Statistical mean of the market [quant corner]

Quoting Innate

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PipMeUp, That is really cool. So if I understand, you are using range bars that will only close when price drifts a certain distance from the MA? By forcing the close of the bar the MA updates and keeps 'hugging' the current price. What do you use to measure the 'distance' of price from the MA to force the close of the range bar?

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Quoting Proximus

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{quote} No you dont understand, the 2 charts don't align, therefore if you backtest only on the price chart you will get a fake backtest result which doesnt match reality. Because only the time*price chart which the broker gives is valid, there you execute the trades at whatever price the broker gives you, not at synthetic bars which you create as you wish. {image} {image} The 2 charts doesnt match. The trades signalled on the CRB chart, lagg half a day, if you put the trades according to those signals, the broker's price is not there anymore so...

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Quoting PipMeUp

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{quote} My broker doesn't give me a time*price chart. It feeds me with ticks. The ticks contain a timestamp, a bid, an ask and the volume that I happilly drop. I build all my bars myself from the ticks. Gaps are taken into account. If the highs and lows of the time bars don't align with the range bars on the picture that's simply because I render the wicks at the middle of the rectangle making up the body of the candle. There is no delay. The left side of the bar matches the time at which the bar started and the right side of the bar matches the...

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Quoting Proximus

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{quote} No you dont understand, the 2 charts don't align, therefore if you backtest only on the price chart you will get a fake backtest result which doesnt match reality. Because only the time*price chart which the broker gives is valid, there you execute the trades at whatever price the broker gives you, not at synthetic bars which you create as you wish. {image} {image} The 2 charts doesnt match. The trades signalled on the CRB chart, lagg half a day, if you put the trades according to those signals, the broker's price is not there anymore so...

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Quoting PipMeUp

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Hi! I don't understand what you call fake or synthetic ticks. The ticks are the ones in your database they are real, aren't they? Something is wrong with your charts. Look at the first screenshot 32nd bar: it isn't possible that a green bar (up) has got an upper wick. Also there are way too many gaps all over the place for a liquid pair like E/U. I hope you use tick data and not 1min interpolation.

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Quoting PipMeUp

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Hi! I don't understand what you call fake or synthetic ticks. The ticks are the ones in your database they are real, aren't they? Something is wrong with your charts. Look at the first screenshot 32nd bar: it isn't possible that a green bar (up) has got an upper wick. Also there are way too many gaps all over the place for a liquid pair like E/U. I hope you use tick data and not 1min interpolation.

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      double O=0, H=0, L=0, C=0;
            O = OPEN[1];
            int index = 1;
            for (int i = 1; i <=TOTALSIZE; i++)
            {
    
                if (LOW[i] < O - (SIZE * Point) || CLOSE[i] < O - (SIZE * Point))
                {
                
                    H = O;
                    L = O - (SIZE * Point);
                    C = CLOSE[i-1];
                    SAVIOUR[index]=DATE[i] + "," + HOUR[i] + "," + O + "," + H + "," + L + "," + C;
                    index++;
                    //next open
                    O = LOW[i];
                }
                else
                if (HIGH[i] > O + (SIZE * Point) || CLOSE[i] > O + (SIZE * Point))
                {
                  
                    H = O + (SIZE * Point);
                    L = O;
                    C = CLOSE[i - 1];
                     SAVIOUR[index] = DATE[i] + "," + HOUR[i] + "," + O + "," + H + "," + L + "," + C;
                     index++;
                    //next open
                    O = HIGH[i];
                }

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Why it cant have an upper wick? The HIGH-LOW is always equal with the CRB size, while the CLOSE>OPEN and CLOSE<HIGH? I dont understand.

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I actually use M1 data because it's much faster this way

    @Override
    public void update(Tick tick) // <-- I stream my ticks, all my filters work like that input -> [FILTER] -> output (I chain them)
    {
        // I may already have processed this tick when I resume the construction
        // (application restarted and is resynch'ing with the broker)
        long time = tick.getTimestamp();
        if (time < lastTimestamp) return;
        // price is (tick.bid + tick.ask)/2
        double price = tick.getPrice();
        if (candle == null) {
            // Either the very first candle or the first candle after a restart.
            candle = new Candlestick(price, time, tick.getSpread());
        }
        else {
            // Update the stats of the candle. I keep O, H, L, C, their respective timestamps, the greatest spread
            // and the number of up and down ticks.
            candle.update(tick);
            if (price - candle.getLow() >= range) {
                // Price escapes by the high
                double newPrice = candle.getLow() + range;
                // Take care of the gaps. I prefer a candle too big rather than filling with dummy fake candles that never existed
                while (price - newPrice >= range) {
                    newPrice += range;
                }
                
