Simple Mean Reversion

Everybody wants a magic indicator then automation.
Trading is about a deep connection to one characteristic of the market, that give you an edge.
Most traders will spend years looking for indicators and automation, rather then do the hard work.

True.

But automation on itself is a VERY HARD WORK!

You can wait for someone to give you the "magic" indicator or the magic EA - this is easy! Most people will settle on this option.

Or you can start to do your own research and your own coding. Search for patterns, test them, build trading models.......it's a long process with many ups and downs. Excitements and disappointments......until you find something stable that works.

Manual trading or automated - both require a lot of work and dedication. (If you want to do it professionally.)

as long as it technical matters, it is what it is.
we even must be discipline to technical we are using.
The common mistake trader makes is they dont pay any attention with the timing.
even when with news come, they still do S/R measurement. Lol.

Exactly! People think automation is something you build once and mine the markets forever. Thats far away from the truth. Take prop firms that use such processes. They have huge teams of market analysts, physicists, statistician, risk managers. They invest millions in hardware, powerful internet connection, high quality feed. They use complicated mathematical models adapted to current market conditions and modify them on a daily basis. Machine learning, data mining... They collect terabytes of data on a daily basis from whole internate, scan forums, chat rooms, news sites, process,store and use the data in a complex way.
They adjust the algos every day and improve them nonstop. They have teams to monitor them 247 and interact if needed.

Who are we to try to copy them? haha

TRD

Hi Jagg,
You have done a good job of putting range scale on the chart.
Is it possible to have a 4-hour range average scale on the chart.
Attached is an indicator that draws vertical timelines every 4 or 8 hour.
The past 1 4hr bar dotted line can show the ADR scale in gray color.
Two gray scales will be there - one at the end of the chart for daily ADR
Another at the end of 4 hours for last 4 hours.
Thank you.

Last week (2018.09.10 - 2018.09.14) both variants ended green with a clear winner. The original method had it's best week since starting this journal!

9990 = my variant of SMR with 4H MA filter, BE stop, no fixed timed 25%/50% exits but "candlestick jumping stop loss" - see above for more details
9993 = original method from post 1 with only BE stop added.
_
EA trades the broker min lots per symbol (0.01 for forex symbols, 0.10 for dax/dow) with some small kind of martingale (0.01 for first 3 trades, 0.02 for the next two trades and then 0.03 lots until MaxTradesPerSymbolAllowed is reached). Both variants open the first trade only when min level of the ATR band of 3 is reached and also have a hard stop if ATR band 6 is reached! The broker used has fixed spreads per symbol and charges no commissions per trade.

Hi friends how we have promice if we finde something new we gona post on the thred, by the way is 1 trader in one platform wich allows copying him. I have opened 1 demo account and i follow him now for 5 weeks, belive me he have only 2 losing tades the rest all are wining one's. What i have understod he trades only after 00.00 when market opens and and for 5 week's he lies in 50% wining %ge. What makes me to belive that he trades these method i have put DRS on chart i make comperation when he opens and close trades. Here are some charts... The moral of post lower the volitality better the results...

automation requires *good* coding skills otherwise you will be burried in coding errors that hinder your trading development

“If you knew the magnificence of the three, six and nine, you would have a key to the universe.”


3 6 9 !

3 + 6 + 9 = 18 1 + 8 = 9

3 * 3 = 9

6 * 6 = 36 3 + 6 = 9

9 * 9 = 81 8 + 1 = 9

9 9 9 ??? 3 * 9 = 27 2 + 7 = 9

9 + 9 + 9 = 18 1 + 8 =9

9 * 9 * 9 = 729 7 + 2 + 9 = 18 1 + 8 = 9

999 9 + 9 + 9 = 27 2 + 7 = 9

9 + 36 + 81 = 126 1 + 2 + 6 = 9

999 / 3 = 333 3 + 3 + 3 = 9

126 + 333 = 459 4 + 5 + 9 = 18 1 + 8 = 9

126 * 333 = 41958 4 + 1 + 9 + 5 + 8 = 27 2 + 7 = 9

333 * 333 = 110889 1 + 1 + 0 + 8 + 8 + 9 = 27 2 + 7 = 9

9 ????

9 * 9 = 18 1 + 8 = 9

WTF!

