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Old Dog Fib Trading - EURUSD

  • #181
  • Edited 8:42pm Oct 5, 2010 8:26pm | Edited 8:42pm
Quoting CanuckCT
I have similar fibs on mine also.

Cheers
CanuckCT

CCT:

Now comes the fun part, figuring out how to trade.
Potentially using Fib Zones or:

"Good stuff...the notion that each pair will fill it's average daily range is a valid one. Using 38.2 up and down to get you in, I like that. Easy every day to set it up and trade it. And easy to apply to many pairs."
Your Post #165

How about 1st Stand Deviation of Daily ATR(22) vs Daily ATR(22)?

Why? Average means some greater and some less than. Therefore a pair will not always fill it's average daily range. An example would be a Daily Inside Bar.

What do you think?

BD
  • #182
  • Oct 5, 2010 10:28pm Oct 5, 2010 10:28pm
I think the way to look at ATR is how many days back do you want to consider. The fewer the days, the more responsive to recent volatility, the more days, the more smoothing you achieve. 22 days is good for me for now....and I will be applying to Old Dog Pivot. Will pay attention to price action around these levels.

Cheers
CanuckCT

Attached Image (click to enlarge)
Click to Enlarge Name: 2010-10-06_0022.jpg Size: 56 KB


Quoting BarneyDog
CCT:

Now comes the fun part, figuring out how to trade.
Potentially using Fib Zones or:

"Good stuff...the notion that each pair will fill it's average daily range is a valid one. Using 38.2 up and down to get you in, I like that. Easy every day to set it up and trade it. And easy to apply to many pairs."
Your Post #165

How about 1st Stand Deviation of Daily ATR(22) vs Daily ATR(22)?

Why? Average means some greater and some less than. Therefore a pair will not always fill it's average daily range....
  • #183
  • Oct 6, 2010 2:09am Oct 6, 2010 2:09am
Quoting theGuru
OldDog .. I have a question about your calculations...

We know that the formulae is (a*x)+(b*y) where x and y are close and MV respectively and a and b are contants.

Now, given that the range is variable, shouldn't the constants differ relative to the range?

eg if close if 25pips away from MV, then you will be given a trade worth z pips. But z will be the same regardless of whether the range is 50pips or 150pips. Surely if the range is going to be greater, then the expected trade target should also be bigger?
Hi Guru

What you say is true, of course. For larger ranges, we could stretch out the targets. Indeed, every once in a while the constants are updated based on recent market behaviour, although the numbers we have at present were done in 2005!

But the calc was designed to be quite conservative. Yes, it will leave pips on the table, but not very many!

My philosophy is that I would rather bag my 45 pips, say, with some high degree of probability, than shoot for 55 pips and have the market turn before my TP is hit.

We can, of course, change the numbers to be more aggressive, if you want.

Thanks for all the work on the indy!

Regards

Old Dog
  • #184
  • Oct 6, 2010 2:14am Oct 6, 2010 2:14am
Quoting Old_Dog
Hi Guru

What you say is true, of course....
I wasn't really thinking about more or less aggressive ... just more relevant to current conditions

Any chance you could let me know how you determine those constants so we can look at improving the indicator even further?
  • #185
  • Oct 6, 2010 2:59am Oct 6, 2010 2:59am
I continue with my setup using daily ATR(20) for phase range. See how price has been struggling with a phase border at 1.3848. No decision made where to go - up or down.
Attached Image (click to enlarge)
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  • #186
  • Oct 6, 2010 3:17am Oct 6, 2010 3:17am
Quoting theGuru
I wasn't really thinking about more or less aggressive ... just more relevant to current conditions

Any chance you could let me know how you determine those constants so we can look at improving the indicator even further?
The calc is just a simple least-squares linear regression over the recent past using matrix differential linear algebra, see attached pic.

Worked example
Say we believe that we can predict the following day's Close from todays Hi, Lo and Close. We want to find three constants x, y, z, so that:

Close(tomorrow) = x * Hi(today) + y * Lo(today) + z * Close(today)

This is very easy.

