Attachments: Statistical Probability Trading With Price Action

Statistical Probability Trading With Price Action

#361
Jul 15, 2007 6:35am Jul 15, 2007 6:35am

bobblong
| Joined Jun 2007 | Status: --... | 621 Posts

I have recreated the spreadsheet originally made by Vegas, the one where you feed in historical data and at the end you see median ranges and probabilities for the given data, one for xxx/JPY crosses and one for all other pairs.

After completing this I have found little use for it since it's just not my style but I'm more than willing to send it to anybody who may be interested.

Besides this I have 2 more VERY useful spreadsheets that I use for recordkeeping and calculating multi-part/single part trades, I literally use them for every trade I make. Very easy to use and you can use it with ALL pairs (you will need to put in the exchange rate for non USD pairs). They provide you with a lot of information about your planned trade

Note: Since I found the Vegas sheet not so useful the probabilities section was left 3/4 finished I guess. But you will get a lot of information about the ranges of a given pair.

Bob

#362
Edited 3:20pm Jul 15, 2007 2:56pm | Edited 3:20pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Technically the fibs would be drawn like the below post. You can see arrow 1 was a high during the week then it retraced to arrow 2 and established a new high. It's very reasonable to look to the 23.6 fib retracement with previous price action and three day triple top at around 2.3600. Sorry for got to post the chart

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#363
Jul 15, 2007 3:28pm Jul 15, 2007 3:28pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Quoting ozziedave

Disliked

Still trying to get the hang of what constitutes a weekly retrace. For the week ending 13 July. We have 3 touches to the 2.0365, well within a few pips. After the second touch we have a retrace to the 61.8 fib of the weekly fib. Is that considered the weekly retrace or because the third touch is like 2-3 pips higher do we say the weekly retrace hasn't happened yet?

Ignored

Technically your weekly fib would be drawn like this. Arrow 1 was a weekly high and retraced to arrow 2 but then went up and reastablished the high for the week at arrow 3. So no fibs have been touched from the weekly fib of the weeks high and low.

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#364
Jul 15, 2007 4:38pm Jul 15, 2007 4:38pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Here is a trade on the UsdJpy that I took based on weekly fibs and the following criteria.
1. It moved 268 pips which is 78 pips beyond its 2007 weekly average of 190 pips.

2. It had retraced some from it's weekly low and came back down and started back up establishing the weekly low by not breaking it.

3. At that time it had retraced 24 of 27 weeks this year to the 38
and 50 weekly fib for an 88.9% probability.

I played it safe and put my order in between the 38 and 50 fib. The chart below gives an idea of what it looked like at the time of the trade. I blacked out the data to the right to give an idea of what it looked like at the time.

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#365
Jul 15, 2007 4:46pm Jul 15, 2007 4:46pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Here how it looked at the end of the week. It actually went up to 122.61 to the 61.8 fib 45 pips beyond my target of 122.15. But the trade was based on high probabilitiy retracement. The EMA's or 21 white 144 blue and 89 red. Been looking them to see how price reacts aroung them on the 4hr plus chart.

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#366
Edited 5:34pm Jul 15, 2007 5:24pm | Edited 5:34pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

The usdjpy and gbpusd are two different examples. The gbpusd established weeks high and low officially on Friday at .0366. This is where the other side comes in I actually thought it was established wed. at .0363.I placed a short at 0304 with a target of .0229 with a target of what I thought was the weekly fib of .50 with a 74% probability of it retracing. I thought it would hit the mark by friday but it went down to what at that time was the 38 fib then went up and established a new high on Friday. So technically it has not hit the 23.6 mark. If the high on Wed held it would have retraced to the 38 fib. So as it sets now I am 27 pips down and my break even is at .0304 the 23.6 fib. Which it has a 96% probability of hitting my break even trade. Not the best ride but hope to get pips out of it. Will have to reastablish my exit now. With UsdJpy it is already in the books that it retraced to 61.8 last week and there is no real carry over strategy for the usdjpy. Its in the books of having already retraced from the weekly high and low. Hope this makes sence. Hopefully you can see why gbpusd weekly retracements pretains still to this coming week where the usdjpy has already retraced and this strategy does not pretain to this coming week

Correction on the chart below for the fib high. The previous one with this post the weeks high was not correct.

