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Higher Edge within a Single Candlestick

  • #2,081
  • Jan 22, 2018 10:38am Jan 22, 2018 10:38am
Just for the fun of it in MT4: I stretched the 1 min period (blue line) over the range bar chart, i.e. instead of continuous sampling there is now non-linear sampling based on actual bar time.

Staying with the "Greeks" perspective: assuming we wanted to derive Theta (time decay) to see the speed of "conversion to non-movement", this is obviously impossible with a range bar chart alone, but with the application of the above mentioned stretching we can possibly benefit from the smoother raw data without losing the dimension of time.

Assuming we use a very smooth Influx value as the derivative of price, we might be able to calculate some meaningful Greeks (=sensitivities to changes)...
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Augmenting Intelligence
  • #2,082
  • Jan 22, 2018 11:25am Jan 22, 2018 11:25am
Quoting IenDzi
Finally I got, why I need those dimensions. I needed much time to think how to get that, that 6D scared me out, when I watched a video about dimensions, how to visualize them, after 4D I didn't understand anything, whats happening there. So I was overcomplicated it from the start. I didn't know how to code it, and my code was overcomplicated, and now I can simplify it. And when you simplify it, it seems nothing so complicate at all. And I think I got that Joker dimension, which CP was told about. And what I understand now, that I was there so many...
Yep. Be careful with that 6th dimension. It'll make or break you as a trader.
"The fun is in the hunt. Not the kill."
  • #2,083
  • Edited 10:10pm Jan 22, 2018 2:56pm | Edited 10:10pm
Quoting !iii!
Just for the fun of it in MT4: I stretched the 1 min period (blue line) over the range bar chart, i.e. instead of continuous sampling there is now non-linear sampling based on actual bar time. Staying with the "Greeks" perspective: assuming we wanted to derive Theta (time decay) to see the speed of "conversion to non-movement", this is obviously impossible with a range bar chart alone, but with the application of the above mentioned stretching we can possibly benefit from the smoother raw data without losing the dimension of time. Assuming we use...
Have you considered doing what just about every trader does in every market and incorporated correlations into the mix while searching for that derivative? Or are you just using the Greeks?

I also think you're approaching it backwards. This is a spot market not a futures market.
"The fun is in the hunt. Not the kill."
  • #2,084
  • Edited 6:59am Jan 23, 2018 4:53am | Edited 6:59am
Quoting Redeflect
{quote} Have you considered doing what just about every trader does in every market and incorporated correlations into the mix while searching for that derivative? Or are you just using the Greeks? I also think you're approaching it backwards. This is a spot market not a futures market.
So here is some background and thoughts:

  1. Re Correlation: Correlation in non-stationary timeseries is based on a faulty concept. Co-integration is a better approach for statistical arbitrage, but all the inherent challenges of choosing the right sample size, dealing with stochastic trends, etc remain and render it as questionable either. Check out the relevant posts of Codebreaker : https://www.forexfactory.com/showthr...02#post1927002
  2. Re Deterministic & Statistical Arbitrage: FX by itself is a highly efficient system, i.e. one can derive prices (e.g. Ask GBPUSD = 1/Bid USDJPY x Ask EURJPY x 1/Bid EURCHF x Ask GBPCHF) from any related others at any point in time and the margin of error or mispricing have become minuscule and increasingly futile (<50 mill sec). The same holds true for the application of derived indices such as USD = EURUSD^(1/6) x GBPUSD^(1/6) x AUDUSD^(1/6) x USDJPY^(-1/6) x USDCHF^(-1/6) x USDCAD^(-1/6). Only once you open the FX domain for co-integration tests with other asset classes, you can trade somewhat stationary relationships - at least that's my experience -, but UnnamedPlayr is probably the benchmark here on FF: https://www.forexfactory.com/showthread.php?t=249346
  3. Re Derivatives: differential calculus is a subfield of calculus concerned with the study of the rates at which quantities change...[...] The primary objects of study in differential calculus are the derivative of a function... (https://en.wikipedia.org/wiki/Differential_calculus).
  4. Re Greeks: the Greeks are the quantities representing the sensitivity of the price of derivatives [such as options] to a change in underlying parameters (https://en.wikipedia.org/wiki/Greeks_(finance)).
  5. In my Working Theory on CP's squiggly lines I am using the re-sampled (i.e. range bars) timeseries of GBPUSD as the function and the Influx formula, i.e. (2 x Fast MA - MA on Fast MA) - (2 x Slow MA - MA on Slow MA), with inputs chosen for a smooth outcome as the derivative. You could also take the Stochastic Oscillator as the derivative, but for now I'm not. A derivative doesn't have to be a future.
  6. Why Greeks and not just different periods as input for the Influx formula? Because it'll be too banal and hardly more info or an objective edge.

