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The Skill Check

  • #61
  • Mar 5, 2018 9:51am Mar 5, 2018 9:51am
Quoting kprsa
{quote} One could perhaps use it on an instrument with the lowest 14-day ADR? Cheers, k
This could perhaps be a reasonable mean-reversion approach -> trading towards a pivot.
k
  • #62
  • Mar 5, 2018 9:52am Mar 5, 2018 9:52am
Quoting kprsa
{quote} This could perhaps be a reasonable mean-reversion approach -> trading towards a pivot. k

Yeah, you'd probably want to make sure the instrument with the lowest 14 day ADR, is also low relative to its self if that makes sense.
  • #63
  • Mar 5, 2018 9:54am Mar 5, 2018 9:54am
Quoting Sis.yphus
{quote} Okay, I see, so once it's that max area, you flip it with a hedge? Is that what you mean when you say counter?
Yes, i agree with the argument that it still loses, so you can actually just use a stop BUT when i have a fail i then adjust my lot size (sometimes) and my FD
changes so i make more than 5%.

My target for the 08-00 break is 10 but i look for 5.

edit, i have a fail (1st part) and i can then chase Daily Range for example.
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #64
  • Mar 5, 2018 9:57am Mar 5, 2018 9:57am
Quoting billytt
{quote} Yes, i agree with the argument that it still loses, so you can actually just use a stop BUT when i have a fail i then adjust my lot size (sometimes) and my FD changes so i make more than 5%. My target for the 08-00 break is 10 but i look for 5. edit, i have a fail (1st part) and i can then chase Daily Range for example.
So that's when you bring out some muscle from the bankroll so the next break opportunity covers the loss (not saying a martingale, just using some muscle like you said).
  • #65
  • Mar 5, 2018 10:12am Mar 5, 2018 10:12am
Quoting Sis.yphus
{quote} So that's when you bring out some muscle from the bankroll so the next break opportunity covers the loss (not saying a martingale, just using some muscle like you said).
i do adjust my lot size sometimes, it is all stat related and you are correct it isnt martingale related.
What i also do and this is very debatable . Sometimes i make more than 5% and this extra is used to offset a loss. as long as i have 25 % at the end of the week (ok sometimes not) it doesn't matter if i were 40% up as long as i get the 25%. it is classed as a casualty or a loss leader.
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #66
  • Mar 5, 2018 10:17am Mar 5, 2018 10:17am
Quoting Sis.yphus
{quote} So that's when you bring out some muscle from the bankroll so the next break opportunity covers the loss (not saying a martingale, just using some muscle like you said).
AND i use 2 bank rolls, a small one and a bigger one. (long story) don't ask lol.

and bank roll i only use a fraction.... i play stats
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #67
  • Mar 5, 2018 11:18am Mar 5, 2018 11:18am
Quoting !iii!
{quote} Sticking with the daily pivot calculation based on Phi (see post#46), I ran the indicator through 2122 days to again achieve 74% hit rate. I further added a frequency distribution of subsequent pivots missed before the actual hit, see upper right corner [missed pivots|%] in the attachment: you can draw your own conclusion. {image}
You guys at the edge and found something
but probability will be changed as much as more people starts using it...

Processed data is there so for the trained minds already have good ideas to see how to trade this
Take it easy.
  • #68
  • Mar 6, 2018 2:55am Mar 6, 2018 2:55am
Quoting Quants
{quote} You guys at the edge and found something but probability will be changed as much as more people starts using it... Processed data is there so for the trained minds already have good ideas to see how to trade this
Hi, i am continually updating stats, day in day out.

running back years shows stats and they can be compared against recent stats. Frequency Distribution cannot be argued against

I agree with what you say, BUT probability will/can be changed??? it could well change and does, but it shows up in frequency distribution..

Trade well bud, good post

edit, i only play around with small lots now so i have something to talk about in here,

BUT now contradicting myself, i am trading for my girl friend full lots. she was hoping for 6% return per annum but its currently running at +33% lol.
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #69
  • Mar 6, 2018 9:07am Mar 6, 2018 9:07am
Hi Sis

anyone trading atm still 100 pips on the table on the Dax at 69 per cent hit rate

cheers

Eamonn.
  • #70
  • Mar 11, 2018 12:14pm Mar 11, 2018 12:14pm
it has been a bit quiet in here..

Has anyone any stats of the DP being met and then breakthrough or retrace to the S1 or R1..

i am having difficulty setting my Pc to work it out. thanks
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #71
  • Mar 12, 2018 5:20pm Mar 12, 2018 5:20pm
I finally got to correct the stats for # and % of missed daily pivots plus I also added the pip distances from open price of first bar to
a) the pivot, if it was hit, and
b) the open price of the first bar of the subsequent period, if it was missed.