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#367
Jul 15, 2007 5:39pm Jul 15, 2007 5:39pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Hopefully posts 378,379,380,382, and 383 answere some questions.

#368
Jul 15, 2007 6:01pm Jul 15, 2007 6:01pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Let me put it this way once the high is established for the week I use the fib calculations based on the those highs. Those fib calculations will carry over into the following week until the 61.8 fib is hit or the week ends. Again not to be redundant but let me use the usdjpy and gbpusd again. The gbpusd low and high was established on Friday last week. So the calculation will not be complete until it retraces to the 61.8 fib or when this week closes. The UsdJpy high and low was established by Wed last week. Since it has already retraced to the 61.8 fib last week it is in the books. It really does not pretain to this week. If the UsdJpy would have only retraced to say the 23.6 fib last week those weekly fib retracements would carry over to this week until the 61.8 fib is hit or the week ends.

#369
Edited 6:59pm Jul 15, 2007 6:32pm | Edited 6:59pm

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

No problem. Yes that is correct. Like with the UsdJpy it has a weekly range of 190 pips it had moved 268 pips showed support at 120.98 and price action of a reversal so I went with the trade. You look at the currency and see what it the statistical probability of it increasing its range then making your choice to enter a trade or not. With UsdJpy it has only ranged more then 268 pips 3 times this year 11% probability of it ranging more. Even if it did range more say 32 pips for a weekly range of 300 pips (see chart) you still would have a break even point between the 23.6 fib and 38.2 fib which is still around 88% of it retracing to that level. For me and my studies(so to speak) I was very comfortable with the trade. It seemed like a great set up.

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#370
Jul 16, 2007 12:27am Jul 16, 2007 12:27am

ozziedave
Joined May 2007 | Status: Ozziedave | 1,344 Posts

Quoting goodthings

Disliked

Technically your weekly fib would be drawn like this. Arrow 1 was a weekly high and retraced to arrow 2 but then went up and reastablished the high for the week at arrow 3. So no fibs have been touched from the weekly fib of the weeks high and low.

Ignored

Thanks for that explanation. So anytime we have a retrace during the week and a new weekly high (in this case) is formed then we don't have a retrace for that week. I think I have it..lol.

Dave

#371
Jul 21, 2007 2:31am Jul 21, 2007 2:31am

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Corrected the UsdChf and added the AudJpy from previous two posts. I deleted the previous two posts.

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#372
Jul 21, 2007 2:34am Jul 21, 2007 2:34am

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

DAR

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#373
Jul 21, 2007 2:35am Jul 21, 2007 2:35am

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Broke up the the post before last into two separte posts thinking might be easier to read.

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#374
Jul 22, 2007 4:21am Jul 22, 2007 4:21am

comfy
| Joined Jun 2007 | Status: Trader | 7 Posts

Goodthings sir .... UsdJpy dropped again last friday...would you try your Fibo analysis one more time to see it work ... me newbie for 2 mths & currently long at 120.20...

Thanks and have a good day...

Quoting goodthings

Disliked

Here is a trade on the UsdJpy that I took based on weekly fibs and the following criteria.
1. It moved 268 pips which is 78 pips beyond its 2007 weekly average of 190 pips.

2. It had retraced some from it's weekly low and came back down and started back up establishing the weekly low by not breaking it.

3. At that time it had retraced 24 of 27 weeks this year to the 38
and 50 weekly fib for an 88.9% probability.

I played it safe and put my order in between the 38 and 50 fib. The chart below gives an idea of what it looked like at the time of the trade. I blacked out the data to the right to give an idea of what it looked like at the time.

Ignored

#375
Jul 22, 2007 9:48am Jul 22, 2007 9:48am

goodthings
Joined Aug 2006 | Status: Trader | 1,852 Posts

Long at 120.20 since May? Because that is the last time it has been in that area. Or long at 121.20?. Below is a chart with the weekly fibs and probabilites of retracements. What is you stop loss (sl) based on? Money management and/or support level. What is your take profit (tp) based on? You can see s/r support and resistance between the 38 and 50 weekly fib.

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