0 + 1 + 2 + 3 + 4 + 5 + 6 + 7 + 8 + 9 = 45 4 + 5 = 9

NO WAY

1 * 2 * 3 * 4 * 5 * 6 * 7 * 8 * 9 = 362880 3 + 6 + 2 + 8 + 8 + 0 = 27 2 + 7 = 9

TIME 24??? 2 + 4 = 6

0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12

12 1 + 2 = 3

0 + 1 + 2 + 3 + 4 + 5 + 6 + 7 + 8 + 9 + 10 + 11 + 12 = 78 7 + 8 = 15 1 + 5 = 6

3 + 6 = 9

3 * 6 = 18 1 + 8 = 9

RANDOM ? R + A + N + D + O + M = 6

3 * random number 8563 = 25689 2 + 5 + 6 + 8 + 9 = 30 3 + 0 = 3

6 * random number 397 = 2382 2 + 3 + 8 + 2 = 15 1 + 5 = 6

9 * random number 1731 = 15579 1 + 5 + 5 + 7 + 9 = 27 2 + 7 = 9

369

CIRCLE 360 3 + 6 + 0 = 9

SQUARE 90 DEGREE ANGLES 9 + 0 = 9

TRIANGLE 180 = 9

EVEN THE DEVIL 666 6 + 6 + 6 = 18 1 + 8 = 9

OK, ENOUGH! ENOUGH? E + N + O + U + G + H = 6

Just kidding! OR maybe not?

NOW, LETS TRY WITH THE OTHER NUMBERS 1, 2, 4, 5, 7, 8

1 * 1 = 1

2 * 2 = 4

4 * 4 = 16 1 + 6 = 7

5 * 5 = 25 2 + 5 = 7

7 * 7 = 49 4 + 9 = 13 1 + 3 = 4

8 * 8 = 64 6 + 4 = 10 1 + 0 = 1

1 * 2 * 4 * 5 * 7 * 8 = 2240 2 + 2 + 4 + 0 = 8

NO 3 6 9 ???

THINK OUTSIDE THE BOX!

1 + 4 + 7 + 7 + 4 + 1 = 24 2 + 4 = 6

1 + 4 + 16 + 25 + 49 + 64 = 159 1 + 5 + 9 = 15 1 + 5 = 6

6 + 6 = 12 1 + 2 = 3

6 * 6 = 36 3 + 6 = 9

3 6 9

HMMM!

DOWN THE RABBIT HOLE.......

NO TURNING BACK!

So is there an edge to incorporate 3/6/9 in a strategy? I tried a different I could not pinpoint any relevance either in price movement, use of it in indicator settings, in RR, in position sizing etc. It probably gives a edge in your mindset lnowning you are doing what's part of the universe....but then folks have tried fibo sequence, triange, rectaunglar, sqrt, forks, pivots, and everything inbetween. Perhaps, like adphadude's automation, we should do it all as sum of all parts to rebalance towards whatever works as part of intraday diversification.

FYI - I AM currently looking into pure reversion to mean intraday strategy. Have you do any research or attempted aggressive stacking from 1 or 2 std deviations .By this, I mean how many positions (not martingle recovery) one must add to Breakeven when price oscillates in beteeen 1 and 2 levels. By this, I ask if there is a optimized position sizing formula in pip distance (not sizing) to strategically do the placements. By this, I ask if I have found something interesting that 90% of the time net position size goes into average be+1 for almost 90+% of the intraday candles. There are 3 sessions, 6 H4 candles and 24=6H1 candles, 60 M1 candles etc etc

What I have yet to confirmcis whether there is any significance in tick time/volume weighed stuff. I will get this SOB one day :-(

No. There is no edge in the numbers.

But there is a hidden formula involving these numbers which can lead you to the edge.

With this formula you can solve the "inevitable" problem which arises when you apply dynamic hedging trading model. (The problem of the constant unbalanced equation) I think I found a way to balance this equation perfectly at least 99% of the time.

I'm sure of this! Now I'm writing the code in order to prove this theory first on demo and later on a live account.

Maybe there is no real holy grail in trading, but this will be the closest thing to a holy grail.

Interesting.....good luck man. If you balance the dynamic hedge 99% of the time, how will you recover spreads and slippage costs? I tend to also think it is possible but only (at least in my case) if you trade really small size with large number of positions. Even with reversion to mean techniques you will always need a repeat of small (although brief) directional moves to recover and profit from that 1% to tilt the needle towards profitability. I think theorical models will look good but practicality of implementation would be prohibitive in nature (based on what I am seeing with mean reversion techniques which I recently took on)

I feel I am still on the right track of saying we will always need more than just price to feed into your formula to generate positive expectancy. Perhaps volume? Not sure but it is indeed a fascinating problem that just makes you suck into the weeds deeper and deeper.