Obviously, opening and closing trades at the first bar, doesn't seem to be a profitable strategy in the long run.

Using indicators or S[1-3]/R[1-3] levels to enter at max excursion from pivot levels would undoubtedly bring down the hit rate, but possibly improve the winning:losing pips ratio.

However, the more interesting strategy to look at would be to add 1 more order on top of the first missed entry (i.e. 1 martingale order to yield profit at the latest pivot level), as long as the distances between the two orders are somewhat meaningful - thereby combining the 76%+16% probabilities. If 2 levels are missed, we'd close the orders. I'll run the simulations another day.

Btw: This time I used the traditional pivot calculation of (H+L+C)/3. My studies across all timeframes and period starting points suggest that there is no magical or market clearing pivot level, other than a logical correlation between recency bias of the pivot point calculation and the pivot hit rate itself - i.e. the more recency bias the higher the hit rate...
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDH4.png Size: 50 KB
Augmenting Intelligence
  • #72
  • Mar 14, 2018 8:41am Mar 14, 2018 8:41am
I ran tests over 630 days to see if there is a significant difference for the profitability (for trading logic see see previous post) with regards to the starting hour of the daily pivot calculation. There isn't really. In fact, only two hours turned out to be profitable: 10 AM Tokyo by about 400 pips of 6,600 range, and 6 AM London by about 120 pips of 6,200 range. The others were hovering between 400-200 pips in the negative over the same range.
Augmenting Intelligence
  • #73
  • Mar 15, 2018 11:29am Mar 15, 2018 11:29am
Interesting observation over 18 years of EURUSD data: there has never been a higher missing daily pivot streak than 4. With the right initial risk and bankroll that should yield a positive strategy...
Augmenting Intelligence
  • #74
  • Mar 15, 2018 11:38am Mar 15, 2018 11:38am
Quoting !iii!
Interesting observation over 18 years of EURUSD data: there has never been a higher missing daily pivot streak than 4. With the right initial risk and bankroll that should yield a positive strategy...
How often did those 4-streaks occur? And when did they occure. If they are clustered there may be an obvious reason for this occurance. Would be interested to see your stats. Thx in advance!
  • #75
  • Mar 15, 2018 1:47pm Mar 15, 2018 1:47pm
4 missed: 2 times; 24.-30.12.2007 and 22.-27.9.2017
3 missed: 39 times
2 missed: 183 times
1 missed: 950 times
Hits: 5,077 times
Augmenting Intelligence
  • #76
  • Mar 15, 2018 2:40pm Mar 15, 2018 2:40pm
USD CHF is short now @ 0.9510 and closing 0.9430
POSTMASTER
  • #77
  • Mar 15, 2018 2:58pm Mar 15, 2018 2:58pm
The stats are quite striking: I will try to find a pivot point calculation (i.e. degree of recency bias) that maximizes the distance to the pivot point while maintaining similar hit rates.
Augmenting Intelligence
  • #78
  • Mar 16, 2018 4:09am Mar 16, 2018 4:09am
Quoting !iii!
I finally got to correct the stats for # and % of missed daily pivots plus I also added the pip distances from open price of first bar to a) the pivot, if it was hit, and b) the open price of the first bar of the subsequent period, if it was missed. Obviously, opening and closing trades at the first bar, doesn't seem to be a profitable strategy in the long run. Using indicators or S[1-3]/R[1-3] levels to enter at max excursion from pivot levels would undoubtedly bring down the hit rate, but possibly improve the winning:losing pips ratio. However,...
Hello !iii!

could you explain with more details please , i need to admit i tried so few days to understand , but i fail to understand the concept
Thanks in advance

SB
trying to make everyday the best risk/reward decisions possible
  • #79
  • Mar 16, 2018 12:14pm Mar 16, 2018 12:14pm
The "problem" is the proximity of the daily open prices to the pivot level, which doesn't give much "room" to work with:

5% <= 1.4 pips
10% <= 2.7 pips
15% <= 4.1 pips
20% <= 5.7 pips
25% <= 7.0 pips
...
50% <= 14.7 pips
Augmenting Intelligence
  • #80
  • Mar 16, 2018 6:25pm Mar 16, 2018 6:25pm
Quoting !iii!
The "problem" is the proximity of the daily open prices to the pivot level, which doesn't give much "room" to work with: 5% <= 1.4 pips 10% <= 2.7 pips 15% <= 4.1 pips 20% <= 5.7 pips 25% <= 7.0 pips ... 50% <= 14.7 pips
ok i see it clear now
thanks
trying to make everyday the best risk/reward decisions possible
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