditching lower time frames due to not having enough data, but might keep the 15m to see if it’s close to the HTF findings regardless.

Single frame tests (recurrency project)

exp

Things get easier the second time around ūüôā

Days worth of work condensed into minutes. Time allowing I’ll have the rest of it done before the weekend; I’ve coded it to do the simple analysis for me so I’m interested to see what it turns up.. so far it looks ok. Neither bad nor good.

 

Edit:

Worked on some additional parts. For the most part, very consistent. I think this is a good thing. I think that if the edge I had originally applies to all time frames, it may give some “legitimacy” to the theory being a sound one.

Capture1

Capture2

 

MTF Min h

Boy I thought it would take much longer. I suppose it would but I called it quits after 4 trials. They’re more or less the same (except for the 15m) when the filter is applied.

same

Looks like I’ll be using 15 as my base line regardless of TF, which is kind of nice. I’m sure now however, that completing the multiple wave work will take much much more time to get correctly, if such a thing exists.

Optimal h value v2

wth

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

Back and forth, Something to think about regarding transient bars.

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
h=100
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.

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..