Statistical Probability Trading With Price Action | Page 23 | Forex Factory

Options

Go to
Permalinks
Print Thread

Related Instruments

GBP/USD

Similar Threads

GbpUsd Statistical Probability With Price Action 109 replies

EurJpy Statistical Probability Trading With Price Action 46 replies

GbpJpy Statistical Probability With Price Action 22 replies

Statistical Validation on trading 24 replies

Attachments: Statistical Probability Trading With Price Action
Exit Attachments

Statistical Probability Trading With Price Action

  • #441
  • Aug 4, 2007 3:40am Aug 4, 2007 3:40am
(SP) daily retracements for GbpUsd
Attached Image
  • #442
  • Aug 4, 2007 3:41am Aug 4, 2007 3:41am
SP retracements for GbpUsd
Attached Image (click to enlarge)
Click to Enlarge Name: 7 GbpUsd Weekly Retracements.jpg Size: 55 KB
  • #443
  • Aug 4, 2007 3:43am Aug 4, 2007 3:43am
Daily Retracement for this past Friday for GbpUsd
Attached Image
  • #444
  • Aug 4, 2007 3:44am Aug 4, 2007 3:44am
GbpUsd Weekly Retraced for this past week
Attached Image
  • #445
  • Aug 4, 2007 3:46am Aug 4, 2007 3:46am
Comparing the GbpUsd this past Friday to the SPDR Statistical Probability Daily Range
Attached Image
  • #446
  • Aug 4, 2007 3:47am Aug 4, 2007 3:47am
Comparing this past week with the (WARM) Weekly Average Range Of Motion this past week
Attached Image
  • #447
  • Aug 4, 2007 3:51am Aug 4, 2007 3:51am
Showing (DAR) for each day of the week. This was updated about a month ago.
Attached Image
  • #448
  • Aug 4, 2007 3:55am Aug 4, 2007 3:55am
The below graph shows the GbpUsd weekly pip movement between the high and low for the week and how many times it has move a certain number of pips and more and the percentage with that.

The previous 14 posts gives updated information for the gbpusd for range of motion daily, weekly, and fib retracements.
Attached Image
  • #449
  • Aug 4, 2007 3:00pm Aug 4, 2007 3:00pm
goodthings, you are very thorough in your analysis, well done.

After figuring almost all of this out I am wondering if you are applying the weekly retracement percentage to any timeframe you wish to draw the fib (4hr, 1hr, 15min) levels on and using those weekly percentages on those short time-frame fibs?

Is that right?
  • #450
  • Aug 5, 2007 7:05am Aug 5, 2007 7:05am
Quoting sami772
I am wondering if you have Statistical Probability study for the daily GBP/JPY , telling that :
If the daily trend back to the 23.5% fib + 1 pip , then what will be the Statistical Probability to go to 50% and 61.8%,?
That will be very help to inter the trade after the trend test the 23.5% as confirmation.
thanks for your good workhttp://www.forexfactory.com/images/icons/icon7.gif
Thats a good question I have no real information on that. Even though I now trade the gbpjpy mostly I have not a lot of statistical information on it. I trade that about half the time and the eurjpy 25% of my trades gbpusd about 20% and others the rest. Been wanting to get a handle on the EurAud for a while been watching it for a about 4 months now. Back to the gbpjpy what I do is hop in on a break out and some times like last week I take a short ride of 40 pips or I was fortunate to take a couple of different rides last week for around 180 pips. Also I closed out of a bad trade Friday that I had been in for a week and half with a 40 pip loss or so. Got in on the wrong side of that one. Working on a couple of other projects now maybe get a look at it later on in the week. Maybe if you get time you can look at it and post the results. One of the projects is looking at the gbpusd fibs more closely. I have put so much time into that pair I need to start trading it more. Last year I traded it 90% of the time but it started taking on a different flavour so I picked up on the gbpjpy and eurjpy.
  • #451
  • Aug 5, 2007 8:32am Aug 5, 2007 8:32am
Hi Goodthings,
Your work has inspired me to concentrate more energy on stats and I would like to share what I've learned so far.
The attached zip folder contains an Excel workbook of stats related to breakouts from previous day highs/lows for GBPUSD. I would appreciate any suggestions for improvement and will gladly do any 'leg work' you need in this regard.
The data was collected using a simple MQL4 EA then imported to Excel for the statistical 'crunch'. Data collected includes daily highs & lows from two previous days as well as previous days close price. The rest should be self explainitory.
From here I plan to examine failed breakouts to determine how far they retrace and what direction they ultimately go.
Thank you and keep up with the 'Good Things'
Attached File(s)
File Type: zip 2005GBPUSD.zip   86 KB | 539 downloads
  • #452
  • Aug 5, 2007 12:33pm Aug 5, 2007 12:33pm
Quoting bobblong
goodthings, you are very thorough in your analysis, well done.

