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The similarity system

  • #5,841
  • Edited 9:29pm Aug 16, 2014 9:10pm | Edited 9:29pm
Quoting Eurusdd
Pay attention to the words(phrases) almost surely and there exists. in the proposition.{image} {image} So, the existence of h and k is an almost sure event meaning apart from some exceptional cases, you should be able to calculate optimal values for h and k.
Hi Eurusdd, You are absolutely right. I think he Meant some thing Else or typo ... i love h and k ...
  • #5,842
  • Aug 16, 2014 9:14pm Aug 16, 2014 9:14pm
Quoting vlady1974
Doing this manually since I can't programme this yet into MT4. LOL Based on what I see, I can't help but draw parallels with the ZZ Bollinger strategy. Using the Fractal Indie (from Hepsibah) this shows the basic Transient Zones. I then delved into lower timeframes but I only went down to 1H and searched for the transition where price was not touched again within that single hour bar. This revealed the 2 green transient prices. So, my interpretation is that the transient prices seem to be indicating a further move south (provided my assumption...
Nice ....
  • #5,843
  • Aug 16, 2014 10:04pm Aug 16, 2014 10:04pm
Quoting Eurusdd
{quote} sure the 0.00005463% is an error.intended 5.463% or 0.05463. my typing sometimes ooh. sorry
Thanks for correcting this. this clears my earlier question:

Quoting vector0
{quote} http://www.forexfactory.com/attachment.php?attachmentid=1490943&stc=1&d=1408156090 Hi LiquidGenius, may i know what is the difference between box and rec? Am i understanding it incorrectly? The low probability (0.000%) is for having consecutive candles that carries a h-transient price? [edit: anyone having same problem as me? coz the way i see it, having 2 consecutive bars with transient price is quite common.]
  • #5,844
  • Aug 16, 2014 11:08pm Aug 16, 2014 11:08pm
Quoting Eurusdd
{quote} look at your chart again and you will see there is something wrong. This is the problem and reason i try to be careful sharing some things. Please get the concept right before you start making such errors. Thank you. Pay attention to the words(phrases) almost surely and there exists. in the proposition.{image} {image} So, the existence of h and k is an almost sure event meaning apart from some exceptional cases, you should be able to calculate optimal values for h and k.
OK, understood.
You are right - the blue box I drew above is indeed a low probability/exceptional event, given a well chosen h and k.
Cheers and thanks.
  • #5,845
  • Edited 12:20am Aug 17, 2014 12:05am | Edited 12:20am
Quoting Eurusdd
{quote} Yes you are wrong. That region was a possible recurrent region but because price never went there, there is nothing to trade. If price had gone below that red-region, then we can assume the red-region is transient and below it is recurrent. In that case, we expect prices below the red region to be re-visited almost surely.
Thanks, but all I was saying is that just because a price doesn't have a rectangle (so is h-recurrent), it doesn't mean that price will return there. It may have been recurrent due to an earlier bar, not a later one. You can see this in several bars on all the charts posted so far, particularly when price is trending. That's why I was questioning Hepsibah's assumption that all prices between top and bottom rectangles are recurrent will be revisited.

(edited last few words)
You reap what you sow.
  • #5,846
  • Aug 17, 2014 3:36am Aug 17, 2014 3:36am
Wow! once again eurusdd, you come through the thread, add some brilliance and all of a sudden the thread goes frantic with pages and pages of posts to read and re-read.

Thank you for sharing your knowledge. I must say that at times, I think you are just teasing us and nothing else. You have proven that you know something that at least 95% of traders don't.

The mathematics side of what you present is way out of my league, and at times the language as well.

However I did understand the concept of you last lesson here (only the very bare basics). Although understanding the bare basics, I think I understand how to apply it in a very simple way (I actually think I am cheating because I am no doing what I think most others here are trying to do).

So..... I think I can recognize the levels where price must return to. I am just not sure where that turn around point is as yet. I will keep rading and re-reading, however I will practice next week and have a crack at the levels.

