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  • #41
  • Edited 2:15pm Sep 26, 2007 2:03pm | Edited 2:15pm
Quoting philmcgrew
The most probably move on the GBPUSD on a daily basis is 0.8 ATR. Currently that woudl be about 118 pips from top to bottom.
How come? Can you prove it statistically or are you speaking from personal experience?

EDIT: I think I sound almost aggressive above

I am just curious, will believe in either case, just want to know if you have the live tick data documented or if you're using historical data from a broker.

Cheers
-A
Virtue finds and chooses the mean. Aristotle, Ethica Nichomachea
  • #42
  • Sep 26, 2007 3:10pm Sep 26, 2007 3:10pm
Quoting Plutonite
How come? Can you prove it statistically or are you speaking from personal experience?

EDIT: I think I sound almost aggressive above

I am just curious, will believe in either case, just want to know if you have the live tick data documented or if you're using historical data from a broker.

Cheers
-A
Yeah, a little aggressive but I don't mind. I wish more people were challenged on the information they sling around.

I have done studies on various pairs and without fail, the daily move came out to be 0.8 ATR when placed in incremental buckets of 0.1. It's the occasional 1.5 ATR day that skews the data to 1.0 (fat tail).

You don't need tick data to determine a daily move. A daily candle and an ATR indicator will do just fine. It should also make intuitive sense that the daily move, on average would be less than 1 ATR.
  • #43
  • Sep 26, 2007 4:19pm Sep 26, 2007 4:19pm
Quoting philmcgrew
Yeah, a little aggressive but I don't mind. I wish more people were challenged on the information they sling around.

I have done studies on various pairs and without fail, the daily move came out to be 0.8 ATR when placed in incremental buckets of 0.1. It's the occasional 1.5 ATR day that skews the data to 1.0 (fat tail).

You don't need tick data to determine a daily move. A daily candle and an ATR indicator will do just fine. It should also make intuitive sense that the daily move, on average would be less than 1 ATR.
Ah yes but the that's the problem with most backtesting..if your broker is sending you crappy historical data then your percentage error in both the ATR calculation and the daily move is possibly significant. In contrast, if you record live ticks then you can construct accurate history bars... But I trust you enough that my skepticism is drowned in faith. Like a wise man once said:

"If you can't trust an intelligent trader then you can't trust your mom"

or something.

Cheers,
-A
Virtue finds and chooses the mean. Aristotle, Ethica Nichomachea
  • #44
  • Sep 26, 2007 4:26pm Sep 26, 2007 4:26pm
Quoting Plutonite
Ah yes but the that's the problem with most backtesting..if your broker is sending you crappy historical data then your percentage error in both the ATR calculation and the daily move is possibly significant. In contrast, if you record live ticks then you can construct accurate history bars
Bad data? I'm not sure where you're coming from here. The current daily GBPUSD ATR is 137 pips. If the 1.8 ATR bucket is 1.75 to 1.85 then that leaves a range of 102 to 116 pips. Surely our daily candles don't disagree by more than 14 pips!
  • #45
  • Sep 26, 2007 4:43pm Sep 26, 2007 4:43pm
Quoting philmcgrew
Bad data? I'm not sure where you're coming from here. The current daily GBPUSD ATR is 137 pips. If the 1.8 ATR bucket is 1.75 to 1.85 then that leaves a range of 102 to 116 pips. Surely our daily candles don't disagree by more than 14 pips!
A 14 pip difference on a daily candle is not a big enough difference to have a false signal, however the time that your daily candle closes does make a difference. Mine closes at 5 p.m est even though I live in Switzerland.
Mostly because I trade the london and N.Y sessions and lets face it when wall street closes nothing really happens after that until Tokyo and Syndey get their mojo rising. Even then its only a little mojo.
Just Trade It
  • #46
  • Sep 26, 2007 4:47pm Sep 26, 2007 4:47pm
Quoting philmcgrew
Bad data? I'm not sure where you're coming from here. The current daily GBPUSD ATR is 137 pips. If the 1.8 ATR bucket is 1.75 to 1.85 then that leaves a range of 102 to 116 pips. Surely our daily candles don't disagree by more than 14 pips!
The recent ones don't, but about 6 months or 2 years ago..I don't know. It may differ from your broker's data (which is probably synthesized in some way from lots of brokers data) by 50 pips or more. I hope I'm wrong, but I believe I've seen this on both demo and live accounts.
Virtue finds and chooses the mean. Aristotle, Ethica Nichomachea
  • #47
  • Sep 26, 2007 5:14pm Sep 26, 2007 5:14pm
Quoting Big Wave Rider
A 14 pip difference on a daily candle is not a big enough difference to have a false signal, however the time that your daily candle closes does make a difference. Mine closes at 5 p.m est even though I live in Switzerland.
By definition, the daily ATR covers a 24 hour period. Given a statistically significant sample size I don't see how there could be a variance between results employing different start/end times.
  • #48
  • Sep 26, 2007 6:27pm Sep 26, 2007 6:27pm
Quoting philmcgrew
The most probably move on the GBPUSD on a daily basis is 0.8 ATR. Currently that woudl be about 118 pips from top to bottom.
Hmmm...
Sounds interesting.
If I Have Strong Support 40p below the Open & it bounces there, I have a probability that it may Close {or, at least achieve} 118p Above there?

