why have you accepted the price-predictability assumption?

What I mean as intra-day volatility is the daily bar spread (High-Low). That will help me decide if I should use a trend-following approach or a mean-reversion the next day.

A fan of mob movies

I agree....IF you trade small enough!

Correct. That is the other half of that strategy. You have to keep draw down stable and potential for gain exponential.

holy crap! this thread has really took off since the new year!

it's nice to see the activity and useful comments, so many of which i agree with, but i still have 10 pages of catching up to do and i dunno where to begin!

i guess i have a couple of quick points:

#1) we all seem to agree that the market is random, but only to a certain extent, and not actually if viewed through or with the proper lens. this means that you can, of course, find patterns and/or non-randonmess in all of the supposed randonmess.

#2) i agree with proximus, magix, turvey, and many others here that M1 (1-min) charts are the way to trade. this posts sums it up best. however, i am not so sure whether to use Candle[0] or Candle[1] in my development, i am leaning towards Candle[0] since it is a little less lag and that can, at times, make a big difference. but that is just my opinion and i am still uncertain. other indicators/triggers/filters must also be used.
#3) some very interesting points on this thread and i will restrain myself from replying to them all, but i will say that proximus's decision to build the holy grail EA, as i am doing, is quite admirable and it is possible we may work together on this but that's to be further determined. but he has an interesting approach to trade "patterns" instead of raw levels, and i agree with this, but that is also why the holy grail EA is so difficult to program because it must take into account so many patterns and although the possiblities are almost endless, everything must still be accounted for.

the EA that i'm trying to build would go one step further than trading patterns (by patterns, i also include fibos, trendlines, s&r, etc.). the main method that i trade with is the MTF method, and if used correctly, i have not seen a better or more accurate system, for scalping or whatever, and this leads me to point #4 which i will get to soon. but all of us here know that the market can do one of two things (trend, or range) or nothing (just an extension of a range), and so the EA must take this into account and dynamically adapt to the changing conditions. i'm interested in building an EA that won't require updates because it will have all the necessary logic built-in, right from the start. what i mean is that the core of the EA will be built on my MTF method, but it will also take into account... i dont know how to say it... dynamic (changing) supp & resistance and it will have a "feel" for how the market is trading, like for example if price stubbornly refuses to go below the 2nd standard deviation BB and the last "x" bars are within a fixed range or number of pips, that might be a support level and the EA would look to buy (notice i said look to buy, not actually buy, or buy immediately). trading is all about probabilities, like one person here said, and us programmers need to use the probabilities to our advantage and i believe one good way to do that is working with data that is flexible, or "accurate to a certain extent or degree". for example, instead of just saying if(x > 10) you could instead look to see if x is within 10% (or X%) of 10 and if it is, the setup, which would typically not be triggered, might still be valid. we cannot think so literally like there is a magic formula out there, because we are never going to figure that out, so the best we can do is to think in terms of probabilities and that is where our creativity comes in.

#4) i am a very, very, VERY strong advocate of the MTF approach to trading. those who oppose it probably do not understand how to use it or have not taken the time to figure out how it works. i am very confident that nothing beats it. all you need is the right indicators to apply and the ability to interpret them. i have almost started my own MTF thread two times now, and still debate doing it. any single piece of information, level, indicator, or anything instantly becomes more important when viewed through the MTF lens. i also believe that it is a lot easier to predict the direction and entry into a trade than it is to predict the target or exit or level of volatility. because as far as my EA, i find it difficult to know whether a given move or "oscillation" on 1M (1-min) will be enough to cover the spread or perhaps more. which means that, even if you might get the direction of the trade right, it won't necessarily matter. but given the complexity of all this and the number of variables to take into account (which my EA and method simplifies into a select few), it seems clear to me why the MTF approach to trading is the best method there is. there is nothing it can't do and it works well for identification of trend and even better for entry and exits. but just don't ask me to explain how it works!

#5) huurrraaayy, 500th post!