Augmenting Intelligence
  • #2,085
  • Jan 23, 2018 7:15am Jan 23, 2018 7:15am
I am still at the raw data prep...

Latest test: a range+time bar chart combo - i.e. a bar shifts (=new sample) either when 1 sec has passed or a range has formed.

The yellow line is the average of all the ticks within a bar.
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Augmenting Intelligence
  • #2,086
  • Jan 23, 2018 7:20am Jan 23, 2018 7:20am
Maybe something like this average momentum pattern? (And no, it's not a chart )
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  • #2,087
  • Edited 8:29pm Jan 23, 2018 4:56pm | Edited 8:29pm
Quoting !iii!
{quote} So here is some background and thoughts: Re Correlation: Correlation in non-stationary timeseries is based on a faulty concept. Co-integration is a better approach for statistical arbitrage, but all the inherent challenges of choosing the right sample size, dealing with stochastic trends, etc remain and render it as questionable either. Check out the relevant posts of Codebreaker : https://www.forexfactory.com/showthr...02#post1927002 Re Deterministic & Statistical...
No new information.

Now I know you are approaching it backwards. No wonder the 4th dimension confused you. You are still thinking inside the box. It's often a problem when mathematics is taught so formally. But don't worry; most traders were taught formal mathematics and never take the time to understand the mechanics. Einstein wasn't brilliant. He just did a decent job of explaining things in a language that's several thousand years old. Even he struggled a bit with communicating because of it's inherent limitations.

Ignore the data. It will always be there... waiting. You need to figure out how to use it first. That won't happen until you cross into the 6th dimension; and you won't encounter the joker dimension until AFTER you fully grasp the lesser dimensions. Not before. Then you'll know how to use them and can start looking at the data.

CP was correct. It would take a super-AI or a quantum computer to execute his method without his intervention. Fortunately for you... Your mind is both.

While you're looking into the Greeks perspective you should check out what they thought about sages. I think traders always get a kick out of it. It's like an outside joke.
"The fun is in the hunt. Not the kill."
  • #2,088
  • Edited 1:49am Jan 24, 2018 12:55am | Edited 1:49am
To be more clear, I think it's:

prize (1D) ↦ X
X = {f_1, f_2, f_3, f_4, f_5}, x_it ∈ ℝ
x_it := (1/(3^j)) × sin((3^j) × t + s)
F ⊆ X: F ↦ influx = (2 × 3D) = 6D
  • #2,089
  • Jan 24, 2018 1:01am Jan 24, 2018 1:01am
Let me just grab my calculator
The biggest risk is not taking a risk.
  • #2,090
  • Jan 24, 2018 1:14am Jan 24, 2018 1:14am
Quoting AntiCre
To be more clear, I think it's: prize (1D) ↦ X X = {f_1, f_2, f_3, f_4, f_5} ∈ ℝ x_i := (1/(3^j)) × sin((3^j) × t + s) F ⊆ X: F ↦ influx = (2 × 3D) = 6D
Jim Simons is out of business

that formula is only 10% of trading
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  • #2,091
  • Jan 24, 2018 1:29am Jan 24, 2018 1:29am
Quoting alphadude
{quote} Jim Simons is out of business that formula is only 10% of trading {image}
I see it a bit different. Yes, psychology and money management are big parts in trading. But if you have a good strategy on which you can rely, you can trade more relaxed. Even CP said that MM alone isn't enough to succeed in business, the strategy plays an important role, too.
  • #2,092
  • Jan 24, 2018 3:30am Jan 24, 2018 3:30am
Quoting Redeflect
{quote} No new information.
It's usually traders who have no clue about math and seek refuge in the esoteric when either FUD or LUCK set in.