Thanks again.
Ezzy
What you do is a reflection of you....what I do is a reflection of me.
  • #5,847
  • Aug 17, 2014 4:30am Aug 17, 2014 4:30am
Quoting Eurusdd
{image} Let me explain one way you can trade this fact. I borrowed this picture from a post above. Now at the current development, he placed a ? mark at the red spot because we do not know if the zone developing will be transient yet. But this is where you can beat the market. Let us suppose that A will be a transient zone, then we can expect that the region just above A must be recurrent. Therefore, once price gets into that region, we are in for $$. So, all you have to do is estimate a constant value for k or let is depend on the current bar....
I'm been reading this post the posts attached to it a lot today and just want to check on some things.

In my understanding, if we can predict a transient area, then the area above it has a good chance to be recurrent. However, by that region becoming recurrent it's nulling the transient area isn't it? So we're not really looking at bars/areas that are transient, but rather areas that COULD be transient? I'm just confused because it's been said that the area above "A" can be traded, but if price goes up above the "A" area, the "A" zone is no longer a transient zone. Does that make sense??

Also I am guessing "k" to be pip or rectangle size? I'm still unsure about that..
Thanks eurusdd for sharing with us.
Attached Image (click to enlarge)
Click to Enlarge Name: Capture (1).PNG Size: 29 KB
  • #5,848
  • Aug 17, 2014 5:19am Aug 17, 2014 5:19am
  •  Neio
  • Joined Oct 2012 | Status: Can't think outside?Enlarge the box | 688 Posts
Quoting Eurusdd
Now if you get the h right for a given time frame and at the current price p, the previous bars never hit p, then probability is on your side for a hit within the next h bars because the probability that p is h-transient is very low. If your h is right, this probability should be about 3%. That is 97% of the time, at least one of the next h bars should hit p. This works in theory and in practice for any stochastic process similar to the ones that govern currency prices!!! Very important: If your h is correct, then the height of your rectangle...
I am personally looking to trade the above point on the 15 min TF. I believe I have found the right number for h (or at least a number that I think can work for me). Although not perfect the indicator that Hepsibah posted is very useful for this strategy. I know Eurusdd showed that transient points could occur in the middle of a bar, but I am personally only concerned with transient points that are at the extremes of bars.

The red arrows are where price has not been/returned within h bars (transient). For these I would eventually have taken a loss.
The white arrows are where price had not previously been hit within h bars, but were hit within h bars after the target bar was closed.
I believe I can make consistent entries that will give me an average of 10 pips to the white arrow targets.

Attached Image (click to enlarge)
Click to Enlarge Name: recurrence-15m.png Size: 19 KB


I am also looking to other ways that this could be possibly traded. Maybe trading in the opposite direction of arrows with a small stop hoping to buy/sell at a transient bar where price will not return for a long while.

I guess what I am saying is that we do not need to fully grasp everything that Eurusdd is showing us as long as we can use it to find something that gives us an edge and will work for us personally.

Regards

Neio
An expert is a man who has made all the mistakes which can be made
  • #5,849
  • Aug 17, 2014 5:51am Aug 17, 2014 5:51am
Quoting Neio
{quote} I am personally looking to trade the above point on the 15 min TF. I believe I have found the right number for h (or at least a number that I think can work for me). Although not perfect the indicator that Hepsibah posted is very useful for this strategy. I know Eurusdd showed that transient points could occur in the middle of a bar, but I am personally only concerned with transient points that are at the extremes of bars. The red arrows are where price has not been/returned within h bars (transient). For these I would eventually have taken...
Hi Neio,

Sounds good. and I agree that finding different ways of using the transient zones is a good way to go. One way I am going to try this week is to put limit sells a few pips above and limit buys a few pips below the zones with tp's at the zone since the price appears to snap back very quickly once it takes out the zone.

