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Similarity: A Practical Approach

  • #361
  • Jul 30, 2013 7:46am Jul 30, 2013 7:46am
Quoting juhanimi
have to add this, do not use daily or H4, they are not universal things, H1 and M15 are same everywhere in this planet, maybe
I would agree with this on Daily... ie. Don't use Daily.
But the 4H is useful.
A pip is only worth it if you know how much you risked to earn it
  • #362
  • Jul 30, 2013 7:46am Jul 30, 2013 7:46am
Quoting vlady1974
{quote} But then, that would also mean DS is a Zone of prices. Or is it? What if we said, if uptrend DS Low is what we trade away from.... and if downtrend, DS High is what we trade away from?
As I see it, that could mean that we have a zone of prices.
In this case, where we have uptrend and dis-sim candle opened at prices from 1.3266 to 1.3275 depending on what timeframe you look at, that could maybe be a zone and the mean level at ~1.3270 should maybe be our point where we trade away from dis-sim?!

But you maybe mean zone of prices in an other way?!

---


So if this could work, we wait for price to get back to around 1.3270 and if we get a ZZ/semafor and a good signal for entry. We go long?
  • #363
  • Jul 30, 2013 7:48am Jul 30, 2013 7:48am
Demo Longs (3 remaining):
50 pip SL in place [this really means 5 pips] LOL
TP @ 1.3309 for all posn
A pip is only worth it if you know how much you risked to earn it
  • #364
  • Jul 30, 2013 7:52am Jul 30, 2013 7:52am
Quoting spufuz
{quote} As I see it, that could mean that we have a zone of prices. In this case, where we have uptrend and dis-sim candle opened at prices from 1.3266 to 1.3275 depending on what timeframe you look at, that could maybe be a zone and the mean level at ~1.3270 should maybe be our point where we trade away from dis-sim?! But you maybe mean zone of prices in an other way?! --- So if this could work, we wait for price to get back to around 1.3270 and if we get a ZZ/semafor and a good signal for entry. We go long?
To calculate the DS... stoch must use the CLOSE of a bar.
I had asked Eurusdd before about zones and he said, use the HI and LO of the triggering bar.
There is no set way for you to enter a trade... it's really up to you and your style.

You could enter on the Zone Low. you could enter on the open, or BUY stop on mid/mean, or be ultra conservative and set it at Close or Zone Top.
I think what's more important is that if the zone is triggered, you can try and trade away from it. When an extreme (ZZ) is reached, there is a strong chance price will return to that range of prices.
A pip is only worth it if you know how much you risked to earn it
  • #365
  • Jul 30, 2013 7:56am Jul 30, 2013 7:56am
Quoting spufuz
{quote} As I see it, that could mean that we have a zone of prices. In this case, where we have uptrend and dis-sim candle opened at prices from 1.3266 to 1.3275 depending on what timeframe you look at, that could maybe be a zone and the mean level at ~1.3270 should maybe be our point where we trade away from dis-sim?! But you maybe mean zone of prices in an other way?! --- So if this could work, we wait for price to get back to around 1.3270 and if we get a ZZ/semafor and a good signal for entry. We go long?
On the 15M, the current unborn zone is 1.33005 (top) to 1.32734 (low) = 27.1 pips.

Remember... the DS hasn't ended yet. So the actual zone has not been "born". It's not in effect.
Where do you think price will be when it does come into effect? And therefore, what could price do?

My guess is that DS will end and price will be above the new born zone (1.3328 hopefully). So it will act like a magnet and price should go towards it. Probably act as initial resistance at 1.33005 then go through it, perhaps to the mid, then hopefully to 1.32734.

