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Statistics combined with system. Profitable? What do you think

  • #41
  • Jun 28, 2018 5:42pm Jun 28, 2018 5:42pm
Quoting billytt
{quote} FD
Thank you for your reply, Billy. Could you please tell me if this indicator is for (or based on) Frequency Distribution? Or is it just a simple oscillator that indicates overbought/oversold levels?
https://www.mql5.com/en/market/produ...64#description
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  • #42
  • Jun 28, 2018 8:00pm Jun 28, 2018 8:00pm
FD screenshots.
Attached File(s)
File Type: rar FD charts.rar   1.7 MB | 547 downloads
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  • #43
  • Jun 29, 2018 1:02am Jun 29, 2018 1:02am
Quoting michaellobry
{quote} Thank you for your reply, Billy. Could you please tell me if this indicator is for (or based on) Frequency Distribution? Or is it just a simple oscillator that indicates overbought/oversold levels? https://www.mql5.com/en/market/produ...64#description

Hi, i do not open any attachments so i cannot answer.
This sort of information is rarely given away as it so useful to trade with and even then their is no need to sell it.
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #44
  • Jun 29, 2018 1:17am Jun 29, 2018 1:17am
Quoting VEEFX
{quote}{quote} "the only way to trade is follow the market makers and especially after the uk & us open. volatility is king. Keeping stats opens your eyes as to what the market movers are up to OR playing" Fantastic Billy. 100% in agreement with what you said in bold. Please share a little bit more on "Frequency Distribution". These two are my 2nd and 3rd favorite words too (after "Time"). EDIT - Currently I trade round the clock but my stats tell me trading Asian volatility is not consistent with my understanding of what happens at London and US...
Time definitely comes into it.
Asian session, i normally use as a bench mark for breakout.
Frequency Distribution...
i cannot post a chart at the moment.
At its simplest.
Example, we trade breakout.
we have 100 candles of the desired time range 1 hour, 2 hour, 4 hour etc.
We have a break and then it either carries on or RETRACES.
If it retraces we see the range of the candle wick example 6--6-8-2-6-8-1-6-8 -6-7-etc x 100
in the above case we have 9 wicks which are 9 pips or more and 2 wicks which are 2 or less.
without going into odds,percentages we can see that we have a good chance of entering a trade and making 6 pips or more.
Lets set out target to 4 pips .and voila.
that is method at its simplest, i have stats on stats.
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #45
  • Jun 29, 2018 1:27am Jun 29, 2018 1:27am
Quoting michaellobry
{quote}{quote} @Billy: I agree with VEEFX. Billy, could you explain in more detail regarding FD? What is FD: - Frequency Distribution is well explained here: https://www.youtube.com/watch?v=0YlT...ature=youtu.be. More links are welcome. - more and more python traders integrate FD in their system and make use of Taylor's (or Rela's) perspective (https://books.google.nl/books?id=l7WJTcbxcmQC&pg=PA173&lpg=PA173&dq=taylor+vs+rela+"frequency+distribution"&source=bl&ots=1Uu_p45jyR&sig=qVTqwwm_nTdYt2J2RzIXzY093zc&hl=nl&sa=X&ved=0ahUKEwjm_4SS-fbbAhXPGuwKHSWeAbsQ6AEISjAI#v=onepage&q=taylor%20vs%20rela%20"frequency%20distribution"&f=false)...
Wow - has Hell frozen over? A TRO video allowed on FF!
  • #46
  • Jun 29, 2018 1:30am Jun 29, 2018 1:30am
Quoting handy148
Some would say - body in direction of profit and wick in direction of loss.
That's awfully Mighty of you
  • #47
  • Jun 29, 2018 1:42am Jun 29, 2018 1:42am
Quoting handy148
Some would say - body in direction of profit and wick in direction of loss.
i can prove you wrong with that statement,
i made a lot of money with those wicks.
many traders are totally misguided by the lure of hundreds of pips.
its all bolloxs. give me an almost guaranteed 5 points and that is easier than going to an atm machine to withdraw money.
trade well.
SEE LINE,TRADE LINE..PRICE HAS TO GO SOMEWHERE,,, PRICE WILL GO SOMEWHERE.
  • #48
  • Jun 29, 2018 1:55am Jun 29, 2018 1:55am
Quoting billytt
{quote} i can prove you wrong with that statement, i made a lot of money with those wicks. many traders are totally misguided by the lure of hundreds of pips. its all bolloxs. give me an almost guaranteed 5 points and that is easier than going to an atm machine to withdraw money. trade well.
This quote makes sense to those who know where it comes from, Billy.