As you and NorthTrader rightly point out, the fractal indicator doesn't identify the mid-bar transient zones. At the moment I am just identifying these manually as they will provide additional opportunities. If I get the energy together, I may have a go at coding something to pick them out but it may defeat my meagre coding skills. So if anyone else is willing and able.......
  • #5,850
  • Aug 17, 2014 6:19am Aug 17, 2014 6:19am
  •  Neio
  • Joined Oct 2012 | Status: Can't think outside?Enlarge the box | 688 Posts
Quoting hepsibah
{quote} Hi Neio, Sounds good. and I agree that finding different ways of using the transient zones is a good way to go. One way I am going to try this week is to put limit sells a few pips above and limit buys a few pips below the zones with tp's at the zone since the price appears to snap back very quickly once it takes out the zone. As you and NorthTrader rightly point out, the fractal indicator doesn't identify the mid-bar transient zones. At the moment I am just identifying these manually as they will provide additional opportunities. If I get...
Sounds great...I like that idea....waiting for price to pull away and then set up orders to scalp the target for when/if it returns.
That may help to avoid some of the losses.

I believe the mid-bar transient zones could be useful for another strategy. One where price bursts through but has to return to cover some of the areas where price should not be left transient (I believe this is more related to the k value - could be wrong)

So if anyone has any coding skills to be able to write an indicator that can code the h boxes mid-bar I will be interested to hear via PM. I don't think that Eurusdd would want us to share an indicator or our settings but I would be willing to share what I know with anyone who is willing to put the work in to code.

I believe I can operate or I have found enough to make it working without an additional indicator though but it may help to uncover other strategies

Regards

Neio
An expert is a man who has made all the mistakes which can be made
  • #5,851
  • Aug 17, 2014 6:30am Aug 17, 2014 6:30am
Yes , eurusdd suggest that we do not share everything, but it would be really nice if someone could code the indicator with the yellow/red boxes. I dont think it would harm anyone, but it would be a real visual aid for the principle.
  • #5,852
  • Aug 17, 2014 7:00am Aug 17, 2014 7:00am
Apologies in advance for sticking an MT4 question/request in here. This could however, save time for others in same boat.

I'm wanting to replicate Neio's indicator modification (white for recurrent fractals). Is someone able to decipher the code into a document or something like that?
The counts are confusing me. :-) I don't know where I can stick my new buffers for the white colour given they are not meant to be the most High or most Low of the range in question.

Thanks in advance
A pip is only worth it if you know how much you risked to earn it
  • #5,853
  • Aug 17, 2014 7:20am Aug 17, 2014 7:20am
Quoting hepsibah
{quote} <snip> If I get the energy together, I may have a go at coding something to pick them out but it may defeat my meagre coding skills. So if anyone else is willing and able.......
I'm working on a C# indicator now to cover the bars' midpoints too. It will work on MultiCharts and NinjaTrader (with slight modification). I don't know anything about MQL but if it's anything like C# you should be able to adapt it. I'll try to post it when it's finished.
You reap what you sow.
  • #5,854
  • Aug 17, 2014 7:57am Aug 17, 2014 7:57am
Quoting NorthTrader
{quote} I'm working on a C# indicator now to cover the bars' midpoints too. It will work on MultiCharts and NinjaTrader (with slight modification). I don't know anything about MQL but if it's anything like C# you should be able to adapt it. I'll try to post it when it's finished.

Many thanks
  • #5,855
  • Aug 17, 2014 8:56am Aug 17, 2014 8:56am
It amazes me that no-one has deciphered eurusdd original post yet. Everyone has jumped on h and run with it, without actually thinking about the implications the original proposition.

Here is my take.
eurusdd uses set notation. In my interpretation, it reads something like this: At any point in time and on any time frame, either price+k or price-k is recurrent for any given h.
Therefor, k is the number of pips (above or below) current price before price becomes recurrent.

This leads to a few corollaries (from me).
1. As h decreases, one would expect that k must increase.
2. Each value for h includes all transient prices from h values greater than it - so the only way to reduce the number of transient prices on a chart is to increase h.
3. The transient prices should be comparable across time frames is you take into consideration the number of bars contained in one time frame to the next.