                // This is the open price of the next candle. Note that the close of the candle is a tradable price (=the current tick)
                // but the open of the (next) candle may be virtual/fake/synthetic.
                price = newPrice;
            }
            else if (candle.getHigh() - price >= range) {
                // Price escapes by the low
                double newPrice = candle.getHigh() - range;
                while (newPrice - price >= range) {
                    newPrice -= range;
                }
                
                price = newPrice;
            }
            else {
                // Not broken yet
                return;
            }
            // finalize the candle
            Candlestick retCandle = candle;
            retCandle.setTimestampClose(time);
            // prepare the next one
            candle = new Candlestick(price, time, tick.getSpread());
            candle.initTickVolume(retCandle.getClose());
            // notify the subscribers this will also save the candle on the disk
            notify(retCandle);
        }
    }

Quoting PipMeUp

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{quote} It is impossible per construction. The next bar happens when a tick appears outside of the range. If the tick escapes the range by the high, the close of the bar is at the high. A bearish bar closes on its low when a tick escapes the range by the low side. Candles can't close inside their range. I think this condition is wrong: if (LOW < O - (SIZE * Point) || CLOSE < O - (SIZE * Point)) We don't care the distance from the open price. The range is defined by the highest tick minus the lowest tick. {quote} Come on. First you don't care...

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Quote

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Come on. First you don't care because you're not yet at an optimisation phase. Second it's not that slow to build from ticks even with a mechanical HDD and I suspect you've got a SSD from the timing you gave so far.

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However i`ve checked on all my compilers (mt4 EA's publicly available even on this forum) and those which compile directly in MT4, all of them had the HIGH-LOW difference exactly the size of the RANGE, so this part i dont understand why it isn't so.

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Secondly i dont know how you do your research, but i look very deeply into the combinations possible, an average calculation for me has atleast 1m permutations (excluding the iteration which runs though the data).

Quoting PipMeUp

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{quote} Because they interpolate from 1 min bars. They cut the bar anywhere without concern if there is a tradable tick here or not. A 5 pip gap can easily happen inside the 1 minute. {quote} I don't use brute force. I write the equations on paper then I code them. Once the chart is built it is written on disk. New bars are appended. I don't rebuild the chart each and every time.

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Quote

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the difference is that you use the difference between the current price and the start price

Quoting PipMeUp

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{quote} No in the first IF I use the difference between the current price (price=tick.getPrice()) and the lowest received thus far in the forming candle (candle.getLow()). In the second I use the difference between the current price and the highest received thus far in the forming candle (candle.getHigh()). The start price is not used (it would be candle.getOpen())

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Its the same, the difference is that you work in real time and you dont have the ticks stored in an offline array format like me, i already got the O,H,L,C in an array and just transform them, when you work in real time first you collect the ticks and simultaneously check weather any of them is outside the RANGE of the established CRB range choice and compare it to last one.

Quoting PipMeUp

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{quote} You have to cut inside the 1 min candles. The same 1 min candle can overlap two CRB because the CRB can exceed the range while the price is travelling from the 1min low to the 1min high. You have to interpolate the price movement inside the bar. You have to keep track of the highest and lowest of the current CRB. The result will be as good as the interpolation: poor with fake prices. You know you'll have to do it from the ticks at some point, don't do the job twice.

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            SAVIOUR[0]="DATE" + "," + "HOUR" + "," + "O" + "," + "H" + "," + "L" + "," + "C";
            double O=0, H=0, L=0, C=0,maxi,mini;
            bool UPPER = false;
            O = OPEN[1];
            maxi = OPEN[1];
            mini = OPEN[1];
            int index = 1;
            for (int i = 1; i <=TOTALSIZE; i++)
            {
                //------------------------------------------
                //CHECK THE HIGHEST HIGH
                if (HIGH[i] > maxi)
                {
                    maxi = HIGH[i];
                    UPPER = true;
                }
                //------------------------------------------
                //CHECK THE LOWEST LOW
                if (LOW[i] < mini)
                {
                    mini = LOW[i];
                    UPPER = false;
                }
                //------------------------------------------
                // IF HIGHEST HIGH EXCEEDS THE RANGE
                if ((maxi-mini)/Point>SIZE && UPPER)
                {
                
                    H = maxi;
                    L = mini;
                    C = maxi;
                    SAVIOUR[index]=DATE[i] + "," + HOUR[i] + "," + O + "," + H + "," + L + "," + C;
                    index++;
                    //NEXT OPEN GETS THE HIGEST HIGH VALUE
                    O = HIGH[i];
                    //RESET THE EXTREMITIES
                    maxi = O; //this is O not 0
                    mini = O; //this is O not 0
                }
                else
                //------------------------------------------
                    // IF LOWEST LOW EXCEEDS THE RANGE
                    if ((maxi - mini) / Point > SIZE && !UPPER)
                {
                    H = maxi;
                    L = mini;
                    C = mini;
                     SAVIOUR[index] = DATE[i] + "," + HOUR[i] + "," + O + "," + H + "," + L + "," + C;
                     index++;
                    //NEXT OPEN GETS THE LOWEST LOW VALUE
                    O = LOW[i];
                    //RESET THE EXTREMITIES
                    maxi = O;  //this is O not 0
                    mini = O;  //this is O not 0
                }
                else
                {
                //NO EXCEPTION
                }