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Flip The Coin System

  • #21
  • Sep 25, 2007 6:22pm Sep 25, 2007 6:22pm
Quoting Achilles heel
I read a book a while ago called The Encyclopedia of Trading Strategies that had some interesting info on exit strategies based on random entries. This may be of some use to you in determining how to exit or at least lend some food for thought.

Best Regards,
Ah.
I have that book too. It's not the first book I would buy on trading but if you're serious about developing strategies it is a worthwhile study.
  • #22
  • Sep 25, 2007 6:38pm Sep 25, 2007 6:38pm
good luck, most of the question on the market can be limited into 2 answer only, should there is 3 or 4 option, you may want to use dice , or few more coin
  • #23
  • Sep 25, 2007 9:48pm Sep 25, 2007 9:48pm
Thank you guys...
.
  • #24
  • Sep 25, 2007 10:57pm Sep 25, 2007 10:57pm
So flip the damm coin already!!
Just Trade It
  • #25
  • Sep 25, 2007 11:08pm Sep 25, 2007 11:08pm
Quoting Big Wave Rider
So flip the damm coin already!!
Tomorrow. I need to work out the MM.
.
  • #26
  • Sep 26, 2007 10:44am Sep 26, 2007 10:44am
Bullrock,

There was a guy at MoneyTec, MR GBP, who did the same thing just with the GBP a few years back. If I remember correctly, it was successful. I, also, am interested in this experiment. It'll be very interesting to see the responses you're going to get from folks. You might want to consider locking this thread to keep the BS to a minimum.
  • #27
  • Sep 26, 2007 11:06am Sep 26, 2007 11:06am
Quoting Dopey
Bullrock,

There was a guy at MoneyTec, MR GBP, who did the same thing just with the GBP a few years back. If I remember correctly, it was successful. I, also, am interested in this experiment. It'll be very interesting to see the responses you're going to get from folks. You might want to consider locking this thread to keep the BS to a minimum.
WATTAHELL... Nope I would like to see that BS. The reason for that. I am performing now some statitical calculations. Hope tonight will be ready and the we will kick the "Flip the coin strategy".
.
  • #28
  • Sep 26, 2007 1:47pm Sep 26, 2007 1:47pm
Great idea! I will be checking in daily to view results.

TDD
  • #29
  • Sep 26, 2007 8:43pm Sep 26, 2007 8:43pm
interesting! waiting for your 'flip coin strategy'
  • #30
  • Sep 26, 2007 9:10pm Sep 26, 2007 9:10pm
Interesting experiment.
I will have to keep an eye on this one!
  • #31
  • Sep 26, 2007 9:12pm Sep 26, 2007 9:12pm
Quoting philmcgrew
Here's an excel spreadsheet that might do the job. It has to be posted as a zip since FF doesn't allow excel.
i've noticed that over 150 flips/bars...the furtherst price moved was 13points up and 13 points down, everytime it reahes the extreme levels price somehow or rather refuses to go lower/higher. Hmmm...so if we apply this to studying the pairs instead, we could some how come up with a high probability trade setups

From the coin flip this is what i gather, anyway i changed the std dev to Zero

Avg Range Per Bar - 0.5point
Max Price top after 150 flips - +13points
Max Price bottom after 150 flips - -13points

Now, how do we use this info to trade our currencies?
  • #32
  • Sep 26, 2007 9:38pm Sep 26, 2007 9:38pm
Quoting jest1081
i've noticed that over 150 flips/bars...the furtherst price moved was 13points up and 13 points down, everytime it reahes the extreme levels price somehow or rather refuses to go lower/higher. Hmmm...so if we apply this to studying the pairs instead, we could some how come up with a high probability trade setups

From the coin flip this is what i gather, anyway i changed the std dev to Zero

Avg Range Per Bar - 0.5point
Max Price top after 150 flips - +13points
Max Price bottom after 150 flips - -13points

Now, how do we use this info to trade our currencies?
Yep, heh you've got the point. What happens (there is a probability to that) if I filip my coin and it in line with the trend and the next 30 flips are in line with the trend too (the opposite is possible too of course).. I am very busy with some stuff unfortunately so I have to delay but I will start ASAP. I need to finish my stat calculation. I thought its gonna take less time. It will affect the MM and so the reason why I cannot start it yet.
.
  • #33
  • Sep 26, 2007 11:37pm Sep 26, 2007 11:37pm
Quoting jest1081
i've noticed that over 150 flips/bars...the furtherst price moved was 13points up and 13 points down, everytime it reahes the extreme levels price somehow or rather refuses to go lower/higher. Hmmm...so if we apply this to studying the pairs instead, we could some how come up with a high probability trade setups

From the coin flip this is what i gather, anyway i changed the std dev to Zero

Avg Range Per Bar - 0.5point
Max Price top after 150 flips - +13points
Max Price bottom after 150 flips - -13points

Now, how do we use this info to trade our currencies?
continued....

over 150 turns...price has a potential to move MAX of 75points (0.5 point per bar) but it found resistance at +13 and -13. This is level it can be considered that price is already at full stretch. From what i have seen in the excel sheet over 500 or so coin flippings.

