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EURUSD forecast & Chaos theory

  • #81
  • Jan 3, 2008 9:41am Jan 3, 2008 9:41am
From wikipedia.org:

"There is some controversy over the existence of chaotic dynamics in the plate tectonics and in economics."

rudenstein



Quoting ChesterB
hi Alexey,

I read that book "chaos theory" a while back.
(Folks, this wasn't a trading book)

Wasn't the point of the book that you CAN NOT
really predict behavior in a complex system?

They gave the example of the weather. No
one can predict passed a few days because
the system is too dynamic.

I'm curious what you say about this in relation
to the market.

Cheers, Chester B.
  • #82
  • Edited 10:47am Jan 3, 2008 10:21am | Edited 10:47am
Hi Chester B!
Weather forecasts are made on the basis of various models and forecasts quality depend on their description depth. Weather is pretty complex to predict but in spite of it there are some good models and we use its results everyday.
To predict the price of a currency pair is easier than to predict weather. My market model is built on the basis of some postulates and one of their is " money quantity of over the world = constant for 40 trade days" and it strong simplifies further reasoning and the model. Moreover, If I knew V (traded volume) as exact money quantity (not as approximate contract number) I should pretty good calculate the closing of every bar!
  • #83
  • Jan 3, 2008 12:29pm Jan 3, 2008 12:29pm
Quoting Aleksey
Hi Chester B!
Weather forecasts are made on the basis of various models and forecasts quality depend on their description depth. Weather is pretty complex to predict but in spite of it there are some good models and we use its results everyday.
To predict the price of a currency pair is easier than to predict weather. My market model is built on the basis of some postulates and one of their is " money quantity of over the world = constant for 40 trade days" and it strong simplifies further reasoning and the model. Moreover, If I knew V (traded volume) as exact money quantity (not as approximate contract number) I should pretty good calculate the closing of every bar!
Do not be discourage brother..........you own nobody anything, so you do not have to prove them anything. I know the type of resentments I got for almost a year to show people how to use chaos to trade financial markets.

You do not need to prove anything. Work on your research. I am not a mathematician but a geographer, so I know how to predict the market using chaos......not just fx, any financial market.


What has been lacking is the formalization of chaos theory to fit
financial markets.....this has been the problem yet very simple and the simplest of any trading techniques......is that not what chaos is all about.
Making complex method very simple

For information, Henri Poincare first attempt to solve chaos problem did not use quantitative mathematical method, that does not mean he did not use mathematical method or that mathematical method cannot be use. We are not just trying hard enough once some one say it cannot be done.

Chaos has revolutionalized so many other disciplines so finance is not different. We just need more people like Aleksey.
  • #84
  • Edited 2:16pm Jan 3, 2008 1:46pm | Edited 2:16pm
The recent Cot data indicate potential to the upside for e/u. 4525 could be the perfect entry.
Attached Image
/ ... clarifying decisions ... /
  • #85
  • Jan 3, 2008 3:17pm Jan 3, 2008 3:17pm
Quoting Aleksey
Hi Chester B!
Weather forecasts are made on the basis of various models and forecasts quality depend on their description depth. Weather is pretty complex to predict but in spite of it there are some good models and we use its results everyday.
To predict the price of a currency pair is easier than to predict weather. My market model is built on the basis of some postulates and one of their is " money quantity of over the world = constant for 40 trade days" and it strong simplifies further reasoning and the model. Moreover, If I knew V (traded volume) as exact money quantity (not as approximate contract number) I should pretty good calculate the closing of every bar!
Hi Alexey,

Well it sounds exciting if it works. You hopefully wont blame some
of us for being skeptical. I think forex is a lot different than weather;
it seems even more dynamic because whenever anyone tries
to predict and profit from the market, that moves the market too.

Meanwhile, I'm still not sure how the hybrid basket increases
profit factor on any system. And usually I pick things up
fairly quickly. Perhaps an example would help us.
  • #86
  • Edited 3:40pm Jan 3, 2008 3:28pm | Edited 3:40pm
Quoting fxbroker
For information, Henri Poincare first attempt to solve chaos problem did not use quantitative mathematical method, that does not mean he did not use mathematical method or that mathematical method cannot be use. We are not just trying hard enough once some one say it cannot be done.

