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Market Statistics & Probabilities (requests welcome)

  • #21
  • Jan 5, 2011 12:00pm Jan 5, 2011 12:00pm
Regarding stat #3.. of the 60% of times..

price makes new high returns to open, chance it.. Returns to last days high again = 68.26%

price makes new low returns to open, chance it.. Returns to last days low again = 66.58%
  • #22
  • Jan 5, 2011 1:14pm Jan 5, 2011 1:14pm
It would be interesting to know the probability of a Daily candle being the same colour as the candle for the previous day.
  • #23
  • Jan 5, 2011 1:25pm Jan 5, 2011 1:25pm
Quoting Paddy9
It would be interesting to know the probability of a Daily candle being the same colour as the candle for the previous day.
I will definitely test this

from my own observations during a trend (that I judged by the eye) about 70% of candles would be similar..

orcourse the stats you requested would be a completely different result since its based on previous day and includes all condition ranging and trending.. I suspect 50% results but I will have to test
  • #24
  • Jan 5, 2011 5:33pm Jan 5, 2011 5:33pm
Quoting newyear498
(example as high reverse for short)
the way I tested was.. if there was an inside bar.. and the next day broke say the high of the inside bar.. and the retrace before that was less than 50 pips.. the probability that it would break the high + 50 pips..

so there was only about 120 cases of the next day breaking the high of the insidebar while retracement was less than 50 pips.. I thought thats what you ment by "given the retrace is less than 50 pips".. so if it was breaking the high of the inside bar but it was down 51 pips previously from...
My request did not include the necessity to have a breakout on "next day". And please be in mind that it is possible that the price may have +50pips breakout distance but retrace back to -50pips from breakout point. It is a success case but you consider it as a failure in your test methology. Even if the price does not retrace 50pips on that particular bar, it does not mean that it will hit +50pips but you consider it as a success case. With all due respect, I believe that your answer is wrong. The test procedure to find a correct answer is much more complicated.

Finding the probability of success without factoring retracement is just like finding the probability of making money in casino without factoring the potential losses. It is useless, dont you think so?
  • #25
  • Jan 5, 2011 6:09pm Jan 5, 2011 6:09pm
Quoting ForexQuant
My request did not include the necessity to have a breakout on "next day". And please be in mind that it is possible that the price may have +50pips breakout distance but retrace back to -50pips from breakout point. It is a success case but you consider it as a failure in your test methology. Even if the price does not retrace 50pips on that particular bar, it does not mean that it will hit +50pips but you consider it as a success case. With all due respect, I believe that your answer is wrong. The test procedure to find a correct answer is much...
ForexQuant,

with all due respect we are both on different terms.. I care less how we got to where we are.. the bottom line is I tested what I interpreted was your criteria.

please list very clearly this time how you want the test done.. I think I am having a huge error in interpreting your requirements for retrace.. I mean

I counted anything with +50 pips as a success as long as all previous retracements with less than 50 pips..

so for example.. price goes up.. hits 50 pips.. every retrace before that was less than 50 pips.. success.. after that price could go up, down, no where.. it was still a success

one or both of us is not comprehended.. it could certainly be me.. but just be really simple specific if I'm wrong..

with all do respect I find everything you have brought to the table in past posts and such to show you are certainly a more knowledgeable person than I am.. in my opinion.. and you probably know a lot more about probabilities

I don't understand why you question me about not factoring in retracement when I did factor in retracements.. and you said

"My request did not include the necessity to have a breakout on "next day" "

thats not a problem.. I figured your entry was based on breakout tho.. so I ignored the times it did not break out.. I can correct easy


anyways let me know
  • #26
  • Jan 5, 2011 6:42pm Jan 5, 2011 6:42pm
Quoting newyear498
ForexQuant,

with all due respect we are both on different terms.. I care less how we got to where we are.. the bottom line is I tested what I interpreted was your criteria.

please list very clearly this time how you want the test done.. I think I am having a huge error in interpreting your requirements for retrace.. I mean

I counted anything with +50 pips as a success as long as all previous retracements with less than 50 pips..

so for example.. price goes up.. hits 50 pips.. every retrace before that was less than 50 pips.. success.....
I'm not knowledgeable than everyone else. I was just giving you a hint on something that important because I have done the same thing like you before. I know you are close to a breakthru that lead you jump outside the box but you are not going to make it without knowing what is actually missing. Most probability question is simple but tricky. Sometime they look like same, but it is not.