Probably but not very practical, if you'd trade with a 1:1 leverage to not worry about margin call and a 5 digit broker to trade the smallest, if you'd trade 0.01 lot, the smallest lot size possible, you need 1.000.000 pip move to lose 10.000 dollars, which is unrealistic.But you also need to time your entry well, for example enter on the all-time mean price, because if the market is randomly build, doesnt matter what distribution curve it follows, it will always have the most values near the mean, so not a Bollinger band strategy where you buy low sell high, but a middle trade strategy would be the best, where you enter in the all time-middle price, whatever direction you want because its probably very close to 50-50, if you find a bias, even better, but if not then still probably a 50-50 is suitable, so its pretty much done.

1M pips to move worth 10k dollars if you trade 0.01 lot size, whereas the position size would be ~10.000$ and a margin requirement of maximum 2000$, so a 12000$ account could trade this way on a 1:1 leverage
Since its impossible for the market to move 1million pips, it has never moved that much from all time swing low to swing high.

Take example : EUR/USD

All time low (in the near past): october 2000. @ 0.82266
All time high (in the near past): april 2008. @ 1.60146
Max swing size : 77880 pipettes

So given that the crisis put the euro on an all time high, lets assume that crisis wont happen again for atleast 100 years like the 1933 crisis was a century ago.
If we assume the maximum variance for now for the E/U is at tops 80.000 pipettes, then we only need 8000 dollars to cover the entire market with a 5 digit broker at 0.01 lot, and at tops plus a few thousand dollars for the margin requirement.
So if we actually think about it a 10.000$ could generally trade the entire market without the stops, and never losing.

Now here are the disadvantages:

1. The trades will be extremely long: 7 years to make a full swing, if we trade from the middle where the distribution has the biggest chance of moving the price there, then on average a trade would last at least 3.5 years
2. Since we trade the middle, if the market will make full swings again, our maximum profit will always be the half of the entire swing so about ~40.000 pipettes which in our trade size means 4000$ max profit / trade
3. Theoretically we would never lose a single position, but if it gets very near to our swing low or swing high we would always be around -7000 or so dollars before it reverses
4. If we miss the direction we need another 3.5 years for the price to reverse back, so if we miss one trade we need to hold that position open for 7 years to recover
5. In general the trades would last very very long, a normal trader could make a million dollar before we make even 10000$ profit, and if we are near loss we could get ruined psychologically, too much stress and anxiety is not healthy (7 years of constant worrying, now who wants that ??)
6. We risk the entire account just to make half of its size in profit: 1:∞ REWARD/RISK situation with 99.99999% winrate ,because you never know when the market could bust out on either side forming a new high or low and then you lose the entire account.So its not 100%, but rather ~99.999999999998%, but since the risk is infinite, if we consider that your entire account is all you have, it could wipe us, and at some point it will if we play this too much, so the risk is infinite
7. The comfortable/secure feeling of never losing a single trade gets overwhelmed by the worrying that you lose the entire account instead

Advantages:

1. If we manage to be smart, and since our trades are so long, we could benefit from the carry trade, IF we trade in the positive swap direction, although we dont make much money on the trades ~4000$, but we could use the swaps to boost that, for this i think the AUD/JPY pair is the most suitable, just go long on this always and the swap will give you a nice interest rate bonus

Now compare yourself how many advantages and disadvantages it has, and draw the conclusion if you want to trade like this, or not.I myself just prefer to use a stoploss.

dude proximus, i'm not sure he was looking for such a thorough response.

no one wants to wait that long, months or years, to hold a trade.

we are all traders here and im sure we can all do an elementary pro/con analysis.

markets trend. and they range. or they do something in between. the sooner you can determine what type of market you're in (particularly when the conditions change), the bigger advantage you will have. i will therefore reiterate my MTF approach. solves all problems. read my post above.

You are right Prox, given the parameters that you have set forth, building small positions into large ones following the trend is not a good idea. It is better to use stops in case you guess wrong. I agree 100%

That's true. Who wants to hold a trade even a month? We as traders want the profit on the books ASAP, it makes sense if you look at it from that perspective.

