Category Archives: idoublestoch

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.

Progress on Metadata and TCDs

SO difficult!

When I find myself studying metadata and the resulting TCDs, I find myself struggling with a lot of philosophical, chicken-and-egg, and catch-22 type of issues.

Creating additional metadata is easy. Quite easy. The issue is analyzing it correcting and discovering what is “right” and what can be improved upon. I suppose first I should define how I view research in general.

The goal of research (for me) falls into two categories: Signals, and system/knowledge.
Signals: each signal has an absolute end: does the signal work or not? Is the bar recurrent or transient? Discovering strong signals (ones that don’t fail often) is difficult, but calculating whether or not your signal works is easy. You can set it with either a time control or pip control (stop loss) and at the end, you get a clean number. x% wins, y% losses.
System/knowledge: This type aims to take the information displayed through raw data, and strip it down to only what is necessary: highs, lows, critical points, etc. Things that fall into this category are like all the wave models I’ve created or market states.

SB TCDs clearly fall into the second category, and the issue with these types of analysis is that it’s hard to know if I’m right or wrong.

Since TCDs are based on raw data, they update as time progresses. The net end of a TCD is some sort of output, such as a number or translated into “long”, “short”, “flat”, “expand”.
Now, If my TCD is signaling “short” anywhere in the green box, is the information “correct” or not?

Capture

Clearly, the chart moves from an uptrend to a downtrend, and clearly the leftmost side of the box is capturing the end of the bull move. If I’m working on a TCD overfill signal that is suggesting that the longs are overfilled and a short movement is necessary, at what point is the signal considered correct? Given the nature of the market, an overfill, whether it be long or short, is bound to be correct at some point or another.

My conclusion from this was that “correctness” needs to be in conjunction or agreement with another TCD. But this leads to similar types of questions. If my signal changes from Sell to Buy, when do I buy? For how long? For how many pips? What determines if the baseline TCD is an accurate representation of price? Initially I thought it was possible to use something like the standard H-pL and pH-L. However to use these effectively, it seems like it’s simply morphing the chart into another chart. (from the standard OHLC time based chart to a TCD connected time based chart.

ok7k77

To take the chart from SB’s thread with the quote:

“Based on just these questions alone – I could look at this one chart alone and tell you that this currency pair was about to make a move Long for at least 80 pips (the harmonic average) and that it was going to do it within the next 24 hours.”

My issue is that historically I’ve seen stuff like this occur with other TCDs, but it has issues that I have with this chart as well:

1. Period 44 looks like a similar position where the Long TCD looks like it will cross the MA, but doesn’t.
2. Even if the long TCD DOES cross over the MA, it doesn’t mean that it will cross above the Short TCD and it looks highly likely that the Short TCD will still be higher.

I can think of some answers to these issues, but only in more general abstract ways. aka, to deal with point #2, develop a signal or indicator that will indicate when the short portion will be over so that the long portion may run. I see this as the following:
Tomorrow the day (starting from open) will see 80 pips up and 80 pips down with 75% probability. Based on this, you cannot successfully trade it. What you would have to do is to develop a way to know (or reasonably know) when the short or long portion will be over to trade the other side with good RR. On and on! Systems need to be developed to monitor other systems to monitor other systems that give output on what will possibly happen next. I believe that this is ACTUALLY how the “real” system works, but being able to develop these parts together yet separately is the catch-22 aspect that I struggle with.

Aggregating and fills pt 2

Kind of a short conclusion, but after digging through it a little bit, I’m fairly convinced I still have the wrong model. There are a few signs when something isn’t there, although I can’t quite explain why. On the upside, I am a bit closer. The numbers are a lot better (about 10% better) but still not good enough for an edge. This means (hopefully) that I’m on the right track, but that I’m missing a few components. I have a few ideas as to what may work, but creating the data for that may be difficult and I may have to scrap this line of thought and try something else.

-Build data, not signals.

Back to the drawing board

Aggregating and fills Pt. 1

I haven’t been posting much (as I expected) but i’ve actually been getting a lot done. I’ve basically been running VBA macros non-stop for a few days now. The trick is that I need specific values based on the wave (and it’s length) so since every wave length is different (or unpredictable), I need the code to account for that. I’m looking at over 1500 swings and calculating 18 different values for every hour so excel has been quite busy. I’ve also had my fair share of debugging. Excel just finished the data and i’ve looked at it for a good 3 minutes and I already decided I’m going to need to write some more code. What use to take 5 minutes to analyze now will take 36 hours or so after fixing bugs (my friend thinks I should get to learn more coding and get a job in the industry. He has no clue how bad at it I am HA).

FILLS

Upon looking at the data, I immediately thought of SB’s thoughts on fills and TCD trajectories in general: If done properly, one will be able to see the end of the ‘trend’ before it occurs. There will be signs that the subordinate TCD is growing in strength and prepared to overtake the dominant one.

 

Aggregating

Time to start aggregating.. “I have the key, now I just have to find the lock”agg

There’s a fair chance that given the way I’ve calculated my base points, I don’t even have what I want. But I have an idea of what I’m looking for and we’ll see if the data brings any of it to light.

 

I’ve said it before I think, but I’ll say it again. All of the statistics I have done for the past year pre-transient waves have not provided an edge, but they have provided a lot of background knowledge that’s helpful to simply know how the market moves. Looking at data such as types of bars that follow other bars, times of extremes, etc. yield too large of a range to make a comfortable system out of, but they do show the limits that the markets usually follow. Putting these ideas together into the transient waves helped me create a better picture of what’s likely to happen, now in a scope that can actually be useful.

In going into the meta-data now, I really don’t know what to expect. It’s kind of a blank sheet again as far as what ‘limits’ the data contains, but hopefully, I can find something that confirms what the transient waves have so far shown. (semi) independent tools, same signal.

 

 

 

For fun:

It’s been a long long time since I’ve cared about sharing a forecast, mostly because I never felt comfortable in my analysis, but I think this one has a fair shot actually. This single chart currently contains all of the little odds that I’ve found.

Even though this looks like a very normal down trend move, I believe the expectation to make another down move to be not very likely, at least not yet. For price to actually hit the box would be very cool, although I’m not betting on it. It’s the product of a potential edge that I haven’t even come close to verifying yet. What I do think is very likely though is for price to move up a bit, and create a new transient high, and then for the next transient low to be higher than the current one. A fractal low of transient bars.

agg2

orrrr we’re just heading into the 10% region.

B2i Vanilla

Funnily, my state made rectangles don’t preform all that much better than the villa B2i.

I haven’t been spending that much time working on it because I’ve been immersed in another thread that deals with the Levels aspect of trading (rather than waves) the B2i rectangles and what I’ve been reading about are quite similar in that regard actually. I think I will study it a bit more and make a series of post about it.

Bsivanilla

B2i on states

My first attempt at combining the states and the rectangles from iDoubleStoch.

-Split hourly data into 2 states: flat and moving
-Block them up into “days”
-Apply B2i theory to the days, creating a vector point and testing whether or not price would return to that level.

b2i

 

After eyeballing a couple of the setups on the charts (pre-excel macro) I felt like price needed more than 24 hours to complete the level, given that a lot of my boxes were larger than 24hr. Therefore I started by giving price 48 hours to complete the level. A bit surprisingly the trend state preformed a bit better. Look similar to the Delicate secret success levels. I’m wondering if these are just common numbers for price coming back to any price in the duration of a day/2 days/week.

Wonder how the numbers would change if I added the MA filter..