hell of a chart .... now if a test on out-of-sample data and some forward walking looked the same then grats ur one of the few thats profitable
direct statistical trading a "clearly" defined approach by NTW31
- Thread starter nukethewhales31
- Start date
hell of a chart .... now if a test on out-of-sample data and some forward walking looked the same then grats ur one of the few thats profitable
you can combined anything with stats to make it profitable lol even plain ole macD
like statistically if you see macd cross with 24,72,18 period wait 3 bars if trend is still intact enter in direction exit on recross or TP - % cross level i believe its 70ish % accurate and profitable.
ole mac D r2 paper i worked on.... it works even on forex if you modify it there is a research journal thread i started called reengineering macd-r2..... or something like that was very successful i still have the code i wrote for it too modified for forex.
yeah sure id love to throw some ideas around i see you have aim in the bottom of that pic my AIM is - nukethewhales311
Do you move only LSD which are bigger than (>) or also these which are equal (>=) to SLD?
They are actually blocking my trades.
What do you think about current opportunity in EUR/USD market? If I am doing all the computations right, I cannot place any orders at the moment (09:30 EST). I am speaking about hourly bars.
When you use 3h bars, do you also use 21 bars history?
Thank you.
One more question, please.
If you take accuracy level 80% and remove 4 extreme values.
Do you remove 2 biggest values on LSD side and 2 smallest values on SLD side?
Do you remove only these values or whole bars including corresponding values on the other side? For example, you are removing extreme value 7 on LSD side what actually is the smallest number there. This same bar has value 30 on the SLD side. Will you remove both values or only 7 on LSD side keeping 30 in place?
If you take accuracy level 80% and remove 4 extreme values.
Do you remove 2 biggest values on LSD side and 2 smallest values on SLD side?
Do you remove only these values or whole bars including corresponding values on the other side? For example, you are removing extreme value 7 on LSD side what actually is the smallest number there. This same bar has value 30 on the SLD side. Will you remove both values or only 7 on LSD side keeping 30 in place?
Hello NTW,
I did a preliminary statistical study of your trading method. It appears that you have found a tradeable edge. I don't have time to do a complete analysis (maybe later in the year) to thoroughly test it and possibly improve it but I can pass on some ideas based on my observations that you may want to research.
The reason I have an interest in your method is because years ago we traded an 'opening range break out' method on daily bars (stock index futures) that was based on a similar statistical concept.
1. Choosing the open of a bar to start with is arbitrary (not statistically determined to be the best place to start). It is the price at some fixed point in time like 10AM. What is special about 10AM? Why not use 10:05AM or 9:55AM? When we traded from daily bars, there was no over night or electronic trading so using the open made sense, it doesn't for intraday bars.
2. A 21 bar look back period is arbitrary (not statistically determined to be the best length). We used a statistically determined look back period to create the BO range, it was based on volatility. I don't remember the exact look back period but it was less than 10 (possibly less than 5). Observation: if you look at a lot of charts, narrow range bars tend to be followed be wider range bars and vice versa. That looks like some thing that could be statistically exploited.
3. Using a spreadsheet to do your analysis is inefficient and prone to errors. Most charting programs have scripting capability and you can use that to do your statistical analysis, then display the results on your chart. It will be less time consuming, eliminate a source of errors and make it easy for you to monitor multiple markets to find the best trading opportunities.
A possible solution to the arbitrary time dilemma (#1): Since we are trading price, instead of using a time point to start, it makes more sense to use a price point. A price swing high or low would be a reasonable choice. What I am suggesting is statistically determining swing points, e.g., when price reverses, what is the probability that if it moves x points in the new direction that it will continue in that direction for y more points (x will become the BO size and y the profit target). Also, since time plays no role in statistical price trading, it makes more sense to use range bars instead of price bars.
You may find this book interesting:
âDay Trading with Short-term Price Patterns and Opening Range Breakoutâ by Tony Crabel
Bill
I did a preliminary statistical study of your trading method. It appears that you have found a tradeable edge. I don't have time to do a complete analysis (maybe later in the year) to thoroughly test it and possibly improve it but I can pass on some ideas based on my observations that you may want to research.