It actually refers to a very specific situation and not a general one.

In that situation, it is 100% true (OK Sis.yphus, not 100% lol).
  • #49
  • Jun 29, 2018 7:07am Jun 29, 2018 7:07am
Statistical indicators:
More info: https://www.forexfactory.com/showthread.php?t=189511
Attached File(s)
File Type: ex4 Market_Statistics_jack1.ex4   34 KB | 295 downloads
File Type: ex4 TM_MarketStatisticsV2.ex4   133 KB | 312 downloads
File Type: ex4 Akif_Market_Statistics_Drag_v1.ex4   42 KB | 302 downloads
File Type: ex4 Akif_Rectangle_Market_Statistics_v2.ex4   32 KB | 316 downloads
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  • #50
  • Jun 29, 2018 7:12am Jun 29, 2018 7:12am
Wick indicators.
Attached File(s)
File Type: mq4 Wick-O-Gram.mq4   3 KB | 324 downloads
File Type: mq4 WickPercentage.mq4   2 KB | 330 downloads
File Type: mq4 WickPercentage_arrows .mq4   2 KB | 324 downloads
File Type: mq4 WickPercentage_arrow_options.mq4   4 KB | 370 downloads
File Type: mq4 wick0.3.mq4   3 KB | 292 downloads
File Type: mq4 Net Wick Size.mq4   3 KB | 352 downloads
File Type: mq4 +++ WickPercentage_adjusted.mq4   2 KB | 313 downloads
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  • #51
  • Edited 2:28pm Jun 29, 2018 1:53pm | Edited 2:28pm
Below article discusses combining statistics with trading. What is your opinion? Is this stochastic process a promising approach for statistical trading?
______________________________

https://www.forexfactory.com/showthread.php?t=562689



Autoregressive Model

Autoregressive (AR) Model is a stochastic process representation for time series. In this model, the next variable of interest (e.g., next price) is modeled with linear combination of previous value(s) in a stochastic manner,
Attached Image
https://www.forexfactory.com/attachm...1&d=1445294734

where c is a constant, y_t is the variable of interest at time t and e_t is white noise. This stochastic process is usually referred to as an AR(p) model.
You can find more information about this stochastic process here.

Trading Algorithm

The trading algorithm is summarized below:
0. At the beginning of everyday's candle (i.e., the open price of the day) the algorithm performs the following steps:
1. Compute the trend (e.g., the average) of the past N days' close price, which is called P[] array.
2. Remove the trend from P[], store the result in D[] array.
3. Estimate the parameters of an AR(1) model.
4. Using D[] and the estimated model, perform Dickey-Fuller test. If D[] is stationary, go to (5) else go to (0)
5. Predict the next value of D[] (which is D[N+1]) using the estimated AR(1) model.
6. decision <- empty
6. If D[N+1]>D[N], then decision <- Buy, Close Sell else if D[N+1]<D[N], then decision <- Sell, Close Buy
7. Execute the decision.
8. Go to (0)


Expert Advisor

I developed an EA for testing this trading idea based on AR(1) model. Here is a backtest result from 2000 to 2015 on EURUSD:
Attached Image (click to enlarge)
https://www.forexfactory.com/attachm...1&d=1445296994


Discussion

This trading idea arises a set of questions such as:

 

  1. Is this stochastic process (i.e., autoregressive model) a promising approach for statistical trading?
  2. How can we improve the trade logic?
  3. Does SL/TP settings for trades improve the results?
  4. What if we increase p in AR(p) model?
  5. Would it be more profitable if we use ARMA(p,q), ARIMA(p,d,q) and ARFIMA(p,d,q) models?
  6. What about non-linear autoregressive models?
  7. ...