We just don't know how long (time) it will take to do this.
A pip is only worth it if you know how much you risked to earn it
  • #366
  • Jul 30, 2013 8:15am Jul 30, 2013 8:15am
Quoting cfdtaleong
{quote} Quick short +6 due to last ZZ invalid without EMA touching BB and dis=sim between EMA and stoch relative to mid BB. Waiting for ZZ bottom to form and return to last up swing position and maybe take out zone.agree good chance for price to target the 33s lol zz seems eager to paint
Sorry not at my platform. Can anyone tell me if the last ZZ top yesterday got corrected? Many thanks.
I want more brain power!
  • #367
  • Jul 30, 2013 8:22am Jul 30, 2013 8:22am
Quoting cfdtaleong
{quote} Sorry not at my platform. Can anyone tell me if the last ZZ top yesterday got corrected? Many thanks.
On the 15M, yes it did.
A pip is only worth it if you know how much you risked to earn it
  • #368
  • Jul 30, 2013 8:24am Jul 30, 2013 8:24am
Quoting cfdtaleong
{quote} Sorry not at my platform. Can anyone tell me if the last ZZ top yesterday got corrected? Many thanks.
Actually mate, now that I look back at this on the 1H.... I have a feeling we're gonna have one of these "technical problems" that Eurusdd mentioned.

The last two ZZ swings prior to the new one are both out of sequence. ie. The previous HI was not really a high, therefore the following low should not have occurred or been tagged as a Lo.
A pip is only worth it if you know how much you risked to earn it
  • #369
  • Jul 30, 2013 8:26am Jul 30, 2013 8:26am
Quoting vlady1974
Demo Longs (3 remaining): 50 pip SL in place [this really means 5 pips] LOL TP @ 1.3309 for all posn
SLs triggered. All out. Pending shorts at 1.3309 to 1.3316. Will probably add another at 1.3325
A pip is only worth it if you know how much you risked to earn it
  • #370
  • Jul 30, 2013 8:42am Jul 30, 2013 8:42am
Quoting vlady1974
{quote} Actually mate, now that I look back at this on the 1H.... I have a feeling we're gonna have one of these "technical problems" that Eurusdd mentioned. The last two ZZ swings prior to the new one are both out of sequence. ie. The previous HI was not really a high, therefore the following low should not have occurred or been tagged as a Lo.
Quoting vlady1974
{quote} On the 15M, yes it did.
Nice! should have held my longs longer lol still a bad trader at heart

At least theories are holding water and we got a new "reference" level at that price point

Yes, I noticed that the entire series of swings was quite a mess. My observation (limited data) when price corrects "fakes" she is usually very efficient. 3 levels imho.

Lvl 1)Price moves till a valid ZZ before turn
Lvl 2)Price turns 1st makes a valid ZZ and returns in one swing for correction
Lvl 3)Anything less than Lvl 2. Like yesterday with the "extra" swings some of which do not appear very valid to me

Lvl 3 is rare i think like what you 1st observed and now the technical problem.
I want more brain power!
  • #371
  • Jul 30, 2013 8:46am Jul 30, 2013 8:46am
Watch out! 15M DS has ended... similarity on the 15M... I will check the 30M and 1H for synchronisation. Big moves happen on similarity.
BTW, the 5M scored a ZZBOT so aggressively took a long (demo).

EDIT: And another long
A pip is only worth it if you know how much you risked to earn it
  • #372
  • Jul 30, 2013 8:49am Jul 30, 2013 8:49am
Quoting cfdtaleong
{quote} {quote} Nice! should have held my longs longer lol still a bad trader at heart At least theories are holding water and we got a new "reference" level at that price point Yes, I noticed that the entire series of swings was quite a mess. My observation (limited data) when price corrects "fakes" she is usually very efficient. 3 levels imho. Lvl 1)Price moves till a valid ZZ before turn Lvl 2)Price turns 1st makes a valid ZZ and returns in one swing for correction Lvl 3)Anything less than Lvl 2. Like yesterday...
Excuse me for being a bit slow here, but is this the technical problem youre talking about?

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  • #373
  • Jul 30, 2013 8:50am Jul 30, 2013 8:50am
Quoting spufuz
{quote} Excuse me for being a bit slow here, but is this the technical problem youre talking about? {image}
YES!!
A pip is only worth it if you know how much you risked to earn it
  • #374
  • Jul 30, 2013 9:30am Jul 30, 2013 9:30am
Woow! Zone Clearing Day! Big Zone cleared out on the 1H. Didn't expect that.
Higher unborn zone in play... my projection is that this is a buying maneouvre and I've loaded up on Longs. Don't know if I'm right... we'll see.
A pip is only worth it if you know how much you risked to earn it
  • #375
  • Jul 30, 2013 9:31am Jul 30, 2013 9:31am
Hello everyone! Nice thread, even better title - practical means it is usable, testable and NOT cryptic (I wonder why some were proud of the "cryptic" presentation of sim idea...). I've tried to approach similarity/dissimilarity from the same angle - make it clear enough to test it and prove it works (or it doesn't).

