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Kinetic Energy trading

  • #1
  • First Post: Edited Aug 2, 2017 11:03am Aug 1, 2017 10:29am | Edited Aug 2, 2017 11:03am
Hi,

Some of you know what is kinetic energy equation, right?

Ek = 1/2 X mass X speed^2

OK
How could be useful to trading ?

Imagine to measure the energy of some currency.

As "speed" I used the delta (Close-Open) values of last 2 candles divided by time.
And as "mass" I used the volumes.

So ploting the value, we obtain a curve which rapresent the "energy" in the market at each time

It makes sense??

You will find here the indicator and the EA.
ENTRY RULE: crossover of upper or lower BB
EXIT RULE: crossover of zero line

Thanks for your comments ... ideas ...!
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 33 KB
Attached File(s)
File Type: ex4 Kinetics.ex4   12 KB | 955 downloads | Uploaded Aug 2, 2017 11:02am
File Type: ex4 Kinetic Energy Indicator.ex4   8 KB | 1,097 downloads | Uploaded Aug 2, 2017 11:02am
  • #2
  • Aug 1, 2017 10:48am Aug 1, 2017 10:48am
Hi adegard...I've downloaded your indicator and it doesn't plot anything on the chart/subwindow, everything is black, could u give me any idea to fix it please? many thanks!
  • #3
  • Aug 1, 2017 10:51am Aug 1, 2017 10:51am
Quoting DianaT
Hi adegard...I've downloaded your indicator and it doesn't plot anything on the chart/subwindow, everything is black, could u give me any idea to fix it please? many thanks!
Change the line color ... it is black by default ... so if your background is black, you are in the dark
MT4/MT5 EAs/Indicators/Alerts coder
  • #4
  • Aug 1, 2017 10:54am Aug 1, 2017 10:54am
Quoting FerruFx
{quote} Change the line color ... it is black by default ... so if your background is black, you are in the dark
Thank you very much FerruFX, its working now, I haven't noticed that!
  • #5
  • Aug 1, 2017 11:00am Aug 1, 2017 11:00am
Quoting FerruFx
{quote} Change the line color ... it is black by default ... so if your background is black, you are in the dark

Absolutely . .
Mastering the Pair
  • #6
  • Aug 1, 2017 11:11am Aug 1, 2017 11:11am
Quoting DianaT
{quote} Thank you very much FerruFX, its working now, I haven't noticed that!
MT4/MT5 EAs/Indicators/Alerts coder
  • #7
  • Aug 1, 2017 11:12am Aug 1, 2017 11:12am
...I 'm trying in 15' timeframe...

Please share settings and charts if you get some good results...
  • #8
  • Aug 1, 2017 11:25am Aug 1, 2017 11:25am
This looks promising. Can you post more sample charts?(My PC is down, so I can't check it out yet).
  • #9
  • Aug 1, 2017 11:59am Aug 1, 2017 11:59am
Quoting adegard
Hi, Some of you know what is kinetic energy equation, right? Ek = 1/2 mass + speed^2
Thanks for your comments ... ideas ...!
First of all let us correct kinetic energy formula and replace + by *
Ek = 1/2 mass * speed^2
Some other points:

  1. Financial markets are not similar to mechanics. Yes you are right, price moves after market orders are placed but there is no inertial move. It will stop if the movement is not supported by new market orders.
  2. The volumes you are using are not volumes. They are the number of ticks in the candle and named as tick volumes but should be named as tick counts and sometimes differs a lot from futures real volumes. So market order with 0.1 lot and 1000.0 lots have the same effect on tick volumes.
  3. The method of speed calculation by Highs only is not the best one imho. Better to use Close bar prices or medium if you want to take only one point. Much better tick MA (Moving Average) with short period. The simplest but not the worst is to use Close[1]-Open[1].

