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Choppy market index: any good ideas?

  • #121
  • Oct 21, 2017 12:08pm Oct 21, 2017 12:08pm
Quoting johnston
{quote} and patience without any slope very important.
Confidence is also important. Whether the trade ends up getting stopped out or hitting target, confidence helps to stick to the plan.
Here's Tom with the weather.
  • #122
  • Oct 21, 2017 12:09pm Oct 21, 2017 12:09pm
Quoting 4for4
I love choppy (ranging) market ...
Quoting metatsock
THe slope of MAis a good indicator for Choppy MArkets
Quoting johnston
{quote} and patience without any slope very important.
choppy ≠ ranging market
Please read post #38 again

Quoting 4for4
All I have to do is wait until it breaks a side then plan a trade going in that direction ...
The goal is not to avoid ranging market but to potentially trade inside or use the knowledge of its shape to but/sell at the edge with tiny SL.
Please read post #54 again
No greed. No fear. Just maths.
  • #123
  • Oct 21, 2017 12:38pm Oct 21, 2017 12:38pm
Quoting PipMeUp
Yes I'm still interested in a quantitative estimator of choppiness. Perhaps also in finding a better word for this because people always associate choppy and ranging market as being the same thing. I make a clear distinction between these two facets of the PA. A ranging market can be steady while a trend can be choppy. Admittedly the examples are far from perfect but they may give an idea. {image}
It's good to develop standards for the terminology so we can start using the correct terms. Do you have other posts with other ambiguous terminology that you've better defined? Maybe there's a way to organize that information but, I'm sure it'd be very time consuming...
Here's Tom with the weather.
  • #124
  • Oct 21, 2017 12:58pm Oct 21, 2017 12:58pm
Quoting PipMeUp
{quote} {quote} {quote} choppy ≠ ranging market Please read post #38 again {quote} The goal is not to avoid ranging market but to potentially trade inside or use the knowledge of its shape to but/sell at the edge with tiny SL. Please read post #54 again
I'm not agree..... choppy & tranding markets are the same, maybe the only difference is the amplitude of moving and time duration
  • #125
  • Oct 21, 2017 2:45pm Oct 21, 2017 2:45pm
Quoting PipMeUp
{quote} {quote} {quote} choppy ≠ ranging market Please read post #38 again {quote} The goal is not to avoid ranging market but to potentially trade inside or use the knowledge of its shape to but/sell at the edge with tiny SL. Please read post #54 again
Here is something you might be interest in. I didn't develop this for the purpose of finding choppy markets, but rather to pinpoint fast-markets.
  • #126
  • Oct 21, 2017 5:00pm Oct 21, 2017 5:00pm
Quoting Nicholishen
{quote} Here is something you might be interest in. I didn't develop this for the purpose of finding choppy markets, but rather to pinpoint fast-markets.
Thanks for that Fast Markets Indicator, I'll put it on a chart this week and I'm sure it'll help someone with their strategy. I figured out something interesting yesterday that'll take accuracy to a higher level. Currently in order of correctness I trade steady range, choppy trend, choppy range, and the bewildering one is the steady trend. That steady trend got me stopped out on GBPJPY, EURJPY last week but I got it right with another attempt. This is why forex is great, it's a never ending learning experience.
Here's Tom with the weather.
  • #127
  • Oct 21, 2017 5:36pm Oct 21, 2017 5:36pm
Quoting OHLC
{quote} Thanks for that Fast Markets Indicator, I'll put it on a chart this week and I'm sure it'll help someone with their strategy. I figured out something interesting yesterday that'll take accuracy to a higher level. Currently in order of correctness I trade steady range, choppy trend, choppy range, and the bewildering one is the steady trend. That steady trend got me stopped out on GBPJPY, EURJPY last week but I got it right with another attempt. This is why forex is great, it's a never ending learning experience.
I was watching the dollar strengthen across the board in reaction to the news about congress passing the budget for tax reform, and that's where I got the idea to make the Fast Markets indicator. There's a lot of unknowns in forex but when volume and spreads spike across the board on the majors (especially on a non-planned-release fundamental event) you better not be on the wrong side of that because price isn't coming back anytime soon. Conversely, when volume and spreads come back to below 100% of their respective MAs then you can count on some chop.
  • #128
  • Oct 21, 2017 7:01pm Oct 21, 2017 7:01pm
Hello all,
I have taken much interest in this thread for many reasons. The main reason would be the use of identifying " the choppy" market. The reality is almost all of my orders take place when the market is "FLAT" or "Choppy" on the lower tf. Which of course would mean if you are looking at a choppy market on the D1 it might be a massive breakout on the lower tf. When I get home I will be sure to share a few formations which you all!
  • #129
  • Oct 22, 2017 4:23am Oct 22, 2017 4:23am
Quoting OHLC
{quote} It's good to develop standards for the terminology so we can start using the correct terms. Do you have other posts with other ambiguous terminology that you've better defined? Maybe there's a way to organize that information but, I'm sure it'd be very time consuming...
Trading world has got terms like trend or volatility which are ambiguous. For trend everybody has his own definition but everybody overall agree on what it is. Volatility is worse. For some people it means the market moves strongly. For others (like me) it means the standard deviation of the price returns. These are just opposite definitions!

alphaomega talked about Surface roughness. He made me realize that "Roughness Measure" is perhaps a better terminology.
I'm not myself sure of what exactly I'm trying to estimate. I suspect it is the "white noise part" of the price. I posted some pictures to help understanding posts #13, #32, #38, #43, #51.

Something I'm sure of is that it is independent of the direction of the market because it is found in both trending and ranging periods.