I am attaching the EA here. Hopefully any further improvement in the strategy would result in a newer version of the EA to test, and who knows, trading live!

Attached File(s)
File Type: ex4 MathTrader7_AR1_EA.ex4   128 KB | 371 downloads
File Type: mq4 zigSto.mq4   3 KB | 356 downloads
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  • #52
  • Jun 29, 2018 3:07pm Jun 29, 2018 3:07pm
Quoting michaellobry
Below article discusses combining statistics with trading. What is your opinion? Is this stochastic process a promising approach for statistical trading? ______________________________ https://www.forexfactory.com/showthread.php?t=562689 Autoregressive Model Autoregressive (AR) Model is a stochastic process representation for time series. In this model, the next variable of interest (e.g., next price) is modeled with linear combination of previous value(s) in a stochastic manner, Attached Image https://www.forexfactory.com/attachm...1&d=1445294734...
I am not a major in Statistics so most of this mumbo jumbo is above my knowledge. All I can add is what I mentioned here... trade outcome and the stats around what affects the trade outcome is the only thing required to statistically analyze and apply filters...in a recursive/iterative manner.
Staying in my lane...
  • #53
  • Jun 30, 2018 6:21pm Jun 30, 2018 6:21pm
Quoting VEEFX
{quote} I am not a major in Statistics so most of this mumbo jumbo is above my knowledge. All I can add is what I mentioned here... trade outcome and the stats around what affects the trade outcome is the only thing required to statistically analyze and apply filters...in a recursive/iterative manner.
Thank you for your reply.
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  • #54
  • Jun 30, 2018 6:31pm Jun 30, 2018 6:31pm
Is there any research done about pattern recognition regarding scaling?

Introduction:
I mean, look at any EUR/USD chart. If you look at the bigger M-patterns (the ones that are wide in range), then you will recognize this constantly as it repeats.

I'm specifically interested in:
- aggressive trends
- trends
- ranged markets

My question:
Assume, we are in a ranged market. Are the 3 legs of the M pattern comparable to another M pattern which is also in a ranged market? What can we conclude from the degree between the legs in the same market condition? Statistically, shouldn't the third leg of the M pattern be the most profitable to trade since you are trading in the direction of the trend?
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  • #55
  • Jul 3, 2018 4:52pm Jul 3, 2018 4:52pm
Regarding forex science, here is something everyone probably heard of:
Mark Boucher: 70% of a market's moves occurs 20% of the time

Does anyone have more details of this research?
Attached Image (click to enlarge)
Click to Enlarge Name: GBPUSDandGBPJPYSufferFlashCrash2_resized.png Size: 47 KB
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  • #56
  • Jul 3, 2018 4:56pm Jul 3, 2018 4:56pm
Forex researches and results:

https://forex-station.com/viewtopic....8271&t=8472309

Part 1
Attached File(s)
File Type: pdf Wavelet Decomposition of the Financial Cycle - An Early Warning System for Financial Tsunamis.pdf   1.7 MB | 322 downloads
File Type: pdf Comovement of Exchange Rates - A Wavelet Analysis.pdf   293 KB | 366 downloads
File Type: pdf Price Lead-Lags in Indian Stock and Futures Market - A Wavelet Based Study.pdf   408 KB | 342 downloads
File Type: pdf Adaptive Expectations, Time-Series Models, and Analyst Forecast Revision.pdf   640 KB | 536 downloads
File Type: pdf Automated Trading with Genetic-Algorithm Neural-Network Risk Cybernetics - An Application on FX .pdf   648 KB | 548 downloads
File Type: pdf Methods for Estimating the Hurst Exponent of Stock Returns.pdf   454 KB | 235 downloads
File Type: pdf Predicting Break-Points in Trading Strategies with Twitter.pdf   924 KB | 362 downloads
File Type: pdf Forecasting Short Term Interest Rates Using ARMA, ARMA-GARCH and ARMA-EGARCH Models.pdf   79 KB | 446 downloads
File Type: pdf Is Arch Useful in High Frequency Foreign Exchange Applications.pdf   317 KB | 282 downloads
File Type: pdf GARCH 101 - An Introduction to the Use of Arch & Garch Models in Applied Econometrics.pdf   156 KB | 336 downloads
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  • #57
  • Jul 3, 2018 4:56pm Jul 3, 2018 4:56pm
Forex researches and results:

https://forex-station.com/viewtopic....8271&t=8472309

Part 2
Attached File(s)
File Type: pdf A Model for the Federal Funds Rate Target.pdf   519 KB | 562 downloads
File Type: pdf MS_Regress - The MATLAB Package for Markov Regime Switching Models.pdf   454 KB | 459 downloads
File Type: pdf Forecasting Time Series Subject to Multiple Structural Breaks.pdf   462 KB | 350 downloads
File Type: pdf The Three-Pass Regression Filter - A New Approach to Forecasting Using Many Predictors.pdf   584 KB | 429 downloads
File Type: pdf Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform.pdf   844 KB | 445 downloads
File Type: pdf A Simple Approximation of Intraday Spreads Using Daily Data.pdf   741 KB | 462 downloads
File Type: pdf Non-Linear Forecasting Methods - Some Applications to the Analysis of Financial Series.pdf   295 KB | 391 downloads
File Type: pdf Analysis of Financial Time-Series Using Fourier and Wavelet Methods.pdf   400 KB | 453 downloads
File Type: pdf Forecasting Volatility.pdf   542 KB | 431 downloads
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  • #58
  • Jul 3, 2018 5:48pm Jul 3, 2018 5:48pm
Quoting Fauzaan
Interesting! Here is a simple EA coded to just do that. I've run couple tests and optimizations and i dont think going for 50 SL and 50 TP is working out very well But... lets see... {file}
I've found some useful information regarding the mq4 EA on page 1.


Source: https://forex-station.com/viewtopic....8271&t=8472666

If you are interested, we could update the EA as per the thread (in the link) suggests:
- only look for candles with bearish wicks when the candle is in a down trend (argument: since it's already going down, there will be first a swing low (point) (instead of that the market will form a high swing). Vice versa for bullish wicks.
- only look for entries, if the wick appears at S/R:
*after close above upperBB band
*after close above 200 EMA
*double/triple top/bottom breakout
*after [12] bullish candles
*trendline breakout of channel using the indicator: market profile.ex4

I would really appreciate it, if you are able to update the EA.
Attached Image (click to enlarge)
Click to Enlarge Name: MP Long Wick.png Size: 103 KB
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  • #59
  • Jul 5, 2018 6:16pm Jul 5, 2018 6:16pm
Quoting handy148
Some would say - body in direction of profit and wick in direction of loss.
This screenshot shows the importance of candle wicks in combination with real volume tick data (not the default MT4 volume indicator). You can download this volume indicator here:
1. https://forex-station.com/viewtopic....8480&t=8430755
2. click on 'volume indicators'
Attached Image (click to enlarge)
Click to Enlarge Name: Example how to read Volume and PA.png Size: 124 KB
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  • #60
  • Jul 11, 2018 12:52pm Jul 11, 2018 12:52pm
Quoting michaellobry
Is there any research done about pattern recognition regarding scaling?
I am currently studying possible use of Neural Networks using MACD indicator to find a dominant pattern automatically. I found one simple way to do data scaling of that indicator. Basically I tried to divide indicator values coming from JPY by 100 to get the right scale compared to other pairs
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