do currencies have their own characteristics?

Not really - remember that momendtum is the product of mass and velocity; ccy's certainly have velocity, but thee isn't really an equivalent for mass, and conservation laws are not definable.

I have my doubts about polynomial fitting - at least over order 2 as well as fourier analysis because of the implication of more than a very rough cyclicity, but if Jane wants to go into greater depth, I would be interested.

OTOH, there are many techniques in FD that show promise for application, such as methods used in the analysis of boundary layer flow and the transition from turbulence to smooth flow and back again, such as scaling laws, etc, and the issue of short term vs. long term predictability. We are having some luck with the analysis of the 2nd derivative (acceleration) & 3rd (jerk) as useful classifiers for sharp transients, but it's still very much up in the air...

best use tick chart ... beauty wave forming using tick.
remove time ... time = bad. in market, time = illushion. (in reality, time = illusion, per Albert E. & TOEs! same in markeet, yes).
base chart onlee on tick only, and wave frequencee/period/lenth very sharp & cleer.

i post pix for you.

ok, thank you.

here my exampil:
233 fiber tick chart w/ FA+PR:

very excel, no?

Jane - lovely, yes
I agree re time being an illusion (which is why I am very fond of point and figure). My problem with ticks is that I like to work on longer timeframes so the tick isn't always available, plus I'm fascinated currently by scaling law types of apporaoches, so one makes approximations....

PnF ... to me, too subjectif, because what use for box-size? anyone guess!!
but ok, PnF beter than time-chart, amen!!

tick chart in MT4 has manyful historical ... if have m1 bar & tick volume, (mine return to 06.2004), then tick chartin OK.

scale law = power law?

ok, thank you.

PnF's - use volatility to measure box size (over some time frame) or at least should be large enough to contain perhaps 70% of all hi-lo spreads on the time frame you are working on. And it's better work on logarithmic charts, so you are essentally using ratios rather than absolute levels.

Take the PnF history, and throw out direction, as well as the constant change as you go from up to down columns (e.g., 3 box reversal implies each column is at least 2 boxes). What you are left with is simply a series of non-negative integers: e.g.
(3,0,2,1,1,7,12,4,.....) covering the whole history. (The history can be recovered knowing the value of the first element, and recognizing that each succeeding element represents a change in direction and has had the box-reversal minimum removed). Then take your current point and a history (smallish) , and run correlations. The shorter the history, the more correlations you will get and the more diverse your results. The longer the history, the fewer high correlations, with ideally a strong bias showing n the result. An interesting test is that if you keep track of the start time and end time of a column, you can invert the process statistically to see how reasonable your results are (or aren't), they shouldn't give high variance trading on a Saturday, for example


PS - ok - I see what you mean about using the tick volume; that's actually something I can really use and didn't think of. Thanks!

The "mass" of currencies is the lack of instant communication between traders and the different opinions of the traders on the direction of the currency. If a currency was traded by only one trader or a small group of traders all in the same room, then the currency would have 0 "mass" and thus 0 "momentum".

I would guess that maybe that's what mass is, the lack of agreement and communication, but I won't.

Thanks, it's interesting; how would you model it? The indicators that label themselves momentum are mostly just price differences over a period time - more or less an average velocity estimate, but with no orthogonal component. Ideally a momentum operator should be separable into 2 components - i.e. in physics momentum p = mv, then dp = (dm)v + m(dv). The dv part is easily measurable - the acceleration in a ccy pair price, but the dm part is harder to interpret. Change in volume? Tick rate? Intriguing idea....FWIW, the reason I ask is that the further down one can find consistently differentiable ideas, the farther one can go further with estimates of future behaviour....

Very Interesting that you pnf, I have read that traders before 1950s used pnf, and like range bars(the mt4 indicator, ive been trying to get someone to program on this forum for the last six months lol) that it better shows periods of ranges and trends.



Im not a mathematician (unfortunately), however Ive read in an econometric paper , whose source is lost to time, that tick data is very closely correlated to volume(i shall search for it again). I was reading an old thread on trend indentification on elitetrader. It suddenly occured to me, if it was possible to identify the start of a trend by using (the rate of change of volume/the rate of change of time= trend strength. dv/dt=trend strength). Maybe the rate of change of price could be used instead of rate of change of time. Maybe this calculation can be done when price breaks out of the pnf/ range bar consolidation range, to determine if this breakout is the start of a trend.


If tick is closely correlerated to volume, maybe tick frequency , mt4 volume data, currencies volume could be used for the calculation of volume. When i had a currency future feed, i noted that mt4 and vst volume were quite close to the currency future volume. And, that similarity increased as chart timeframe eg. 1hr chart increased.




Ive also read in econometric paper pdfs, ive found on the net regarding trading and the currency market. That The market is:

- autoregressive (like to revert to the mean price) heteroskedastic (price action is based on short term prior price action) properties
- are predictable for the next 20 mins(rather like weather predicting)
- are non linear dynamic(chaotic) systems
- obey power laws




Interesting pdf paper on currencies by Dr olsen of oanda forex corp. Youll be glad to hear he talks about power laws, and about autoregressive heteroskedastic properties , ability to predict over next 20mins, and predictive forcasting(the 2nd pdf to only achieve profitable 50ish% correct signals)
http://citeseer.ist.psu.edu/muller93fractals.html

this paper talks about power laws and markets
http://www.citebase.org/abstract?id=...-mat%2F0408409

the power law and the Indian stock exchange

comparison of different trading methods,timeframes and results
http://www.esignalcentral.com/univer...a nagement%22


ive also read that "the markets are mostly inefficient and chaotic with small periods of stable predictability but with large periods of stable recurring strategic themes."
from page2
http://www.elitetrader.com/vb/showth...36#post1096036

http://www.elitetrader.com/vb/showth...00#post1095400

that quote was by acrary a well respected and seemly genuine multimillionaire quant-ish trader on elite trader forum.
log of his posts are here.his development of trading systems posts are very interesting.

One of the easiest things to model is how price and humans behave when price is near a round number. There must be edges aplenty there, as round number are powerful psychological draws. I am looking to be part of a team that investigates this area.

still cant find the tick paper, but did find this
abstract, "The dynamical and probabilistic structure which we found could indicate that dealers’ decision making is based on a binary strategy, even if they are unconscious of this fact."


and this paper suggesting that tails and price formation(on the ny and london stock exchange) are caused not volume or transactional frequency, but bythe balance between liquidity taking and liquidity provisions.
"Although based on the results presented here the following remarks are still somewhat speculative, when our results here are combined with those mentioned above, they suggest two basic conclusions about the dominant influences on price formation. First, the balancebetween liquidity taking and liquidity provisions is key."

2 Points.
1) You are obviously close to YOUR perspective of the Market.
2) It won't work for everyone as they would need to "See it as You see it."

But what the heck... You didn't start this venture to help others figure it out.

So, congrats and kudos. You're Almost there.
"Welcome to the Machine."
P.F.
[and I don't mean Private Forum. Sorry Jim. ]

Can you assist in providing the code to use tick charts on this platform? I am referring to a basic (plain) tick chart (eg. 34, 55, 89, 144) where I can change the ticks instead of using only time charts.