Is that what you are saying Phil? With all Due Dill.. to Past Perf... The Probability is... as you say... 118p are up for grabs.
  • #49
  • Sep 27, 2007 6:39am Sep 27, 2007 6:39am
Quoting Bemac
Hmmm...
Sounds interesting.
If I Have Strong Support 40p below the Open & it bounces there, I have a probability that it may Close {or, at least achieve} 118p Above there?

Is that what you are saying Phil? With all Due Dill.. to Past Perf... The Probability is... as you say... 118p are up for grabs.
Yes, that's exactly what I'm saying. I guess it's not so much me saying it as it is the statistics doing the talking.

I am more likely to use it in this scenario: The market has moved 100 pips up and I want to go long but I know that on average, there's only 18 pips left to the upside, I would probably walk away from that trade if it were of a short term nature.
  • #50
  • Sep 27, 2007 7:06am Sep 27, 2007 7:06am
Quoting philmcgrew
Yes, that's exactly what I'm saying. I guess it's not so much me saying it as it is the statistics doing the talking.

I am more likely to use it in this scenario: The market has moved 100 pips up and I want to go long but I know that on average, there's only 18 pips left to the upside, I would probably walk away from that trade if it were of a short term nature.

Hmz. Well, that's true. Also agree on not entering after the market's already gone past 80% of it's ATR(if it's a short term trade idea / depending on scenario. If those 80% happen to mean break of a crucial level, then it'd be different for me).

But imho there's also stuff to think of like : the average also comes from a lot of small bars during corrective times -? 80-120 pips and large bars during trending times -> 160 - 300 pips.
(Is my idea at least)

Depending on your "direction" when trading and what phase the market is in, you might be cutting profits short if closing out positions in direction with the trend, either at all or based on 80% of ATR.

However that approach sounds like a very sensible thing to me for anti-trend "scalps" (< 100 pips trades / intraday trades).
Trust price. Know yourself.
  • #51
  • Sep 27, 2007 7:17am Sep 27, 2007 7:17am
Quoting SeekingLight
Depending on your "direction" when trading and what phase the market is in, you might be cutting profits short if closing out positions in direction with the trend, either at all or based on 80% of ATR.
I completely agree. I don't think anyone should ever close a position based on ATR, trending or not.
  • #52
  • Sep 27, 2007 7:24am Sep 27, 2007 7:24am
Quoting philmcgrew
Yeah, a little aggressive but I don't mind. I wish more people were challenged on the information they sling around.

I have done studies on various pairs and without fail, the daily move came out to be 0.8 ATR when placed in incremental buckets of 0.1. It's the occasional 1.5 ATR day that skews the data to 1.0 (fat tail).

You don't need tick data to determine a daily move. A daily candle and an ATR indicator will do just fine. It should also make intuitive sense that the daily move, on average would be less than 1 ATR.
Interesting. I usually analysed the moves from open to high/low not from high to low. But that migh be something to consider.
.
  • #53
  • Sep 27, 2007 7:38am Sep 27, 2007 7:38am
Quoting bullrock
Interesting. I usually analysed the moves from open to high/low not from high to low. But that migh be something to consider.
ATR is the absolute value of a move (in this case daily). It calculates the range and doesn't matter if you start at top or bottom. When making trading decisions you should consider both directions.
  • #54
  • Sep 27, 2007 7:51am Sep 27, 2007 7:51am
Quoting philmcgrew
ATR is the absolute value of a move (in this case daily). It calculates the range and doesn't matter if you start at top or bottom. When making trading decisions you should consider both directions.
Thanks...
.
  • #55
  • Oct 10, 2007 12:00pm Oct 10, 2007 12:00pm
Cable trying oh so hard to catch up with Euro and make new highs, I have a feeling it may be out of steam. It might try for one final push but I doubt it has what it takes to do it. But then again I could be completly wrong.
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Just Trade It
  • #56
  • Oct 10, 2007 5:12pm Oct 10, 2007 5:12pm
Bull flag here. Weekly Pivot also seemed to be good support today.
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Keeping it Simple
  • #57
  • Oct 12, 2007 2:56am Oct 12, 2007 2:56am
Back to the bottom. Entering on the break to the topside is a bit too far. Entering at the bottom with a tight stop.
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Keeping it Simple
  • #58
  • Oct 12, 2007 5:04am Oct 12, 2007 5:04am
My thoughts
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Just Trade It
  • #59
  • Oct 12, 2007 6:27am Oct 12, 2007 6:27am
Quoting Big Wave Rider
My thoughts
WATTAHELL...
.
  • #60
  • Oct 12, 2007 7:29am Oct 12, 2007 7:29am
Quoting Big Wave Rider
My thoughts
Keeping it Simple
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