Yes, but some traders still do this, although not how it should be done, so by covering the entire market, cos if you cover the entire market then the probability of you losing is very very small, you can only lose if the market makes a new all time low/high.

But some traders dont do that, instead they only look at the monthly high and low, and trade like that, which is obvious that it will fail because the market to make a new high or low vs the previous months swings has a high chance.So if they just put a bollinger band and do a hedging trade without stops they could lose their entire money very easily because they use too much lot size, and they probably use leverage too, so a margin call here its inevitable...

I think Turveyd posted here a link to another thread ,although i`m not sure, where some guys held their losing positions for months now and they will get a margin call soon, i think it was the genesis system thread but i`m not sure.

----------------------

And the other point is, that by the time your make small profits with extreme risk, a normal trader just by trading small could make more, because if the market is fractal-like, it has a much higher length if you unpack it at a low timeframe, than if you trade it on high timeframe.So the length of moves is bigger if you trade small than if you trade high, because by trading small you can catch small fluctuations too but trading high timeframe it will skip them.I dont know if i explained that very well but i hope you get the idea.

So a small trader just by making 2% / day by trading intraday can make much much much more money than a trader which makes 50%/year by trading lets say 2 trades/ year
Its easy to demonstrate, starting with 1000$ account each

Small intraday trader: 1000* (1.02^261) = 1,377,408.29 $ by the end of the year (261 is the number of tradeable days in a year - weekends)
Big long position trader: 1000 * (1.5^2 ) = 2,250 $ by the end of the year

Compare the profits

sorry bud, you have no idea

sorry,, you have less idea than the previous post. This room is for prediction analogy. I can predict that the last 2 posts the traders will go hungry. Once you start to trade with large amounts your whole perspective will change. I do not mean trading example £20 £50 £100 try sticking £30k + on a trade, its a different ball game. anyway any more ideas regarding prediction.

You are quite right, I have no idea. Who does?

Mister me wrote "Very interesting thread.unusual practice here on ff. There are some very good posts here.and I would say if you could Tie them together you would have a rewarding trading methodology".

Interesting idea, probably better than the "Postage Stamp" method I'm using now. I have a small (but growing) collection of trading techniques I use in certain situations with more or less success, but do not really understand any overall view as to why such things work...

You could build the elements of more than one good, more or less profitable system from these posts , I suspect. Hmmm...

What is the probability that a A++ super elite guru trader can turn $1000 into a million in a year?
He has ~240 sessions to play for this year. Each and every single day is (must be) a 2% winner.
If the probability is P for each day, the probability of reaching the goal is P^240.

Because he is a A++ super elite guru trader we can imagine his success rate is 99%.
0.99^240=0.089. He will reach his goal once every 11 years in average.
Well... he can do it.

Can I do it if my success rate is 70%?
0.70^240 ~ 6e-38. No.

Can I do it if my success rate is 80%?
0.80^240 ~ 5e-24. No.

Can I do it if my success rate is 90%?
0.90^240 ~ 1e-11. No.

Can I do it if my success rate is 95%?
0.95^240 ~ 4.5e-6. No.

Can I do it if my success rate is 97%?
0.97^240 ~ 0.000668. No.

Can I do it if my success rate is 98%?
0.98^240 ~ 0.0078. Once every 127.6 years...

Millionnaire from $1000. Personally I just forget about it.

How about if pro trader trades at 3% and makes 5 trades per day, with 80% win rate. YES guessing at 2 years.

then factor in a 1:2 r:r .

sadlly lot sizes become unmanageable way before the 1mil so sadly still NO.



Genesis thread was Mikko, he's blocked from this thread, strict tight SL's here

DOES BOILING AN EGG HAVE RANDOM CHANCE OF SUCCESS.

