DAX Return to the mean : Centered Moving Average 256 TU (brown)
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DislikedI explain only for SELL position. The BUY is the same but inverted. We split each position into multiple units. The positions are build using inverted pyramidal structure. We build the position by "scaling in" UP TO the maximum size. (Not on top of the maximum). The maximum depends on account size, risk appetite and a few other things. 1. Initial signal. (If there is no open position) We SELL 1 unit when the current price is equal to the highest price for the current cycle AND the current time is below the mid cycle. (In our example before 12:00)...Ignored
Disliked{quote} This system has no edge. It simply adds to losses until it reverts back to the mean. You can go broke waiting for it to go back to the mean. IF you used this trading bitcoin where is there is no defined cycle you would lose your money. Parabolic up and parabolic down.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
Disliked{quote} You answered your own questions! Of course that we need minimum range. This is part of the strategy but I left the details for next posts. (I can't write long posts now) After all we try to capture only 50%(max) of the range during the first half of the day. So for example if we have range 5 pips it does not make sense to open position because the maximum potential profit is only 2.5 pips. This is why in the second system layer I use sqrt(t) to determine optimal entry points. I have this calculation in graphical/visual form as well. I will...Ignored
Disliked{quote} "This is why in the second system layer I use sqrt(t) to determine optimal entry points" Still waiting (as I'm sure others are) for your detailed approach to the above! Masterrmind............Ignored
Disliked{quote} It's the "secret" sauce, you have to have patience You can calculate the projected volatility bands by yourself. It's very simple actually. Take the 20 day ATR. For each band/level divide the ATR value by the corresponding number from the standard Fibonacci sequence: 34, 21, 13, 8, 5, 3, 2. Project the levels from the daily open price. For example the upper levels are calculated like this: level_1=open+(atr/34)*sqrt(hour+1); level_2=open+(atr/21)*sqrt(hour+1); level_3=open+(atr/13)*sqrt(hour+1); level_4=open+(atr/8)*sqrt(hour+1);...Ignored
Disliked{quote} For example I take contrarian positions only if the price is above level 4 or level 5. And the current time is before 12:00 Stop loss at level 6 or 7. This is what the levels and signals look like: {image}Ignored
Disliked{quote} Masterrmind, trades are not left open till the end of the day: stop loss at level 6 or 7.Ignored
Disliked{quote} That is for contrarian trades what about the 'standard' type trades.Ignored
Disliked{quote} from my understanding, we only do contrarian trades here: sell when price rises through level 4 and 5 above the median. buy when price drops through level 4 and 5 below the median.Ignored
Disliked{quote} It's the "secret" sauce, you have to have patience You can calculate the projected volatility bands by yourself. It's very simple actually. Take the 20 day ATR. For each band/level divide the ATR value by the corresponding number from the standard Fibonacci sequence: 34, 21, 13, 8, 5, 3, 2. Project the levels from the daily open price. For example the upper levels are calculated like this: level_1=open+(atr/34)*sqrt(hour+1); level_2=open+(atr/21)*sqrt(hour+1); level_3=open+(atr/13)*sqrt(hour+1); level_4=open+(atr/8)*sqrt(hour+1);...Ignored