13 points is a mere 17.3%....before price reaches a clogging point. What can we gather here?

Maybe we should try backtesting...Find the ATR of a certain currency over 150 bars, lets just use 15 okay?. from there we will multiply by the amt of bars that we wish for to track, lets just use 150.

Price has a potential to move 2250 points in 150 Bars but it will only likely complete a 389 point MAX move before facing exhaustion.

over this 389 points move, we should see variable resistances over
194 pts - 50%
240 pts - 61.8%

and various fib levels maybe? LOL. Anyone game to backtest this?
  • #34
  • Sep 27, 2007 3:37am Sep 27, 2007 3:37am
What an interesting experiment. I am curious about the results.
  • #35
  • Sep 27, 2007 4:14am Sep 27, 2007 4:14am
Quoting jest1081
i've noticed that over 150 flips/bars...the furtherst price moved was 13points up and 13 points down, everytime it reahes the extreme levels price somehow or rather refuses to go lower/higher. Hmmm...so if we apply this to studying the pairs instead, we could some how come up with a high probability trade setups

From the coin flip this is what i gather, anyway i changed the std dev to Zero

Avg Range Per Bar - 0.5point
Max Price top after 150 flips - +13points
Max Price bottom after 150 flips - -13points

Now, how do we use this info to trade our currencies?
I'm not sure that you can infer much from that data. I believe the author added standard deviations in an effort to make a binary random generator have dimension such as open, close, high , low. By doing so the results would resemble a bar chart. I think the main point of the experiment is to show that chart patterns can be made randomly and that everything believe doesn't have to happen for a reason.

I certainly believe that you could use ATR and draw some conclusions about where the market might go and what opportunity remains based on past movement.
  • #36
  • Sep 27, 2007 4:44am Sep 27, 2007 4:44am
Quoting philmcgrew
Here's an excel spreadsheet that might do the job. It has to be posted as a zip since FF doesn't allow excel.
Just a little note on this zip file - the actual statistics generated from a coin toss based price chart are actually quite different from the real thing - ; Mandelbrot has done a lot of work in that area and it's quite interesting reading.

As for the experiment, it should be interesting....
  • #37
  • Sep 27, 2007 8:55am Sep 27, 2007 8:55am
Think your right there Halifax,

Never the less after a day in the chaos engine of cable I couldnt resist wondering quite how the std dev was influencing the look of the data so...

I modified the xls to produce a user defined number of bars of O/H/L/C data, and removed the std dev so that each bar is comprised of a number of coin flip 'trades'

Not content with that I wanted to see it in a better environment so bolted on a few lines of code to export the data into a metatrader .HST file

At first glance S&R / 123s / trends & ranges are all apparent however measured moves just dont stack up!

Is this the only difference ????
Attached File(s)
File Type: zip random prices.zip   84 KB | 526 downloads
  • #38
  • Sep 28, 2007 2:01am Sep 28, 2007 2:01am
PhilMcgrew wrote :

Playing with this spreadsheet may cause irreparable damage to your belief about technical analysis and your ability to trade shapes that you learned on Sesame Street. You are not going to have a lot of fans on this experiment. I can't wait!


OK so here are 5 charts, all different TFs. All show 480 bars, and have same basic indicators, MAs are 21Ema, 89sma & 200sma a la Philip Nell.

3 are real FX charts, snapshots of some usual suspects ...
2 are flipping imposters!
The names have been removed to protect the innocent.

Whats the betting 95% of people fail to identify the chaotic interlopers.
Attached File(s)
File Type: zip chartJPGs.zip   316 KB | 44,754 downloads
  • #39
  • Oct 9, 2007 3:46am Oct 9, 2007 3:46am
Any progress yet?
Just Trade It
  • #40
  • Oct 9, 2007 4:11am Oct 9, 2007 4:11am
I spent about 3 years playing with random entry strategies, and I still use them as a benchmark for system testing.

I used 2 basic approaches, one set of trades, using set targets and stops, based on a whole bunch of stuff, ATR, max adverse execution statistics, random numbers etc, and a second approach where no stops or targets where used, but trades closed after various time intervals.

Whats interesting is trying to figure out if trades taken at random, are any more successful when taken with or against trend as defined by various indicators, its a brilliant way of determining the strengths and weaknesses of an indicator based approach to trading.

Its not the most efficient way to trade, but its a great starting point for mechanical based systems.
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