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Have a look at some of the work by John Ehlers. However, I am not making a claim that his work will result in a positive expectancy trading method for you or anyone for that matter. You may have just discovered for yourself that indicators don't work.

There are a million ways to define a trend in hindsight after one has begun. The problem is quantifying when a trend ends and when it begins in real time, and having that definition result in a positive expectancy method. When does a trend end, and when is it a pullback? That is literally the...

Indeed it does, and even guys with Nobel Prizes in Economics can't seem to get it right. Looking at you LTCM.

Yes, but if there is an inflection or discontinuity in the curve, Newton-Raphson will choke.

Calculation of implied volatility of Black Scholes using method of bisections. C++ in Finance (ba-odegaard.no) #include <cmath> #include "fin_recipes.h" double option_price_implied_volatility_call_black_scholes_bisections(const double &S, const double &K, const double &r, const double &time...

What's so special about the number 50? Why not 49 or 53? The lag in a simple moving average, or any finite impulse response (FIR) filter is (n-1)/2. In your example, (50-1)/2 or 24.5 days of lag. You can do better than that, but you need to read up on lowpass filters and how to design them...

Try a one-pole Inverse Chebysev highpass filter, followed by an Inverse Fisher transform to normalize the data. No I'm not giving you the details on purpose so that you will have to hustle and learn something new and not have it handed to you on a platter.

67 percent is a very good winning percent, but does it translate into positive expectancy? The more conditions you add to your basic system, the fewer trades it will generate with no guarantee of being positive expectancy. You will have to do some careful backtesting to determine that. In...

A Quant and a Data Engineer as described here are not necessarily the same person or skill set. A Quant IMHO has much more of a mathematical skill set than the CS/IT technologies shown here. There will of course be overlap in skill sets to some degree.

Can a slope which exceeds a value be considered a pattern? No. Think about it, price is a highly random variable, and the lookback period is randomly chosen as well. Why would a 10 day lookback be any better than an 11 day, or 27 day, or 2 day? You may luck into a lookback period that provides...

Breaking the rules is the least concern here. The biggest issue, as stated several times, is why have a business relationship with a firm that does not have a vested interest in your success? So then, what prop shops do have a win-win business model, and truly care about developing your...

An analogy is to this conundrum Schrodinger's cat. Both states are possible until you collapse the wave function and actualize one or the other events.

Want to remove skew and kurtosis from your price data before calculating expected moves? 1) perform a Box-Cox transform on price. The reader can look up this reference. 2) Calculate the future transformed data with the above formula. 3) Back calculate the future expected price using step 2 and...

future_price = current_price*exp(stddev*vol*sqrt(days_in_future/365)) Example: What is the 1SD future price in 20 calendar days of a stock that is currently $45 with a volatility of 25%? future_price = 45.0*exp(1.0*.25*sqrt(20/365)) = $47.71 or, an 84% probability of the stock finishing below...

Under the assumption of a normal distribution with no skew or kurtosis, 84% of the area under the curve lies to the left of 1SD and 16% to the right. Therefore, there is an 84% probability the underlying will end less than 1SD at the end of the "days" time period. Probability of touching the 1SD...

You could put some very specific rules around that particular pattern, but then you would probably get very few hits. It would take some careful back testing to prove whether or not there was truly any statistical edge in this rule set.

They moved because more money bought at the ask than sold at the bid over the course of the year. Trying to always find cause and effect in financial markets is surely a path to madness. There is one way and one way only to make the price of a financial asset go up, and that is to buy it. There...

How do you not chase? Buy low, sell high is my recommendation. Not easy to execute on when high and low are relative, and not absolute. I use a highpass filter followed by an Inverse Fisher Transform, in order to try and get a better than 50/50 chance of a price reversal entry point.

Ok, but that is too general a statement to be of much benefit. What specific criteria do you use to define and quantitate "massive speculation?" What rules do you follow to close long positions or to open short positions?

Pattern trading is just an example of pareidolia. Name me one pattern that you personally have backtested and proved to be positive expectancy. Name any pattern that anyone else has proven to be positive expectancy. The one exception might be Jim Simmons. Since we don't know the details of his...