After figuring almost all of this out I am wondering if you are applying the weekly retracement percentage to any timeframe you wish to draw the fib (4hr, 1hr, 15min) levels on and using those weekly percentages on those short time-frame fibs?

Is that right?
This is weekly fibs from last weeks high and low. I am looking at the 50 fib which has a 77% probability as being a key point. To me that is high probability when you are 70% or more probability or success rate. When money is on the line I sometimes make my choices at 80%. You still make pips and may leave some on the table but I have to do whats comfortable. I have drawn a couple of scenarios that it could take to get there. Of course this is Forex. My thought is we are coming out of a correction so overall for the week is the up side. So I will be looking on the 15 min chart looking at 4hr and daily to see price break out. If at the opening it goes down I may find price action for a trade but will keep 2.0320 in mind. If scenario one plays out I will be looking for a pivot at that area. If you look to the left of the chart you will see the yellow arrows are marking previous s/r levels. Also I always keep in mind posts 461,462,463, and particularly post 464. When I look at that chart looking at this years (WRM) weekly range of motion I think were looking at 200 to 250 pips range. Can be pleasantly surprised with a higher (WRM). Thats how I play the weekly fib. I will post latter how I look at the daily fibs. Just food for thought.
Attached Image
  • #453
  • Aug 5, 2007 1:18pm Aug 5, 2007 1:18pm
One thing to keep in mind about the previous post is the gbpusd has had 5 days of higher closes. If you look at the daily it is getting close to having a day with a lower close.
Attached Image
  • #454
  • Aug 5, 2007 3:26pm Aug 5, 2007 3:26pm
Little closer look at daily fib retracements. The blue numbers represents the (RM) range of motion or how many pips between the high and low for the day. These numbers also are posted at http://www.forexfactory.com/showthre...t=41201&page=4 post 52
Attached Image
  • #455
  • Aug 5, 2007 3:50pm Aug 5, 2007 3:50pm
Thought I would post this terminology table of content it may save me some typing. Will probably add to it as time goes on.

(WAR) Weekly Average Range between the high and low of the week

(WRM) Weekly Range of Motion between the high and low of the week. Different then the (WAR) because it shows the (RM) for a particular week and not an average of weeks.


(DAR) Daily Average Rang between the high and low of the day.

(DRM) Daily Range of Motion between the high and low of the day. Different then the (DAR) because it shows the (RM) for a particular day and not an average of days.

(MM) Market Motion different then (RM) because (MM) is not necessarily defined with a top and bottom but with the movement of the market. For example the (MM) is up and down no defined trend.

(RM) Range of Motion

(SP) Statistical Probability

(SPDAR) Statistical Probability Daily Average Range is used in regards to how often a currency ranges a particular number of pips on a daily basis. For example the GbpUsd has a (SPDAR) of 53% in regards to it ranging 100 pips are less from the high and low of the day.

(SPWAR) Statistical Probability Weekly Average Range is used in regards to how often a particular currency ranges a particular number of pips on a weekly basis. For example the GbpUsd has a (SPWAR) of 50% in regards to it ranging 260 pips or less from the high and low of the week.

S/R Supports and Resistance

(S) Support
(R) Resistance
(PP) Pivot Pivot
(BE) Break Even
(TP) Take Profit
(DBHLC) Double Bar High Lower Close. Two bars side by with the same high but the second bar close lower then the first.