Let me ask you this and hopefully we can look at this dilemma from a different perspective or theorem. How many attempts are required to make a 1pip net profit from a n pip range? This range could be a microscopic iew of say M5 or M15 candle range. I ran some models in demo this week by adding 100s of trades solely based on tick volume and observed 9 out of 10 times, my positions would always go in next profit even if it was only for few seconds. Is that a .Edge? Mathematical or theoritically for sure but in practical terms I highly doubt it. Brokers/MM will always have the upper hand with the 00 edge to prevent high speed sxalpers. If you are attempting something similar in nature then spot FX en vironment is not the right pace for it.

Sorry for the rambling.

food for thougts

http://technical-analysis-addins.com...-numbervib.php


I found this post somewhere on the web. Its thought provoking if nothing else. Gann was into numerology.

In numerology you want to find the number vibration by adding up the digits to bring it down to a single digit.

For example if you have the number 2417 you add up the single digits [2+4+1+7 = 14=1+4 =5 So the number 2417 dances to the vibration of 5.

Now the circle is 360 degrees if you break it up into 30 degrees increments you have 30 60 90 120 150 180 210 240 270 300 330 and 360…
now if you break each number down to a single digit then you have a pattern or symetry working..3 6 9 3 6 9 3 6 9 3 6 9.

Now you might say so what ?. Look at the pattern in percentages of price movement (Read W.D Gann..45 Years in Wall Street}

3.125 = 2 43.75 = 1 84.375= 9 6.25 = 4 46.875 = 3 87.5 = 2 9.375 = 6 50 = 5 90.625= 4 12.5 = 8 53.125 = 7 93.75 = 6 15.625= 1 56.25 = 9 96.875= 8 18.75 = 3 59.375 = 2 100 = 1 21.875= 5 62.5 = 4 25 = 7 65.625 = 6 28.125= 9 68. 75 = 8 31.25 = 2 71.875 = 1 34.375= 4 75 = 3 37.5 = 6 78.125 = 5 40.625= 8 81.25 = 7

See the percentages table when broken down to a single digit the percentage move to a perfect Yin and Yang pattern of order starting from Even digit to Odd digits and back to Even and then Back to Odd digits.

Gann mentions in 45 years of Wall Street that the percentages was the one of the greatest discoveries he made.

Now lets look at the number 144...

when we bring it down to a single digit it comes to 9..so change of price or time can occur. So the following digits 18 36 54 72 90 108 126 144 bring to single digit = 9 . This applies in time and price. But you must go and back test these numbers on ranges in price,multiples of 144

For example look at the price of the stock when it is at 144 288 432 and so on. Also when the market of a particular stock is say for instance is at 2999 then look for the next resistance or support by adding 144 and wait for confirmation whether it will move into the next square of 144
If 144 is to much for that particular stock then do divisions of 144...18 36 54 72.....

Study the number 144 more you will find it all ties into square of nine. You then needto go and back test these numbers on past history of a stock on a chart. The answers are all there one needs to put in the effort and you will see and discover more. kind regards to all
Brett

Hello David

Thanks for the email Look at the number 144 .if you do a bit of study on numerology to find the real value of the vibration of the number you need to bring it down to a single digit.

So if you add the digits 144{1+4+4 =9} So when a number reaches 9 it has to change back to 1 again. 18 27 36 45 54 63 72 81 90 99 108 117 126 135 and 144 all add up to 9 when you bring it down to a single digit.

When you look at a circle it has 360 degrees start from the cardinal points we have 0 90 180 270 360 now all these numbers add up to 9 when you bring it down to a single digit...now the trine points of the circle which is the 45 degrees to the cardinal points which of course is 90 ...
so the trine points of the circle are 45 135 225 315 now each number here adds up to 9....

change occurs so in relation to the stock market go back test time and price .W.D Gann stated then go back test the history of the stock and prove it to yourself that the numbers keep on coming in.Also use time periods of 30 60 90 120 150 180 210 240 270 300 330 360 ..
now if you bring these numbers to a single digit you will see a pattern of symetry 3 6 9..3 6 9 3 6 9 3 6 9 ...
in regards to % movement in price use the percentage number of