Chaos has revolutionalized so many other disciplines so finance is not different. We just need more people like Aleksey.
Yes, chaos theory has allowed to solve many problems (in greater degree in applied sciences) and I am sure that a man who will be able to create general quantitative determined chaos theory will turn over current nature conception. I have been trying to do a little steps by this way.
  • #87
  • Jan 3, 2008 4:16pm Jan 3, 2008 4:16pm
Quoting ChesterB
Hi Alexey,

Well it sounds exciting if it works. You hopefully wont blame some
of us for being skeptical. I think forex is a lot different than weather;
it seems even more dynamic because whenever anyone tries
to predict and profit from the market, that moves the market too.

Meanwhile, I'm still not sure how the hybrid basket increases
profit factor on any system. And usually I pick things up
fairly quickly. Perhaps an example would help us.
Comparison of the predicting complexity of weather and forex is possible only on the basis of their models, not on the basis of some their elements (a hail vs gap). I know some weather model and they are more complex than mine.

About hybrids... How it works for my system was shown for the two-week trading. You can check results for your TS, following the algorithm noted there.
  • #88
  • Jan 3, 2008 4:39pm Jan 3, 2008 4:39pm
Quoting walb99
The recent Cot data indicate potential to the upside for e/u. 4525 could be the perfect entry.
There are many people who wait euro at 1.5000 and above, will see. Very good long-term entry was on 44th handle.
  • #89
  • Jan 3, 2008 4:55pm Jan 3, 2008 4:55pm
Quoting Aleksey
Comparison of the predicting complexity of weather and forex is possible only on the basis of their models, not on the basis of some their elements (a hail vs gap). I know some weather model and they are more complex than mine.

About hybrids... How it works for my system was shown for the two-week trading. You can check results for your TS, following the algorithm noted there.
Hi Alexey,

are you referring to the original basket thread? Because I don't see any algorithm there. Are you referring to this:
Quote
"3*. the size of a position of each pair must be normalized by volatility of EURUSD;

CB
  • #90
  • Edited 4:47am Jan 4, 2008 3:33am | Edited 4:47am
Quoting ChesterB
Hi Alexey,

are you referring to the original basket thread? Because I don't see any algorithm there. Are you referring to this:

CB
Rules of the hybrid strategy are:

1. to trade no more than four pairs,
2. all traded pairs must be as the whole or the part of one hundred five of hybrids, (see first picture of the basket thread)
3. the size of a position of each pair must be normalized by volatility of EURUSD. (see last table with lots sizes of the basket thread)

About hybrid profit factor... In a case if you will apply same risk, varying lots sizes it gives increasing of profit factor thanks to hedging of loss inside hybrids.
  • #91
  • Jan 4, 2008 7:50am Jan 4, 2008 7:50am
Quoting rudenstein
I don't know, the EUR/USD has been crushing technicals, IMHO. Just look at the last CPI report!

rudenstein
exactly!
  • #92
  • Edited 7:22am Jan 5, 2008 3:49am | Edited 7:22am
I see risk for the short-time falling (within handle) so the position has to be closed on the opening of Monday. The current key trend line is located at 1.4506.
Attached Image
  • #93
  • Jan 5, 2008 4:06am Jan 5, 2008 4:06am
Aleksey is your system mechanical or discretionary? It seems to me that you open positions with totally mechanical signals, but then you handle it (exit) discretionary. Am I right?
If I'm right how can you test on past data the profit factor of the whole system (part mechanical, part discretionary)?
Thank you very much, both if you decide to answer or not. Your work is very interesting.
.Ubeee.
  • #94
  • Jan 5, 2008 4:15am Jan 5, 2008 4:15am
Quoting Aleksey
Hi Chester B!
Weather forecasts are made on the basis of various models and forecasts quality depend on their description depth. Weather is pretty complex to predict but in spite of it there are some good models and we use its results everyday.
To predict the price of a currency pair is easier than to predict weather. My market model is built on the basis of some postulates and one of their is " money quantity of over the world = constant for 40 trade days" and it strong simplifies further reasoning and the model. Moreover, If I knew V (traded volume) as exact money quantity (not as approximate contract number) I should pretty good calculate the closing of every bar!

Hi Aleksey and everybody else,

Since this is my first post at this forum I will briefly introduce myself,I have written several threads and several hundreds of posts at another well known forex forum under the handle of SIMBA,I base my trading mainly on cycles and digital filters,and I am absolutely fascinated by chaos theory and its application to financial markets,since I have witnessed 80 % plus hittting rates from 2 different people that know how to use these techniques and p`rofit factors that are similar to those claimed by Aleksey...unfortunately,they didn`t explained how they did this,and since Aleksey seems open to some explaining ,I would like to ask him the following questions :

1-Is there any particular reason,ie:testing,etc,for the choice of 40 trading days ?