How have I based things? I have neclected the fractal dimension, because I firmly believe that different timeframes are 100% self-similar as lower timeframes build higher timeframes. Data is essentially the same, so you see the same thing only in different scales (timeframes), so I haven't included any form of fractal analysis to my testing work. As a side note - I did experiment with FDI (written a lot about in the fractal finance blog, which link was posted some time earlier in this thread) and I concluded it is worthless in lower timeframes.

The base is the idea of signal dissimilarities, the same way as Eurusdd used the cycle identifier.

My testing is a work in progress at the moment, but the first stint is done now.

How I did it and what did I find?

I took Awesome Oscillator, settings: 10,5, Median; base timeframe M5, currency pair EurJpy. Signals are like this: AweOsc rises=BUY, AweOsc falls=SELL.
I did the same thing on M1, with a exception of AweOsc parameters: settings: 50,25, Median.

Then I compared the signals from M5 to M1 - similarity for 1 month = 88%

Then I tested the dissimilarities as trading signals. Mind you, there are many ways to use dissimilarities! Eventually I developed 4 usable approaches.

The testing strategy itself: open a position at bar opening after confirmed dissimilarity in the previous bar, TP around 4 points, SL of 7. Eurusdd said if you have a dissim, you're in a high probability trade. He demonstrated it in the trade explorer taking 1 point profits most of the time, therefore I chose similarly to take a tiny profit with nearly twice as large SL. For better evaluation I look only at win/loss ratio, which needs to be roughly 0.70 to show some kind of profit.

Alright, now approach and its result:
1. Dissim on M5/M1 (comparing M5 directly to M1, this means at every 5 minutes,
trade direction defined by M5 signal) = win/loss 0.67

2. Same as 1. but reversed signals = win/loss 0.57

3. Madmoney approach, taking M1 signals in the direction of M5 signals = win/loss 0.65

4. Comparing current and confirmed M5 signal to the last 5 confirmed signals
form M1 (purpose is to align the signals to the used data, in other words I tried
to use the same data span to compare signals) = win/loss 0.66
5. Same as 4. but nondirectional, trade direction opposite to the last leg of ZZ = win/loss 0.71

Testing carried out on a reliable platform (not the crapergy tester of MT4).

Last notes - I will carry on testing using other indicators, it seems to me that it's quite important what indicator is used, AweOsc is not dishing out tops and bottoms at dissim events.
  • #376
  • Jul 30, 2013 9:32am Jul 30, 2013 9:32am
Quoting vlady1974
Woow! Zone Clearing Day! Big Zone cleared out on the 1H. Didn't expect that. Higher unborn zone in play... my projection is that this is a buying maneouvre and I've loaded up on Longs. Don't know if I'm right... we'll see.
And it took out that zone so fast!

Right now, it sure looks like we will be below when that zone matures.
  • #377
  • Jul 30, 2013 9:38am Jul 30, 2013 9:38am
Out of my short from yesterday (finally).


Will be looking at taking a long later today, if the conditions are right
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  • #378
  • Jul 30, 2013 9:51am Jul 30, 2013 9:51am
10:50 am screenshot.
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  • #379
  • Jul 30, 2013 10:06am Jul 30, 2013 10:06am
Quoting almo
Out of my short from yesterday (finally). Will be looking at taking a long later today, if the conditions are right {image}
Gosh I know how you feel! 3 longs underwater, but other 2 hedging the rest! LOL
A pip is only worth it if you know how much you risked to earn it
  • #380
  • Jul 30, 2013 10:07am Jul 30, 2013 10:07am
I'm trying to wrap my head around all of this, so please bear with me....

..all of this has me thinking, that despite our best efforts, we will never be able to get 100% of the DS zones.

The reason for this all has to do with time - right now the comparison that is being used is 300 bars x 15m. However anything greater than this , is not being factored into this.
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