3.125 equals 2
6.25 equals 4
9.375 equals 6
12.5 equals 8
15.625 equals 1
18.75 equals 3
21.875 equals 5
25 equals 7
28.125 equals 9
31.25 equals 2
34.375 equals 4
37.5 equals 6
40.625 equals 8
43.75 equals 1
46.875 equals 3
50 equals 5
53.125 equals 7
56.25 equals 9
59.375 equals 2
62.5 equals 4
65.625 equals 6
68.75 equals 8
71.875 equals 1
75 equals 3
78.125 equals 5
81.25 equals 7
84.375 equals 9
87.5 equals 2
90.625 equals 4
93.75 equals 6
96.875 equals 8
100 equals 1

now you can see the symetry .But dont believe me go test it out for you self mathematics and Geomtry applied to the market reveals the Truth.

Study study apply and prove it to yourself the biggest obstacle in one life is each individuals human conditioning and flawed way of thinking base on human emotion .

To tap into the Universal Truth one needs to vibrate the same frequencies.....kill the ego embrace your realself {SPIRIT} and hang on for the time of your life.
kind regards
Brett

Re-read the post .Buy the book The Day of Wisdom According to Number Vibration by Mrs .L Dow Balliett. regards Brett
The book is available to read for free on-line at:
http://site.ebrary.com/pub/kessinger

Anything unusual?

Wow

I started with numerology few days ago. Well more like "day ago" but on people it is fairly accurate. I use bigger numbers than 1 to 9. Even 85 says something about the person, house, phone number etc... And of course, got the idea to apply this on the market. But so far no ideas.

I'm curious if we can use it also. You can count with name of I don't know... Princess Diana for 1997 and get some kind of result. Interestingly enough it showed number that says "death" in the year she died. So if we take EURUSD can we get future movement for year let's say 2019 or even month? It says yes, but I'm not yet sure how that works since it is kinda confusing for starters.

I even tried few other persons that died and I took year the died and created a numerology number for them for the year. Did 3 so far and all of them got number that has something to do with death. I was kinda amazed to be honest, since the way I count it is the same.

SF

V,

have a read on this book; it's a classic and it is very useful for mean reversion trading.

Pairs Trading: Quantitative Methods and Analysis by Ganapathy Vidyamurthy

Trading Forex is actually "Pairs Trading" because you are trading the spread between two currencies (EUR vs USD, GBP vs USD, etc).

the secret to mean reversion trading; is to know when to add positions; and when to exit positions solely based on the mean reversion model.

Positions management, and exit management can add to the success; but the main edge; is in knowing when to enter and when to exit based on the model alone.

hope this helps !

Thanks Dude. I will most certainly read but only after I tackle the mean reversion research on my own merit and effort. When I wear my research hat on, I go into complete information vacuum to elimination any bias to affect my 1000s of iterational approach I take to eliminate one theory at a time. I did the same for my trend following approach (dubbed universal time action strategy). It used the appraoch similar to Mandlebrot and I had no idea who he was until recently (I am one ignorant a'hole by design lol)

You are spot on about entries when you say "the secret to mean reversion trading; is to know when to add positions; and when to exit positions solely based on the mean reversion model.".... I am of the belief that exits should have no significance on what type of entries one takes. I like to match my exits with my MM plan and objectives and not worry about exiting too early or too late (which can be a misery in itself if you keep on starring at entry setup and hoping the exit reversal setup would follow. As we know, what happens in the future is anybody's guess. I tend not to fool myself into thinking a exit "strategy" based on how I enter would give me any edge but that is just me.....specific to trend following. For mean reversion, you might be right but so far, I still like my exit to trigger based on my %target goals. With that said, I do tinker with overall equity %target goals based on my overall view of market sentiment (similarly, in your case with reversion to mean, you will need to tinker with %risk as entries are more important than exits). For divergence, exits are more important than entries.....classic dilemma but hybid model covering both RTM and DFMDFM off the best diversification out there. You can trade trend following using a mean reversion and you can trade a mean reversion using a trend following. We only need to watch for scale, duration and frequency which boild down to "Trading is an Art" philosophy camp and of course the overall understanding of market sentiment and volatility that one must have to make informed judgement across all strategies and entry/exit types.

Hi AO, I am curious if you would be willing to share the mql code that generates such a visual indicator. I was to use the logic to draw a visual around my hedged trades among other things that I am looking into.