Introduction
This document is an introduction to of some of the science relevant to preparing boiled eggs. It has evolved from a letter published in the Last Word section of New Scientist magazine (04-April-98) which answered a question by Chris Finn, who asked 'Does anybody have a formula to calculate the boiling time for a soft-boiled egg, given its weight and initial temperature?'.
Much of the information presented here is well-known and compiled from secondary sources (e.g. nutritional information printed on egg boxes!). As far as I know, the formula for the time required to boil an egg given its size and initial temperature is novel. However, it's very easy to derive so I would be surprised if it hadn't been previously discovered independently by others. Please let me know by email [email protected] if there are points in this document that need clarifying or correcting.
A Formula for Soft-Boiling Eggs
The Derivation
To obtain a simple formula the problem must be idealised somewhat, so the egg will be treated as a spherical homogeneous object of mass M and initial temperature Tegg. If the egg is placed straight into a pan of boiling water at Twater, it will be ready when the temperature at the boundary of the yolk has risen to Tyolk~63°C. With these assumptions, the cooking time t can be deduced by solving a heat diffusion equation.
The Result
The full derivation (PDF, 19kB), which can be viewed with the free Adobe Acrobat Reader, is quite complicated but the final result is relatively simple:
<p align="center"><img align=top height=101 width=527 SRC="equation.gif" ALT="Egg-Boiling Formula" border=0></p>

tcooked=M2/3cρ1/3Kπ2(4π/3)2/3loge[0.76×(Tegg−Twater)(Tyolk−Twater)]



where ρ is density, c the specific heat capacity, and K thermal conductivity of 'egg'. According to this formula, a medium egg (M~57 g) straight from the fridge (Tegg=4°C) takes four and a half minutes to cook, but the same egg would take three and a half minutes if it had been stored at room temperature (Tegg=21°C). If all the eggs are stored in the fridge, then a small (size 6, 47 g) egg will require four minutes to cook, and a large egg (size 2, 67 g) will take five minutes.
Illustrative Graph
Here is a graph of the values given by the equation for the cases when the egg is initially either at room temperature or has been in the 'fridge.

This graph is plotted using a value Tyolk=63°C, which gives a slightly less-than-firm white. The values used were (see full derivation (PDF, 19kB)) ρ = 1.038 g cm−3, K = 5.4×10−3 W cm−1 K−1, and c = 3.7 J g−1 K−1 The upper x-axis gives the European standard size numbers corresponding to the range of masses between the tick marks.
Accuracy
The model of an egg used to derive the above formula involves several approximations. For a more accurate treatment one would need to note that the thermal properties of the white, yolk and shell are all different, and treat the egg as three concentric, ellipsoids with Dirichlet boundary-conditions at the water-shell interface and Neuman boundary-conditions for the shell-white and white-yolk parts. Changes in its thermal properties when the white changes state from sol to gel, and the latent heat associated with this change would also need to be accounted for.
Boiling Eggs on a Mountain
I was recently told that it takes noticeably longer to boil an egg on mountain than at sea-level. This must be because the boiling point of water falls with decreasing atmospheric pressure Patm. The graph below uses data derived from the Manual of ICAO Standard Atmosphere (1964) to plot how ambient temperature and Twater decrease with height in a temperate climate.

The next graph shows how the reduction in water temperature increases the time needed to boil an egg with increasing altitude.