However, I hear you, I'll try to go with the flow and activate my third eye going forward.
Augmenting Intelligence
  • #2,093
  • Jan 24, 2018 7:17am Jan 24, 2018 7:17am
Guys, don't ask me about that 6 dimensions stuff. There are much stuff to do to get right there. And like I said, I don't know how to trade it, and there is a high probability that I got it wrong. I am always more wrong than right, that what the forex is. And some of you actually knows more than I am.
  • #2,094
  • Jan 24, 2018 7:46am Jan 24, 2018 7:46am
Quoting IenDzi
Guys, don't ask me about that 6 dimensions stuff.
Understandable. Nevertheless, maybe you or someone else could give a feedback in regards to my question here ... Maybe this may give a hint on what it may show. It connects a lot of dots over all (and even early) posts of CP. (I could have shown it in another way but then I guess it'd be too easy to see how I interpret it.
  • #2,095
  • Jan 24, 2018 8:21am Jan 24, 2018 8:21am
Quoting AntiCre
{quote} Understandable. Nevertheless, maybe you or someone else could give a feedback in regards to my question here ... Maybe this may give a hint on what it may show. It connects a lot of dots over all (and even early) posts of CP. (I could have shown it in another way but then I guess it'd be too easy to see how I interpret it.
I actually have more questions, then answers. And I don't want to mislead you, until I get everything right. I want to agree with you, that it is 2x3D. And 2x3D is not the same like 6D in my opinion, 6D would be more complicated.
  • #2,096
  • Jan 24, 2018 9:27am Jan 24, 2018 9:27am
Quoting IenDzi
{quote} I actually have more questions, then answers. And I don't want to mislead you, until I get everything right. I want to agree with you, that it is 2x3D. And 2x3D is not the same like 6D in my opinion, 6D would be more complicated.
The 6th dimension is, unquestionably, 2x3D. The normal 2^6 rule doesn't apply to the 6th dimension. Hence why it's a joker dimension. It's a pseudo-dimension.
"The fun is in the hunt. Not the kill."
  • #2,097
  • Jan 24, 2018 10:37am Jan 24, 2018 10:37am
Quoting AntiCre
{quote} Understandable. Nevertheless, maybe you or someone else could give a feedback in regards to my question here ... Maybe this may give a hint on what it may show. It connects a lot of dots over all (and even early) posts of CP. (I could have shown it in another way but then I guess it'd be too easy to see how I interpret it.

Hi AntiCre,

I can't speak on what CP is doing, or for what your doing , for that matter.

That being said....from what I am seeing in your first link, you have a stochastic method attempting to isolate an uptrend.

My question to you is...what does that indicator look like during periods of inactivity?
  • #2,098
  • Edited 11:05am Jan 24, 2018 10:54am | Edited 11:05am
Quoting almo
{quote} Hi AntiCre, I can't speak on what CP is doing, or for what your doing , for that matter. That being said....from what I am seeing in your first link, you have a stochastic method attempting to isolate an uptrend. My question to you is...what does that indicator look like during periods of inactivity?
Hi,

it's not an indicator yet. I just messed around with R and applied my theory. But if I'd create an indicator around this, then the indicator would look like a flat line ...
  • #2,099
  • Jan 24, 2018 11:12am Jan 24, 2018 11:12am
Quoting AntiCre
{quote} Hi, it's not an indicator yet. I just messed around with R and applied my theory. But if I'd create an indicator around this, then the indicator would look like a flat line ...

FWIW -it might yeild some insight if you built your indicator. While it appears that your goal is to isolate the trends, being able to isolate periods of inactiviity has its benefits.
  • #2,100
  • Jan 24, 2018 11:21am Jan 24, 2018 11:21am
Quoting almo
{quote} FWIW -it might yeild some insight if you built your indicator. While it appears that your goal is to isolate the trends, being able to isolate periods of inactiviity has its benefits.

I should also add - CP mentioned something in one of his posts about an indicator yielding a figure....what do you do with that ?
Really goes back to what it is your trying to measure.

I wouldn't worry so much about how it looks rather than the end result - if you can grasp the meaning behind the data, you should be good to go.

And again, I don't know squat about what CP (or you) are doing so take everything I said with a few grains of salt
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