{quote} Hi! Thanks! Can you collect the same statistics for last 3 and 5 years? The first row <1,1 includes trades only over 30p range? With regards, SP
- #82
- Edited 11:43am Mar 8, 2018 10:42am | Edited 11:43am
- | Membership Revoked | Joined Mar 2018 | 8 Posts
Seeing this much of discussion on this system I wanted to post my analysis here with same system but not on daily time block. This has no time block instead has price action probabilities. Time block cannot direct any price change at all.But the basics are mean reversion itself.
trend lines may not be accurate but correct approximately. The main focus is on price mean reversion.
A bit out of my experience
trend lines may not be accurate but correct approximately. The main focus is on price mean reversion.
A bit out of my experience
- #84
- Mar 8, 2018 2:21pm Mar 8, 2018 2:21pm
- Joined Jan 2015 | Status: Error 404: LuXing not found | 1,586 Posts
Wisdom begins in wonder
- #85
- Edited 4:41pm Mar 8, 2018 4:15pm | Edited 4:41pm
- Joined Nov 2014 | Status: Trader | 1,736 Posts
[quote=alphaomega;10838950]Hi, and thanks You just have to understand the basic
Time as you understand it is the smoke and mirrors created by the people you are trying to fleece but there are numbers from which all humanity can not escape.
Click the mouse
Time as you understand it is the smoke and mirrors created by the people you are trying to fleece but there are numbers from which all humanity can not escape.
Click the mouse
{quote} This grid is not working, because trades from later needs multiplied lots and it increases too much risk. We are building next perpetum mobile here. This thread is an excellent continuation for Merlins Amazing strategy thread https://www.forexfactory.com/showthread.php?t=405 Rgrds, SP
- #89
- Mar 9, 2018 3:05am Mar 9, 2018 3:05am
- Joined Aug 2011 | Status: Trader | 1,327 Posts
No greed. No fear. Just maths.
- #91
- Mar 9, 2018 3:49am Mar 9, 2018 3:49am
- Joined Aug 2010 | Status: Stare Into the Lights My Pretties! | 795 Posts
{quote} alphaomega can you explain the rationale behind the 25%? Yesterday I took a pen an a paper and wrote down what happens if the price goes straight in one direction in the first part of the cycle. At 25% retracement the grid is in loss. Shouldn't the 2nd retracement be at least 33% (= BE)?
For example at 00:00 we start with 100% retracement target and as the time progresses we reduce the target accordingly by using the sqrt(t) until we reach 0. Because at that time (00:00) we have to close all positions anyway.
But for some reason during back-testing I get the best results with 25% retracement after 12:00 and 50% before 12:00.
Here is the rationale as far as I understand it.
Because the strategy is based on fixed time cycles, we have to find the optimal ratios between time units and price units at any given time. BUT, because the system is trading mean reversion logic, we also have to optimize the win%. This is where the edge comes from. Basically this is the exact opposite logic of trend following system. (With trend following we try to maximize RR).
The key here is to try to get rid of all positions as early as possible. For this we exploit the natural mean-reversion properties of price which tend to be much more prevalent in the first half of each cycle. For example if you have position at 18:00 it does not make sense to target 100% retracement. The win% is just too small. But 25% retracement still makes sense. Because you have 6 hours left. I hope people can understand the logic here. It's just too difficult to explain this stuff. lol
This strategy is just a starting point and I want to keep it as simple as possible. I want to show people alternative ways of thinking. And from here everyone can develop different versions.
- #93
- Mar 9, 2018 4:45am Mar 9, 2018 4:45am
- Joined Aug 2010 | Status: Stare Into the Lights My Pretties! | 795 Posts
{quote} Furthermore, it's not the same entering a trade at 5:00 than 17:00, I mean, I've also discovered with hundreds of trades, that depending o the hour of the day, the trade should be last longer than other opened at a differnt hour. In fact, I optimize the expiration time of a trade depending the hour of the day..
With the strategy here we can see different optimization examples and target settings. The examples below are for short positions.
- #94
- Mar 9, 2018 5:47am Mar 9, 2018 5:47am
- Joined Aug 2011 | Status: Trader | 1,327 Posts
No greed. No fear. Just maths.
- #95
- Mar 9, 2018 6:00am Mar 9, 2018 6:00am
- Joined Aug 2011 | Status: Trader | 1,327 Posts
I tried to add an estimation of the trend too (I'm not claiming I succeeded here!). Originally I wanted to see if these "volatility cones" can help recognizing quickly a bad day. Look what happens when the price escapes the cone in term of retracement.
Problem: At the early stage of the cycle the cone is so small that the price always leaves it. (adding an offset?)
Problem: At the early stage of the cycle the cone is so small that the price always leaves it. (adding an offset?)
No greed. No fear. Just maths.
- #99
- Mar 12, 2018 5:37am Mar 12, 2018 5:37am
- Joined Oct 2017 | Status: Trader | 12,472 Posts
DAX Return to the mean(s) : a big classical behaviour;
Prosit !
Prosit !
{quote} Thanks! There is still a lot of work to be done until the system is refined enough to trade larger live account. On the entries I personally do not wait for candle close. Maybe we can add this option as additional protection against fat tails. But I'm not sure how the results will change. I already posted automated EA with the basic version of the system, here. You can test it on demo or small live account.
I tried M5 but I prefer M15...if at the end of the candle the signal is confirmed, I take the order.
Just another question: in the first post, you explained your lot progression with 10 % ADR...it's really ADR or ATR ?
Many winning trades this morning during London session