I was just trying to help. Anyway it's ok, I'm done here.
  • #27
  • Jan 5, 2011 7:08pm Jan 5, 2011 7:08pm
Quoting ForexQuant
I'm not knowledgeable than everyone else. I was just giving you a hint on something that important because I have done the same thing like you before. I know you are close to a breakthru that lead you jump outside the box but you are not going to make it without knowing what is actually missing. Most probability question is simple but tricky. Sometime they look like same, but it is not.

I was just trying to help. Anyway it's ok, I'm done here.
I'm stuck in between being upset and thankful.. I mean.. thanks for your insights.. I understand what your saying.. and it sounds like you had some concern that I was ignoring risk well let me quote you

"Finding the probability of success without factoring retracement is just like finding the probability of making money in casino without factoring the potential losses. It is useless, dont you think so?"

but then I'm annoyed because I try to be polite and help you by running a test that apparently you just requested to fuck with me or at least try to show me something.. but if you just read a post I made a long time ago you can see I have not overlooked this.. I'll quote myself

"now am I saying to do this.. not really.. its just statistics and just barely better than a coin flip.. plus where do you set your SL (risk to reward)"



I think the stats I provide are good insights overall.. they are all pieces to the puzzle.. alone they can't tell much but together with other knowledge its pretty powerful stuff.. especially the 50% stats are really powerful things you can take advantage from
  • #28
  • Jan 5, 2011 7:21pm Jan 5, 2011 7:21pm
I go out of my way to post some stat.. get slap in face.. are these stats really to dangerous for your own good? Should I refrain from posting? heheheeee
  • #29
  • Jan 5, 2011 7:35pm Jan 5, 2011 7:35pm
Hello,

Thanks for your reply.

For the purposes of this study, define london breakout as movement in the market between the london open at 3 am EST and 6 am EST. The movement should be compared to the level of the close of the 2 am EST bar (ie. the close of the bar immediately preceeding london open).

When comparing to new york, ignore the overlap between london and new york. I consider the new york breakout to be at the time period between 8 am EST and 12 pm EST.

Let me know if you need more information.


Quoting newyear498
Hi Stockey.. these are good questions

but I'll need more specific requirements.. some questions I would have to ask you is..

what is a london breakout.. I mean..

how long do I track the breakout after london opens?

what pip level above and below the open of london is our breakout start?


as for newyork playing micky mouse with london...

do I need to ignore the crossover of london and newyork to track this data?

should I track the entire london and entire newyork... or only the opening hours (since I suspect near end of hours things...
  • #30
  • Jan 5, 2011 7:35pm Jan 5, 2011 7:35pm
Quoting newyear498
I'm stuck in between being upset and thankful.. I mean.. thanks for your insights.. I understand what your saying.. and it sounds like you had some concern that I was ignoring risk well let me quote you

"Finding the probability of success without factoring retracement is just like finding the probability of making money in casino without factoring the potential losses. It is useless, dont you think so?"

but then I'm annoyed because I try to be polite and help you by running a test that apparently you just requested to fuck with me or at...
Ops I apologize for giving you a hard feeling. I have a rude personality

I'm a die hard fans of Taleb. When come to a probability question related to trading, I'm not just concern about the probability, I also pay attention to its impact.
  • #31
  • Jan 5, 2011 7:53pm Jan 5, 2011 7:53pm
If E/U moves 10pips up what is a chance of a 10 pip or more up movement after that?

If E/U moves 10pips down what is a chance of a 10 pip or more down movement after that?

edit: (on a 30min and 1h chart)
  • #32
  • Jan 5, 2011 7:53pm Jan 5, 2011 7:53pm
Quoting ForexQuant
Ops I apologize for giving you a hard feeling. I have a rude personality

I'm a die hard fans of Taleb. When come to a probability question related to trading, I'm not just concern about the probability, I also pay attention to its impact.
no its just because me and you got off bad start in our past posts probably.. haha

oh well your probably right about the impact.. I guess I am thinking once I find the information I am looking for then I can focus on drawing the big picture with risk to rewards factored in and money management.. I'm pretty much trying to narrow down when the market conditions are acting properly for my system so I can adjust to the conditions

thats about the best way I can put it without writing an essay.. and honestly everyone on this thread can take some probabilities for themselves but they will still need to figure out a lot for themselves to make it work

but that I imagine goes same way for everything on this forum.. its all pieces to the puzzle so to speak

  • #33
  • Jan 5, 2011 7:58pm Jan 5, 2011 7:58pm
Quoting Rikers
If E/U moves 10pips up what is a chance of a 10 pip or more up movement after that?