Two cases are shown. The 'egg inside' curve is for an egg taken from a refrigerator at 4°C. The 'egg outside' curve is for an egg that is initially at the ambient temperature (plotted above), e.g. during a camping trip. Of course, if circumstances were such that the egg has become frozen, then the cooking time would increase dramatically due to the latent heat required to melt it again.
Dr Edward Brooks is reported to have said "It took me five minutes to cook a 'three minute egg'" at Mount Washington Observatory (1917m). It seems that the additional cooking time predicted by this application of the formula is too small.
Assuming that room temperature at the observatory was similar to that sea level, the discrepancy probably arises because the single 'coagulation temperature' Tyolk used to derive the formula is an approximation. Coagulation is a complicated process and does not occur instaneously at a single temperature, but via chemical reactions that get increasingly rapid with increasing temperature. The result is that a higher 'coagulation temperature' is needed to model the lower temperature cooking that occurs at high altitude.
Structure and Composition of Eggs
There is a considerable amount of detailed structure to a hen's egg, but the gross features and properties are as follows:
Shell
The shell accounts for about 9 to 12% of its total weight depending on egg size. It comprises about 94% calcium carbonate with small amounts of magnesium carbonate, calcium phosphate and other organic matter including protein.
Shell strength is influenced by two factors. Firstly, the hen's diet, particularly its calcium, phosphorus, manganese and vitamin D intake. Secondly, egg size, which increases as the hen ages while the mass of shell material that covers cover it stays fixed. Hence the shell is thinner on larger eggs.
Between seven- and seventeen-thousand tiny pores are distributed over the shell surface. As the egg ages, moisture and carbon dioxide diffuses out, and air diffuses in through these causing the air cell to grow and the net mass to decrease. The shell is covered with a protective coating called the cuticle. By blocking the pores, the cuticle helps to preserve freshness and prevent microbial contamination of the contents. This is why good quality eggs (e.g. EC class A) should not be washed, which removes the cuticle, until immediately before they are to be used.
The colour of the shell is determined the breed of hen. Brown-shelled eggs tend to be more expensive because they come from larger birds, and these are more costly to feed.
In the U.K. mass-market eggs seem to crack more easily these days than they used to; this is apparently because their shells are rather thinner than they were twenty or thirty years ago. I believe that this is mainly because the proportion of 'grit' (a calcium supplement) in chickens' diet has been reduced (it's expensive to transport). Eggs need careful handling to avoid damage, which can be invisible to the naked eye.
Pricking the blunt end of an egg does not, as is commonly thought, prevent the shell from cracking; it relieves pressure and reduces the extent to which the egg is forced out through any crack that does develop. Adding vinegar and/or salt to the water also helps by causing the emerging liquid to coagulate, and thereby plug the gap, more rapidly than it would in do in simple hot water.
White (Albumen)
Albumen accounts for most of an egg's liquid weight, about 67%. It consists of four opalescent layers of alternately thick and thin consistencies. The white of a freshly laid egg has a pH between 7.6 and 7.9 and an opalescent (cloudy) appearance due to the presence of carbon dioxide. As the egg ages the CO2 escapes which increases the pH. Egg white also becomes thinner as an egg ages because its protein changes in character. That's why fresh eggs broken onto a plate sit up tall and firm while older ones tend to spread out. The albumen of older eggs is more transparent than that of fresher eggs. Fresh egg whites coagulate in the range 62° to 65°C, the temperatures decrease with increasing pH and hence age. This is why very fresh eggs require more time to cook than older eggs.
Yolk
The yolk (yellow portion) makes up about 33% of the liquid weight of the egg. It contains all of the fat in the egg and slightly less than half of the protein. With the exception of riboflavin and niacin, the yolk contains a higher proportion of the egg's vitamins than the white. All of the egg's vitamins A, D and E are in the yolk. Egg yolks are one of the few foods naturally containing vitamin D. The yolk also contains more phosphorus, manganese, iron, iodine, copper, and calcium than the white, and it contains all of the zinc. The yolk of a large egg yields about 250 kJ of energy. Egg yolks have a pH of about 6.0 which stays relatively constant as the egg ages as there is no CO2 loss. Coagulation occurs in the range 65° to 70°C.
Storing Eggs
According to the American Egg Board, eggs stored at room temperature age more in one day than in one week stored in a refrigerator. Provided they are kept refrigerated, eggs can be stored for 4-5 weeks after the packing date without loss of quality.
How to Boil an Egg
If you need every detail of the process spelled out consult Learn2.com.
Soft-Boiling
There are two common approaches: put the eggs into a pan of boiling water, e.g. Learn2 Method One; or put the eggs into a pan of cold water and it bring to the boil.

tl;dr

How much of this do you have to know to boil an egg?

Oh thank you Mr! Now I have to purchase MATLAB to cook an egg. Grr
(But the heat diffusion process and the trading aren't that far from each other...)