2-To the point that you can/want to explain..Since you are using close,open interest and volume..either you are working on 4 dimensions(added dimension is time) or you are using 3d geometry with a 3d matrix that contains at each point in time the "intersections" of close,volume and open interest..could you explain?

3-If you don`t mind..Where do you take the data for close,volume and open interest?Since you are working on 6H and D1 timeframe I presume you might be using some Forex data,not Futures..is that so?

4-Are you planning to do a brief tutorial on your techniques that can at least help some of us to walk the first step in a ,presumably , long journey?I don`t mean for you to explain your secrets,I just want to know if it would be possible to explain some basics about how to use nonlinear equations to model a market.

Please keep posting,this thread and your other one are both extremely interesting and it will be a pleasure learning from you.

Regards
Simba
Move like a shadow
  • #95
  • Jan 5, 2008 4:17am Jan 5, 2008 4:17am
Quoting ubeee
Aleksey is your system mechanical or discretionary? It seems to me that you open positions with totally mechanical signals, but then you handle it (exit) discretionary. Am I right?
If I'm right how can you test on past data the profit factor of the whole system (part mechanical, part discretionary)?
Thank you very much, both if you decide to answer or not. Your work is very interesting.
This is the absolutely mechanical system with strict and exact rules of entries and exits. I am only interpreting its signals here by usual language.
  • #96
  • Jan 5, 2008 4:27am Jan 5, 2008 4:27am
Quoting Aleksey
This is the absolutely mechanical system with strict and exact rules of entries and exits. I am only interpreting its signals here by usual language.
Very, very interesting. Thank you for the answer.
.Ubeee.
  • #97
  • Edited 10:25am Jan 5, 2008 4:43am | Edited 10:25am
Quoting Simbafx
Hi Aleksey and everybody else,

1-Is there any particular reason,ie:testing,etc,for the choice of 40 trading days ?

2-To the point that you can/want to explain..Since you are using close,open interest and volume..either you are working on 4 dimensions(added dimension is time) or you are using 3d geometry with a 3d matrix that contains at each point in time the "intersections" of close,volume and open interest..could you explain?

3-If you don`t mind..Where do you take the data for close,volume and open interest?Since you are working on 6H and D1 timeframe I presume you might be using some Forex data,not Futures..is that so?

4-Are you planning to do a brief tutorial on your techniques that can at least help some of us to walk the first step in a ,presumably , long journey?I don`t mean for you to explain your secrets,I just want to know if it would be possible to explain some basics about how to use nonlinear equations to model a market.

Regards
Simba
Many thanks, good questions!

1. Yes, That time-frame was found as universal across all currency pairs by researching the price spectrum of several ones.
2. I use vectors, but date are saved in matrixes.
3. I managed to construct syntetic analogue of Open Interest but the system excellent works with Open Interest of Futures as the proxy.
4. Yes, I will be able to reveal details after publication of my article (in Spring).
  • #98
  • Jan 6, 2008 4:45am Jan 6, 2008 4:45am
Dear forum members,
I have to take a break for a while since I will be off a market for couple of weeks. I will go back as soon as it is possible but it will not have an effect on annual results.
  • #99
  • Jan 6, 2008 4:52am Jan 6, 2008 4:52am
What about price parity? Step away from the chart a minute, and think about the world economy.

If EURUSD continues north, Europeans will buy massive amounts of US goods/services with their strong buying power. This, in turn, will stimulate the US economy.

I am not here to contradict your thread. I am just asking you to consider other factors besides TA. I personally believe the 1.50 barrier will not be breached.

Quoting Aleksey
We have the stabile up-trend on monthly time-frame, so I will stick to a bull camp for 2008 year.
  • #100
  • Jan 6, 2008 5:23am Jan 6, 2008 5:23am
Quoting tdion
What about price parity? Step away from the chart a minute, and think about the world economy.

If EURUSD continues north, Europeans will buy massive amounts of US goods/services with their strong buying power. This, in turn, will stimulate the US economy.

I am not here to contradict your thread. I am just asking you to consider other factors besides TA. I personally believe the 1.50 barrier will not be breached.
I trade on the basis of a daily time-frame so it determines my decisions. Other more longer time-frames only determine my preference, not more.
I did not see a signal for storm of 1.5 yet. Waited short-time falling will be key and If I get my reversal up-signal at its end, the noted level will probably not resist. Will see.
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