Matrix A shows the Hi, Lo and Close for the EU for 28 days ending day before yesterday. Matrix B shows the Closes up to yesterday (shifted so you can see the alignment).

The differential equation reduces to the formula given (good exercise to prove this yourself!).

Then x = 0.4437, y = 0.0476 and z = 0.5104.

Note that this data from September is an UP month! Hence, the coefficient y, of the previous Low, is very small. Today's Close is mainly affected by yesterday's Hi and yesterday's Close.

So all you need to do in our calc is bung in a list of previous Close and Mid-Fib, together with a set of targets where the price actually went, and you can easily find a set of constants that will hit those targets in an optimum way most of the time.

Again, no magic here. Just secondary school maths...

Regards

Old Dog
Attached Image (click to enlarge)
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  • #187
  • Oct 6, 2010 5:09am Oct 6, 2010 5:09am
Hey Guys,

This looks interesting and might fly! Attached is the current Oil (WTISB) chart.

I have always wanted to be able to trade Oil as it is always volatile even when other things are dead. But every time I have tried in the past I have got absolutely hammered!!

The lines are optimised over the year to Sept 30. The big font is Monthly targets, calculated at the start of each month and valid for the month. The smaller font is weekly targets, calculated at the start of each week and valid for the week. You can also do this daily, of course, if you want!

Note that the Monthly "O" coincides with the Weekly "X". This represents a strong barrier.

Price rose off these baselines and turned at Weekly "O". After a textbook 50% retrace it went up to hit Monthly "A" accurate to better than half a pip!! Woof! Woof!

Again, it retraced 50% almost to the number, went up to hammer through Monthly "A" with some momentum, then came back to rest at that level.

I'll be keeping an eye on this...

Best regards

Old Dog
Attached Image (click to enlarge)
Click to Enlarge Name: WTI1.JPG Size: 103 KB
  • #188
  • Edited 8:04am Oct 6, 2010 6:21am | Edited 8:04am
When I get a chance, I'll do an update

Using Squalou Indicator for EU Only

Old Dog Targets (Starting Oct 1, 2010) and 40 pip stop
Trading with Sentiment
Today 1/1 +32 pips
This Month 5/5 +171 pips

Trading without regard to Sentiment
Today 1/1 +32 pips
This Month 7/8 +198 pips

Guru Indicator for EU

Fib Calculation for Baseline, 127 pip phase
This approximates Abonacci Phases and Calculator
Trading With Sentiment
Today 0/1, -40
This month 3/4, +100 pips

Trading without regard for Sentiment
Today 0/2, -80
This month 4/7, +104 pips

Cheers
CanuckCT

Edit...Page one seems like a good spot for this.
  • #189
  • Oct 6, 2010 6:37am Oct 6, 2010 6:37am
Quoting Old_Dog

But the calc was designed to be quite conservative. Yes, it will leave pips on the table, but not very many!

My philosophy is that I would rather bag my 45 pips, say, with some high degree of probability, than shoot for 55 pips and have the market turn before my TP is hit.
I very much like this approach. No need to get greedy with this. An alternative more aggressive strategy is worth pursuing, but the strategy as is, using those 2005 variables that have not been optimized for recent data, seem to be working. No need to mess with it, just trade it.

Cheers
CanuckCT
  • #190
  • Oct 6, 2010 6:56am Oct 6, 2010 6:56am
Quoting CanuckCT
When I get a chance, I'll do an update

Using Squalou Indicator for EU Only

Old Dog Targets (Starting Oct 1, 2010) and 40 pip stop
Trading with Sentiment
Today 1/1 +32
This Month 5/5 +171 pips

Trading without regard to Sentiment
Today 1/1 +32
This Month 7/8 +198 pips

Cheers
CanuckCT

Edit...Page one seems like a good spot for this.
Even trades against sentiment have great hit rate...interesting.
  • #191
  • Oct 6, 2010 7:09am Oct 6, 2010 7:09am
Quoting CanuckCT
When I get a chance, I'll do an update