BR, alex
  • #10
  • Aug 1, 2017 12:08pm Aug 1, 2017 12:08pm
Quoting adegard
Hi, Some of you know what is kinetic energy equation, right? Ek = 1/2 mass + speed^2 OK How could be useful to trading ? Imagine to measure the energy of some currency. As "speed" I used the delta Highest values of last 2 candles divided by time. And as "mass" I used the volumes. So ploting the value, we obtain a curve which rapresent the "energy" in the market at each time It makes sense?? You will find here the indicator and the EA. ENTRY RULE: crossover of zero NO EXIT : just SL and TP Thanks for your comments ... ideas ...! {file}...
as an engineer... wow. different approach, i am subscribing. go a head.
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
  • #11
  • Aug 1, 2017 1:17pm Aug 1, 2017 1:17pm
Volume is a poor analog to the mass because the mass of a system is constant while volume keeps changing very quickly.
No greed. No fear. Just maths.
  • #12
  • Aug 1, 2017 2:15pm Aug 1, 2017 2:15pm
Hi Hadegard, thank you for your idea and for your Ea.
Did you consider to open the orders at reverse than now, taking the SL as profit and the profit as SL?
From your version it's not possible to change the setting....
Thanks in advance for your reply!
  • #13
  • Aug 1, 2017 2:37pm Aug 1, 2017 2:37pm
Thanks for your comments!

The EA SL and TP is calculated based on ATR.... but I will include those parameters in next updates.

I think nature and Financial market are not so different and could have same laws...
Think about Fibonacci numbers serie for example...
  • #14
  • Aug 1, 2017 2:50pm Aug 1, 2017 2:50pm
adegard said in the first post "Ek = 1/2 mass + speed^2".

The formula for Kinetic energy should be: Ek = ½ X mass X speed^2.
  • #15
  • Edited 3:22pm Aug 1, 2017 3:04pm | Edited 3:22pm
Volume would better correspond to "force" imho.
Mass could be then be calculated by the requirement that a large mass corresponds to a lot of volume, and little to no acceleration. i.e. theoretically you'd have infinite mass at some top or bottoms. Lag is the eternal problem there - one obviously needs to smooth volume&price etc.
k
  • #16
  • Aug 1, 2017 3:11pm Aug 1, 2017 3:11pm
Quoting calaxcorp
adegard said in the first post "Ek = 1/2 mass + speed^2". The formula for Kinetic energy should be: Ek = X mass X speed^2.
Right... I edit firt post... In EA it is Correct.

For Volume, I used:
Volume[] : "Series array that contains tick volumes of each bar of the current chart."
  • #17
  • Aug 1, 2017 3:15pm Aug 1, 2017 3:15pm
Quoting sevan62
{quote} First of all let us correct kinetic energy formula and replace + by * Ek = 1/2 mass * speed^2 Some other points: Financial markets are not similar to mechanics. Yes you are right, price moves after market orders are placed but there is no inertial move. It will stop if the movement is not supported by new market orders. The volumes you are using are not volumes. They are the number of ticks in the candle and named as tick volumes but should be named as tick counts and sometimes differs a lot from futures real volumes. So market order with...

OK,
instead of " (High[i]-High[i+1])" I will check for improve using Close[i]-Open[i+1]...
  • #18
  • Aug 1, 2017 3:15pm Aug 1, 2017 3:15pm
You could consider using the difference between the C of the n and n-1 candles as the mass in your system. This could provide a better representation of movement in the market when compared to volume as the volume can be quite large without considerable price change. Additionally, you could use the avg rate of change of price for the n th candle as the velocity ie. H-L/ (time frame *3600) --- (in the case of a 1 hr time frame)
  • #19
  • Aug 1, 2017 3:17pm Aug 1, 2017 3:17pm
Quoting kprsa
Volume would better correspond to "force" imho. Mass could be then be calculated by the requirement that a large mass corresponds to a lot of volume, and little to no acceleration. i.e. theoretically you'd have infinite mass at top or bottoms. Lag is the eternal problem there - one obviously needs to smooth volume&price etc. k
Just to be more constructive, this is how one could define it. Attached is the indicator for "inverse mass". This was just a quick hack, so who wants to use it, should also improve it... The two parameters are for smoothing and need to be judiciously chosen.
k

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File Type: mq4 UpDnVolSSMA2_mass.mq4   4 KB | 712 downloads
  • #20
  • Aug 1, 2017 4:01pm Aug 1, 2017 4:01pm
First results in...
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