Quote from hanseng1:
I'm gonna give this another shot......
I know that using the breakout of the 40 minute opening range + a threshold value in soybeans will result in a profit 90% of the time and an average of about $150 at the end of the day.
Using this information, "d" > 0 90% of the time (not taking slippage or commissions into account).
This doesn't "predict" movement; it merely states that I have positive movement with this particular setup 90% of the time. This is what I mean when I say the entry has > 50% chance of profitablility.
I then take this information and test it in a system setting (trade management). This is the evolution of a trend following approach. No prediction of profit is made. However, based on research, a profit = the historical average trade is expected in the future (within statistical bands).
Trend followers do not make a prediction as to the size of a future move; they maximize the probability that a sizeable move will occur. You need to realize this.
You are so consumed with this |p1-p0| > d relationship that you are losing sight of the bigger picture. This is not how trend following operates, and I don't even realize why we are going around in circles with this idiotic relationship; it is not really the point of the original post in this thread. Nothing in the original post mentioned anything about predicting the future. Unless you are Miss Cleo, you cannot do this.
P.S. I can substantiate my claims through my 80+ pages of research. If you include all of my work on this one entry, it fills a 200 page binder. It is also in .pdf format on my computer. But, alas, you cannot read .pdf's (not that I'd give you about 200+ hours' worth of work for free anyway).