Using Squalou Indicator for EU Only

Old Dog Targets (Starting Oct 1, 2010) and 40 pip stop
Trading with Sentiment
Today 1/1 +32
This Month 5/5 +171 pips

Trading without regard to Sentiment
Today 1/1 +32
This Month 7/8 +198 pips

Cheers
CanuckCT

Edit...Page one seems like a good spot for this.
THAT IS IMPRESSIVE.
  • #192
  • Oct 6, 2010 8:21am Oct 6, 2010 8:21am
Quoting CanuckCT
When I get a chance, I'll do an update

Using Squalou Indicator for EU Only

Old Dog Targets (Starting Oct 1, 2010) and 40 pip stop
Trading with Sentiment
Today...
very impressive indeed. thanks for the detail...but when you said without regard to sentiment, does it mean trades are set up in both direction?
The World As It Is Can Do With Your Positive Disposition
  • #193
  • Oct 6, 2010 8:46am Oct 6, 2010 8:46am
Do as you please....trade both ways or only in direction of sentiment. Your choice.
Cheers
CanuckCT

Quoting liberty71
very impressive indeed. thanks for the detail...but when you said without regard to sentiment, does it mean trades are set up in both direction?
  • #194
  • Oct 6, 2010 8:58am Oct 6, 2010 8:58am
I still have my doubts about the stage this month. Seems to me that 100 is fair.
Attached Image (click to enlarge)
Click to Enlarge Name: PHASES.JPG Size: 126 KB
  • #195
  • Oct 6, 2010 9:01am Oct 6, 2010 9:01am
The 100 is derived from a calculation...the 127 is arbitrary. Everyone can decide for themselves what approach suits their style of trading.

Cheers
CanuckCT

Quoting neltonbenke
I still have my doubts about the stage this month. Seems to me that 100 is fair.
  • #196
  • Oct 6, 2010 9:34am Oct 6, 2010 9:34am
If there is anyone who has any EA programming skills, can you send me a PM. I have reached out to a few people...and everyone is so busy. Thanks.
Cheers
CanuckCT
  • #197
  • Oct 6, 2010 9:54am Oct 6, 2010 9:54am
Quoting ES Trader
THAT IS IMPRESSIVE.
Well, the approach has worked pretty well for a quarter of a century, through boom and bust, give or take.

Even if you do the optimisation I described earlier today, the constants won't change that much.

If it ain't broke, don't fix it!

Best regards

Old Dog
  • #198
  • Oct 6, 2010 10:04am Oct 6, 2010 10:04am
Quoting Old_Dog
Hey Guys,

This looks interesting and might fly! Attached is the current Oil (WTISB) chart.

I have always wanted to be able to trade Oil as it is always volatile even when other things are dead. But every time I have tried in the past I have got absolutely hammered!!

The lines are optimised over the year to Sept 30. The big font is Monthly targets, calculated at the start of each month and valid for the month. The smaller font is weekly targets, calculated at the start of each week and valid for the week. You can also do this daily, of course,...

Hi OD,

Thanks for all the information you are sharing with us.

Please could you post the way you calculate the W&D lines in your examples (X & O)

Thanks a lot

regards

G
  • #199
  • Oct 6, 2010 11:00am Oct 6, 2010 11:00am
Quoting BarneyDog
Just another take.
Magenta lines = Weekly Fib
Blue and Red Fibs = Based on previous day's ATR(22)=144/2=72 pips up and 72 pips down from NY close

Will post resulting PA tomorrow.
An update around 12:00 EDT:

Price is up,
potentially take buy above Blue 76.4 or Blue 100.0 or
sell below Red 76.4 or Red 100.

Target is Blue or Red 161.8.

SL could be Blue 38.2 or Red 38.2. R=1:1, if entry is Blue 100.0 or Red 100.0.
Attached Image (click to enlarge)
Click to Enlarge Name: 5.10.2010 ny close 1144 am.gif Size: 28 KB
  • #200
  • Oct 6, 2010 11:24am Oct 6, 2010 11:24am
Anyone in the current Old Dog breakout trade, might want to move stop to BE
Cheers
CanuckCT
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