Quoting Nicholishen
{quote} Here is something you might be interest in. I didn't develop this for the purpose of finding choppy markets, but rather to pinpoint fast-markets.
This is not what I'm looking for but it is a very interesting subject as well. I subscribed to your thread.
No greed. No fear. Just maths.
  • #130
  • Oct 22, 2017 8:53am Oct 22, 2017 8:53am
I uploaded two charts first one is choppy ,second is ranging.My understanding of choppy ≠ ranging market is very similar to PipMeUp.Irregular large bars slaughters the equity curve.Addition to roughness measure terminology I think similarity analysis(dynamic time warping ) would be another interesting approach: http://jonathankinlay.com/2016/08/dynamic-time-warping/
http://qusma.com/2014/06/11/visualiz...e-time-series/
Attached Image(s) (click to enlarge)
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  • #131
  • Oct 22, 2017 11:08am Oct 22, 2017 11:08am
Quoting olsen-yersen
I uploaded two charts first one is choppy ,second is ranging.My understanding of choppy ≠ ranging market is very similar to PipMeUp.Irregular large bars slaughters the equity curve.Addition to roughness measure terminology I think similarity analysis(dynamic time warping ) would be another interesting approach: http://jonathankinlay.com/2016/08/dynamic-time-warping/ http://qusma.com/2014/06/11/visualiz...e-time-series/ {image} {image}
Have you looked at Thin Plate Spline? The bending energy gives a measure of dissimilaty.
No greed. No fear. Just maths.
  • #132
  • Oct 22, 2017 6:58pm Oct 22, 2017 6:58pm
One of the most interesting things is figuring out the exact moment the market becomes choppy. Wouldn't it make more sense to focus on that being as you are focusing on a larger TF which isn't a representation of what the market is doing right this second? Say you are going to work and you have several ways in which you can arrive via car. How good would a 24-hour delay on where the traffic is, be on your decision on the route which you take? You would essentially be going to work not with an educated guess as to the quickest way to get there.
  • #133
  • Oct 22, 2017 7:52pm Oct 22, 2017 7:52pm
What would you call this?

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  • #134
  • Feb 18, 2018 5:17pm Feb 18, 2018 5:17pm
I've made some progress in this area using wick patterns. Everyone talks about candle patterns but no one talks about wick patterns. In case you couldn't tell from my username, I'm very much inspired by wick patterns especially when it comes to identifying range, choppy, etc. (any non trend market condition)
  • #135
  • Apr 20, 2018 3:28am Apr 20, 2018 3:28am
PipMeUp,

See this M30 time-frame, the price series looks very noisy.


This is how the M30 very noisy price series looks in M1 time frame:

I read that some academics call this "volatility clustering''.Alexey Yudin https://www.forexfactory.com/aleksey wrote somewhere sometime ago , he doesnt trade time frame whose mutual information is close to 0.5, because buy or sell is not better than the tossing a coin.
Have you tried mutual information method ( Kullback-Leibler divergence or information gain or whatever) to detect the noisy time series?
Attached Image(s) (click to enlarge)
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  • #136
  • Apr 20, 2018 4:56am Apr 20, 2018 4:56am
I don't understand what you mean by "trading a timeframe".

Kullback-Leibler divergence is about comparing two probability distributions. Which ones do you suggest to compare?

I found two threads by aleksey which may be related:
https://www.forexfactory.com/showthread.php?t=134698
https://www.forexfactory.com/showthread.php?t=62006

Are those you're referring to?

Wikipedia introduces what volatility clustering is: https://en.wikipedia.org/wiki/Volatility_clustering
Roughly speaking it means that volatile days are usually followed by volatile days and conversely.
No greed. No fear. Just maths.
  • #137
  • Apr 25, 2018 7:13am Apr 25, 2018 7:13am
Quoting PipMeUp
Which ones do you suggest to compare? I found two threads by aleksey which may be related: https://www.forexfactory.com/showthread.php?t=134698 https://www.forexfactory.com/showthread.php?t=62006 Are those you're referring to?
No,one of his articles that he wrote in Stocks and Comm. magazine or Futures Mag.I can not find it, anyway.

I see that Old_Dog uses the same idea : detecting the noisy time series with mutual information :https://www.forexfactory.com/showthread.php?t=336715
I like this presentation as well: http://Algorithmic Trading Strategy ...sed Clustering
  • #138
  • Apr 25, 2018 11:10am Apr 25, 2018 11:10am
Thanks. I undestand the maths but I don't understand what are X and Y. Are they the returns of the two time series?
How to apply it here?

Your second link is broken.
No greed. No fear. Just maths.
  • #139
  • Apr 25, 2018 4:39pm Apr 25, 2018 4:39pm
Here is the second link: https://www.google.com.tr/search?q=A...hrome&ie=UTF-8 It is the article in the google book: Advances in Computation and Intelligence: 5th International Symposium, ISICA

I am also looking for answers of what are X and Y and how to apply it here questions.
  • #140
  • Sep 9, 2018 12:50am Sep 9, 2018 12:50am
Quoting alphaomega
{quote} Are you still interested in this problem? Or you already found solution? Some of the tools (DFG) which I use in my trading are very good for detecting ranging markets. And clearly show the difference between range and trend. You can use MA clusters to detect if there is a stable range. Use simple MA with Fibonacci ratios. (21,34,55,89,144,233) Measure the gap between the highest ma and the lowest ma. For example this is my definition for range on M1,M5,M15... chart: If ( highest_ma < lowest_ma + 10 pips && lowest_ma > highest_ma - 10 pips)...
Where can i find this template ?
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