One thing that confuses me is this statement by eurusdd "Very important: If your h is correct, then the height of your rectangle should be very small. This means that most prices choose to be h-recurrent!"
If you look at my second corollary, adjusting h only increases or decreases the number of transient prices on a chart, and not the height. What I think eurusdd might be getting at is that sometimes transient prices "stack" across multiple bars during strong moves, and you might think of these stacked transient prices as a continuous transient price. This stacked price would then show up on higher time frames after taking into account my 3rd corollary.

Quoting Eurusdd
This is the heart of the matter and it works on any time frame. I will prove this to you. {image}
  • #5,856
  • Aug 17, 2014 9:13am Aug 17, 2014 9:13am
Quoting Sciurus
It amazes me that no-one has deciphered eurusdd original post yet. Everyone has jumped on h and run with it, without actually thinking about the implications the original proposition. Here is my take. eurusdd uses set notation. In my interpretation, it reads something like this: At any point in time and on any time frame, either price+k or price-k is recurrent for any given h. Therefor, k is the number of pips (above or below) current price before price becomes recurrent. This leads to a few corollaries (from me). 1. As h decreases, one would expect...
It may be because the value of k is one that can be yours to keep.
I've already accounted for that and have one or two values that Eurusdd has "suggested".
A pip is only worth it if you know how much you risked to earn it
  • #5,857
  • Aug 17, 2014 9:39am Aug 17, 2014 9:39am
Quoting Neio
{quote}So if anyone has any coding skills to be able to write an indicator that can code the h boxes mid-bar I will be interested to hear via PM.
I have already done this. It is really not difficult. It looks at price prior to current price and ignores price after. The problem with the fractal indicator is that it requires price to move a certain number of bars before it prints the fractal.
  • #5,858
  • Aug 17, 2014 10:01am Aug 17, 2014 10:01am
  •  Neio
  • Joined Oct 2012 | Status: Can't think outside?Enlarge the box | 688 Posts
Quoting Sciurus
It amazes me that no-one has deciphered eurusdd original post yet. Everyone has jumped on h and run with it, without actually thinking about the implications the original proposition. Here is my take. eurusdd uses set notation. In my interpretation, it reads something like this: At any point in time and on any time frame, either price+k or price-k is recurrent for any given h. Therefor, k is the number of pips (above or below) current price before price becomes recurrent. This leads to a few corollaries (from me). 1. As h decreases, one would expect...
My understanding of k is the same as yours but I think that it does affect the number of transient zones. My feeling is that if price enters within the k value it invalidates that as a transient zone and that zone would be considered recurrent (even though all price points within K might not have been reached).

I believe for zones that are just at the end of the bars the k value may not be that critical. Not completely sure just my interpretation based on what I have understood. I think the K value is more critical for mid-bar zones.

It is difficult for me to assess properly without an indicator as I have to measure and draw each zone by hand. As mentioned I believe I have found something that I believe can work without worrying about k values.

Regards

Neio
An expert is a man who has made all the mistakes which can be made
  • #5,859
  • Aug 17, 2014 10:14am Aug 17, 2014 10:14am
  •  Neio
  • Joined Oct 2012 | Status: Can't think outside?Enlarge the box | 688 Posts
Quoting Sciurus
{quote} I have already done this. It is really not difficult. It looks at price prior to current price and ignores price after. The problem with the fractal indicator is that it requires price to move a certain number of bars before it prints the fractal.
It is difficult for a non-coder.

Noted the indicator Hepsibah is not ideal but I have been able to adjust the settings in a way that I believe will work for me.
An expert is a man who has made all the mistakes which can be made
  • #5,860
  • Aug 17, 2014 11:26am Aug 17, 2014 11:26am
I've just finished coding an indicator that automatically draws the yellow/red zones around fractals.

I'll load up up for all to use very soon
*** Shoot for the moon. Even if you miss, you'll land among the stars. ***
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