The reason I have an interest in your method is because years ago we traded an 'opening range break out' method on daily bars (stock index futures) that was based on a similar statistical concept.
1. Choosing the open of a bar to start with is arbitrary (not statistically determined to be the best place to start). It is the price at some fixed point in time like 10AM. What is special about 10AM? Why not use 10:05AM or 9:55AM? When we traded from daily bars, there was no over night or electronic trading so using the open made sense, it doesn't for intraday bars.
2. A 21 bar look back period is arbitrary (not statistically determined to be the best length). We used a statistically determined look back period to create the BO range, it was based on volatility. I don't remember the exact look back period but it was less than 10 (possibly less than 5). Observation: if you look at a lot of charts, narrow range bars tend to be followed be wider range bars and vice versa. That looks like some thing that could be statistically exploited.
3. Using a spreadsheet to do your analysis is inefficient and prone to errors. Most charting programs have scripting capability and you can use that to do your statistical analysis, then display the results on your chart. It will be less time consuming, eliminate a source of errors and make it easy for you to monitor multiple markets to find the best trading opportunities.
A possible solution to the arbitrary time dilemma (#1): Since we are trading price, instead of using a time point to start, it makes more sense to use a price point. A price swing high or low would be a reasonable choice. What I am suggesting is statistically determining swing points, e.g., when price reverses, what is the probability that if it moves x points in the new direction that it will continue in that direction for y more points (x will become the BO size and y the profit target). Also, since time plays no role in statistical price trading, it makes more sense to use range bars instead of price bars.
You may find this book interesting:
âDay Trading with Short-term Price Patterns and Opening Range Breakoutâ by Tony Crabel
Bill
greater than or equal to yes your right.
that probably a good thing look at how the markets behaving watch the candles form watch how often they pull back to open on formation. this statistical bar formation probs should only be telling you the market ... formation tendency... tho you can trade the formation stats there is a built in 20%ish loss in it as a system which is like you think its 90% but true odds are around 76%ish which is still good and tradable.
if your trying to trade this you need tick or one minute data .... and then apply the one hours stats on that data from the hour open
open high before revision to open and establishing a point of no return that is accurate to a %.
well there as i rarely will trade bar formation odds have to be very good ill trade it... ive place 3 trades this morning in EUR/USD im 3/3 and am sitting at around 22 pips for the day i usually stop trading large sizes at 30 or so. not because i feel its a good limit on over trading or anything but it give me time to run updated stats build onto my huge database of statistical movements as i measure everything such as high breaks... reversion tendencies ... movement from open.... point of no return century mark breaks... really all sorts of stuff the market is great on the EUR/USD its just that it may not be great for that strat or that time frame for that strat today and its telling you that.
your asking what i do...
ive compiled a huge database of stats slowly over time... by hand... i update it .. by hand... everyday
i use for 3hr 1000 candle sample.... a 250 candle sample and a 21 candle sample...
i use the 3hr 1000 because i know what the currency over the long term has done
i use 250 to rate the current enviroment... for the past X weeks or month..
and 21 for the day
i get a really good idea if the market is more volatile than usual .. statistically...of simply if movement patterns have changed recently.
not knowing this for me seems like going to war without a gun...
no matter what way you trade.. momentum.. or whatever you should know your market defined probs.
Roger that. It's a good book if you can lay your hands on a copy, electronic or otherwise. He talks about piling multiple edges on top of one another to create trading systems. A kissin' cousin of what NTW is doing.
remove what gives you the biggest pip change between the lsd and sld
you remove whole bars as they are seen as failures.
gheeze im not trying to give away all my trading secrets just helping people become to the idea that they can increase what they already do with stats tho it will take some time and thought a research...
if you give a man a fish he eats for a day but you teach him to fish he eats for a lifetime right?
anyways im not that great of a programmer i have a book by my trade desk C++ for dummies but ive only gotten through about 40 pages.