Dislikedlets take the last 20 bars. you take the average of the close (maybe 20 SMA) and measure the distance of each bar to the MA. the smaller the value the higher the choppiness.Ignored
No greed. No fear. Just maths.
Any indicator that tells when Choppy/Ranging starts/ends? 20 replies
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VennD - Any Pairs - Any Style - Any Time 740 replies
choppy choppy choppy! 21 replies
Dislikedlets take the last 20 bars. you take the average of the close (maybe 20 SMA) and measure the distance of each bar to the MA. the smaller the value the higher the choppiness.Ignored
Disliked{quote} This is not true. Here is a counter-example. Let's normalize E/J and E/U so that they both start at index 1: E/U: 1 +2 -1 +3 E/J: 1 +1 -0.5 +1.5 Every step in E/JU is twice the size in E/J. Their correlation is 1. Their values over time is: E/U: 1 3 2 5 E/J: 1 2 1.5 3 U/J = E/J / E/U. So over time U/J: 1 2/3 3/4 3/5 It's not constantIgnored
Disliked{quote} This is not true. Here is a counter-example. Let's normalize E/J and E/U so that they both start at index 1: E/U: 1 +2 -1 +3 E/J: 1 +1 -0.5 +1.5 Every step in E/JU is twice the size in E/J. Their correlation is 1. Their values over time is: E/U: 1 3 2 5 E/J: 1 2 1.5 3 U/J = E/J / E/U. So over time U/J: 1 2/3 3/4 3/5 It's not constantIgnored
Disliked{quote} You can't normalize the pricing because that breaks the fundamental mathematical foundation of how all forex pairs are priced. All pairs are just fractions (one currency over another), and each pair's price is a derivative of relative value. The following equation represents a perfectly efficient market: (A/B)(B/C)(C/A) = 1 If this is ever not equal to 1 (or close to it) then the big-boy HFT firms arb out the inefficiency in milliseconds. So for the sake of argument, we'll assume that your naked eye will never see a scenario where that equation...Ignored
Disliked{quote} A price series is normalized by dividing all the elements of the series by the first element. This way it starts at 1. This violates nothing. Check it for yourself.Ignored
DislikedStill trying to figure a way based on ranges & candles and not obscene math. {image} {image} {image} {image} {image} {file} {file}Ignored
DislikedStill trying to figure a way based on ranges & candles and not obscene math. {image} {image} {image} {image} {image} {file} {file}Ignored
Disliked{quote} what you do is the same thing. your indicators are full of obscene math. indicator=math.Ignored
Disliked{image} Hi all. I'm sure you looked at the picture above. No doubt you immediately made a clear distinction between the left side and the right side. On the left the market is falling like a stone on the right the price is jumping all over the place: choppy. There were several attempts here in FF and at other places to build a "choppiness index" indicator. I found no successful results. I wonder if someone has good ideas about building an algorithm which is able to measure how choppy the market is. The motivation for not simply using my naked eyes...Ignored
DislikedDaniel Fernandez wrote some complex but interesting articles in his blog about the measurment of financial data with approximate entropy,hurst exponent,fractal dimension index :http://mechanicalforex.com/?s=approx...ropy&x=28&y=25 http://mechanicalforex.com/2016/03/a...statistic.htmlIgnored
Disliked{quote} Thank you for posting this. This looks really what I'm after. I quickly coded an indi to see what it looks like. Unfortunately the result is deceptive because it is highly dependent on the value of the parameter r and it is hardly interpretable. I feel like the entropy is yet a good direction. {image}Ignored
Disliked{quote} which exact formula did you used for the approximate entropy? i want to measure the currencies themself.Ignored