Disliked{quote} Hi! Thanks! Can you collect the same statistics for last 3 and 5 years? The first row <1,1 includes trades only over 30p range? With regards, SPIgnored
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A Simple Mean Reversion Strategy 327 replies
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Cointegration, Synthetic hedges, mean reversion in R, Tech Thread 0 replies
DislikedHi, and thanks for stopping by! Regardless if you're new or old member of the forum, keep reading here and I promise you will not be disappointed! From my point of view this thread is the natural continuation of the thread "Higher Edge within a Single Candlestick” and here I intend to share with you some of my discoveries regarding this concept. As I commented in the original thread, I believe that we can create and apply multiple strategies only by using the information which is...Ignored
Disliked{quote} I see. There is possible to go with grid EU DO 1,2400, price goes up 30 pips. 1,2430 sell TP 7,5 SL 10 1,2440 sell TP 10 SL 14 1,2454 sell TP 14 SL 6 1,2460 sell TP 15 SL 2 Maximum DD is 36 pips with trading costs. With 95% win rate is Kelly criterion still 0,5 even if your average win is only 4 pips. Open trade is always closed, when there happens 25% retrace between 1,2430 - 1,2460. For example, it can come down from 1,2437 to 1,24277 (25% from 37 is 9,25) Profit will be 1,2430 - 1,24277 = 1,3 pips trading costs extracted. Can it work?...Ignored
Disliked{quote} This grid is not working, because trades from later needs multiplied lots and it increases too much risk. We are building next perpetum mobile here. This thread is an excellent continuation for Merlins Amazing strategy thread https://www.forexfactory.com/showthread.php?t=405 Rgrds, SPIgnored
QuoteDisliked3. Position Close.
If the current time is after 12.00, then we look for 25% retracement from the high.
Disliked{quote} alphaomega can you explain the rationale behind the 25%? Yesterday I took a pen an a paper and wrote down what happens if the price goes straight in one direction in the first part of the cycle. At 25% retracement the grid is in loss. Shouldn't the 2nd retracement be at least 33% (= BE)?Ignored
Disliked{quote} alphaomega can you explain the rationale behind the 25%? Yesterday I took a pen an a paper and wrote down what happens if the price goes straight in one direction in the first part of the cycle. At 25% retracement the grid is in loss. Shouldn't the 2nd retracement be at least 33% (= BE)?Ignored
Disliked{quote} These inputs are not fixed and as I said we can modify the numbers later. We can also add smooth continuous calculation. For example at 00:00 we start with 100% retracement target and as the time progresses we reduce the target accordingly by using the sqrt(t) until we reach 0. Because at that time (00:00) we have to close all positions anyway. But for some reason during back-testing I get the best results with 25% retracement after 12:00 and 50% before 12:00. Here is the rationale as far as I understand it. Because the strategy is based...Ignored
Disliked{quote} Furthermore, it's not the same entering a trade at 5:00 than 17:00, I mean, I've also discovered with hundreds of trades, that depending o the hour of the day, the trade should be last longer than other opened at a differnt hour. In fact, I optimize the expiration time of a trade depending the hour of the day..Ignored
Disliked{quote} Furthermore, it's not the same entering a trade at 5:00 than 17:00, I mean, I've also discovered with hundreds of trades, that depending o the hour of the day, the trade should be last longer than other opened at a differnt hour. In fact, I optimize the expiration time of a trade depending the hour of the day..Ignored
Disliked{quote} In post#7 alphaomega shows a chart with a visual representation of the diffusion process (the sqrt thingy). To scale this parabola I wanted to use an estimation (forecast) of the volatility. I use the realized variance of the previous days computed from the 1 min returns (no GARCH stuff). I took the opportunity to do some stats on the variances split by day name. I expected to see that a Friday and a Wednesday had very different average variances. I got surprised by the result. The average variances are the same but the variance of the variance...Ignored
DislikedCongratulations alphaomega I ask again my question "Just about the entry...do you wait for the end of the candle ? if yes, what TF ? Is anybody creating an EA from indications post # 56 ? "Ignored
Disliked{quote} Thanks! There is still a lot of work to be done until the system is refined enough to trade larger live account. On the entries I personally do not wait for candle close. Maybe we can add this option as additional protection against fat tails. But I'm not sure how the results will change. I already posted automated EA with the basic version of the system, here. You can test it on demo or small live account.Ignored