(DBLHC) Double Bar Low Higher Close. Two bars side by side with same low and the second bar closing higher then the first.

(WPP) Weekly Pivot Point
(DPP) Daily Pivot Point
  • #456
  • Aug 5, 2007 8:27pm Aug 5, 2007 8:27pm
goodthings:

I went back to the beginning of the year from week to week, drawing the fibs.
I had done it a few times, but was unable to gather results the same as yours, would you mind defining the rules you'd used in detail and filters besides the 7 pip tolerance. The chart below shows my counting. I did not apply a pip tolerance, because as I went back it always looked like the smallest gap between a fib and a high/low is over 12 pips when price was near but not touching.

Here are my two sets of results for 30 weeks: using pen, paper and tally.
(a) Test 1
23.6 -(30/30) 100% of the weeks retraced back to this either on the same week, or the following.
38.2 -(28/30) 93%
50.0 -(16/30) 53%
61.8 -(11/30) 37%
(b) Test 2
23.6- (29/30) 97%
38.2- (25/30) 84%
50.0- (16/30) 54%
61.8- (13/30) 44%

In the graphics below when it says "Hit" that is my intention to say that is 1 hit count to add to my tally.
As I understand what you did, you allowed for a hit count if price it the levels on the current week or the following one. The highest variation between your results for the last 30 weeks and mine appear to be at the 61.8 and 50


Maybe you can shed some light..
Attached Image(s) (click to enlarge)
Click to Enlarge Name: week1.jpg Size: 49 KB
Click to Enlarge Name: week2.jpg Size: 46 KB
Click to Enlarge Name: week3.jpg Size: 41 KB
  • #457
  • Aug 5, 2007 9:35pm Aug 5, 2007 9:35pm
Quoting bobblong
goodthings:

I went back to the beginning of the year from week to week, drawing the fibs.
I had done it a few times, but was unable to gather results the same as yours, would you mind defining the rules you'd used in detail and filters besides the 7 pip tolerance. The chart below shows my counting. I did not apply a pip tolerance, because as I went back it always looked like the smallest gap between a fib and a high/low is over 12 pips when price was near but not touching.

Here are my two sets of results for 30 weeks: using pen, paper and tally.
(a) Test 1
23.6 -(30/30) 100% of the weeks retraced back to this either on the same week, or the following.
38.2 -(28/30) 93%
50.0 -(16/30) 53%
61.8 -(11/30) 37%
(b) Test 2
23.6- (29/30) 97%
38.2- (25/30) 84%
50.0- (16/30) 54%
61.8- (13/30) 44%

In the graphics below when it says "Hit" that is my intention to say that is 1 hit count to add to my tally.
As I understand what you did, you allowed for a hit count if price it the levels on the current week or the following one. The highest variation between your results for the last 30 weeks and mine appear to be at the 61.8 and 50


Maybe you can shed some light..
When does your day close out. Mine close at 6pm eastern time. On the weekly I use a 10 pip tolerance all the time. Also did you come up with two different results? If you did do you know why?
  • #458
  • Aug 6, 2007 1:46am Aug 6, 2007 1:46am
Quoting goodthings
When does your day close out. Mine close at 6pm eastern time. On the weekly I use a 10 pip tolerance all the time. Also did you come up with two different results? If you did do you know why?
Day close here is midnight GMT. I will add the 10 pip tolerance to the test. I think I ended up with 2 different results because of some lack of focus while testing and something else. Retracement stops whenever a new high or a new low is established right? (i.e if price was going up, then retracement stops when a higher high is established during the following week and the other way if price was going down..(?))
  • #459
  • Aug 6, 2007 3:06am Aug 6, 2007 3:06am
any one has fib daily or wekly historical indicator ?
....
  • #460
  • Aug 6, 2007 2:13pm Aug 6, 2007 2:13pm
Hi Goodthings, Still long GBP/USD at 2.0296, and again at 2.0291. TP 2.0323, SL 2.0275. Targeting 23.6 retracemet from today's low of 2.0280. Lets' see.
Vincit qui se vincit.
0 traders viewing now