If E/U moves 10pips down what is a chance of a 10 pip or more down movement after that?
have you check out this..

http://www.forex-fxtrader.com/tools/...ntinuation.pdf

think its what your looking for
  • #34
  • Jan 5, 2011 8:18pm Jan 5, 2011 8:18pm
Quoting newyear498
have you check out this..

http://www.forex-fxtrader.com/tools/...ntinuation.pdf

think its what your looking for
I've seen this. 2004 old. Looking for 2010 update if you have the time.It would be interesting to see if things have changed.
  • #35
  • Jan 5, 2011 8:33pm Jan 5, 2011 8:33pm
Quoting Rikers
I've seen this. 2004 old. Looking for 2010 update if you have the time.It would be interesting to see if things have changed.
well.. I suppose it would be relatively easy to test.. every time it goes 10 pips.. test if it goes up or down 10 pips

its kinda funny tho because it goes up 10.. you test to see if it will go up 10 more or back down 10..

say it went back down 10.. well now we are where we started before but still testing if it will go up 10 or down 10

and this gets into random walk.. which I still trust and in theory you will end up with 50% probability in the long run with law of large numbers


you know its good to mention that a lot of the very profitable traders that are in wall street make money from 50% probabilities if you really observe..


I may test this 10 pip idea tho since I see no reason not to challenge others
  • #36
  • Jan 5, 2011 8:35pm Jan 5, 2011 8:35pm
Quoting stockey
Hello,

Thanks for your reply.

For the purposes of this study, define london breakout as movement in the market between the london open at 3 am EST and 6 am EST. The movement should be compared to the level of the close of the 2 am EST bar (ie. the close of the bar immediately preceeding london open).

When comparing to new york, ignore the overlap between london and new york. I consider the new york breakout to be at the time period between 8 am EST and 12 pm EST.

Let me know if you need more information.
how should we handle if between 3-6 price goes up 100 from open pips and swings back all the way below open 90 pips

or does it matter.. you only want to know the average breakout range in pips?


thanks
  • #37
  • Jan 5, 2011 8:39pm Jan 5, 2011 8:39pm
Quoting newyear498
have you check out this..

http://www.forex-fxtrader.com/tools/...ntinuation.pdf

think its what your looking for
I'm doubt on their test report.

For example, the test on EURUSD 10 pips trigger on 4H chart with 20 pips SL showing this:

Net Pips Movement --- Probability --- Profit Factor after 5pips transaction cost
10 --- 91.4% --- 2.13
20 --- 85.3% --- 3.48
30 --- 79.8% --- 3.95
40 --- 74.8% --- 4.16
50 --- 70.8% --- 4.36
60 --- 66.6% --- 4.39
70 --- 63.3% --- 4.48
80 --- 58.7% --- 4.26

If this is correct then I would kill myself for not trading forex in 2000-2004.
  • #38
  • Jan 5, 2011 8:40pm Jan 5, 2011 8:40pm
Quoting newyear498
how should we handle if between 3-6 price goes up 100 from open pips and swings back all the way below open 90 pips

or does it matter.. you only want to know the average breakout range in pips?


thanks
It really depends on how much time you are willing to spend on this.
If you have the time, it would be great to get information about the maximum number of pips away from the open at 3 am. But if you don't have that much time then a net count will do (ie. in the above example, the net would be +10 pips).

The reason I don't think it really matters is that the scenario you describe is pretty rare (speaking from experience, no actual numbers).

Thanks.
  • #39
  • Jan 5, 2011 8:53pm Jan 5, 2011 8:53pm
Quoting newyear498
well.. I suppose it would be relatively easy to test.. every time it goes 10 pips..
yes, It's just building a chart similar to renko - use 1 min close to draw a candle anytime price moves +10,-10 from the previous close. Renko would draw -20 +10.
  • #40
  • Jan 5, 2011 8:55pm Jan 5, 2011 8:55pm
Quoting stockey
It really depends on how much time you are willing to spend on this.
If you have the time, it would be great to get information about the maximum number of pips away from the open at 3 am. But if you don't have that much time then a net count will do (ie. in the above example, the net would be +10 pips).

The reason I don't think it really matters is that the scenario you describe is pretty rare (speaking from experience, no actual numbers).

Thanks.
so maybe we can kill two birds with one stone..

you originally mentioned two things..

1) I could get you the average net pips+ of london and newyork.. as well as the average net pips- for london and new york

2) I could do net pips for london and newyork.. so for example.. if london is net pips positive and newyork is net pips positive then that will be our definition if they followed eachother...

same is true if they are both net pip negative on same day


it sounds like a pretty good way to define things, any objections?
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