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The similarity system

  • #12,001
  • Nov 10, 2014 5:32pm Nov 10, 2014 5:32pm
In the note it says

For example, in Fig 1 we see that the <k> for the end-of-the bar with specified input parameters is 0.0002 = 2 pips. While the probability that the zone will be cleared within specified h_right is 85%, the probability that the price will reach within 6 pips if it is not cleared (3*<k>=3*2 pips) to clearing it is 99.3197% !

Where can I find specified parameter 0.0002 in Fig 1? (I'm only trying to understand this, no offense)

Thanks
J
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  • #12,002
  • Nov 10, 2014 5:36pm Nov 10, 2014 5:36pm
Quoting Barbaresco
3. Confirmed Top or Bottom TZ followed by a PTZ in the same direction - trade against this - thinking of scaling in and TP'ing all orders when an opposite PTZ is made - have yet to code, but EU looked like only 14 trades last week - once coded will look back to find worst case scenarios to figure risk and SL
M1 results for above on EU h-30:

Not filtering for mid-zones, the strategy is breakeven with one entry and an SL of 40 pts. Using an offset entry (X points better than the indicated entry), the average results are: Offset -7, +22 pts/wk; Offset -15, +18 pts/wk; Offset -25, +45 pts/wk. Numbers are net of spread/commissions and losses, which avg 1 per week. Of course the more you offset, the fewer trades there are.

Still not happy. Really wanted TZ's to be working on their own, but might be time to add sub-sequences.
  • #12,003
  • Nov 10, 2014 5:38pm Nov 10, 2014 5:38pm
Quoting Barbaresco
{quote} Some more M1 data: 1. Assuming any PTZ that is older than 50% of your h (chosen for 3%) will become a TZ, and trading away from this "TZ", with a TP of a PTZ in the opposite direction, and an SL at the assumed TZ, yielded approx. 61% W:L, with less than favorable R:R. Net loser, but getting closer. 2. Trading away from a confirmed TZ ( put SL here) if and only if a PTZ has not yet been made in the opposite direction (TP when it makes the PTZ) yielded approx. 72% W:L, also with less than favorable R:R. Net it comes out a little better than...
Hi Barbaresco,

I will be really interested in your results for the third scenario. I do not have the coding capabilities as you so I will just wait for you to put your analysis forward. Thanks heaps for your constructive contribution.

Ravs
  • #12,004
  • Nov 10, 2014 5:44pm Nov 10, 2014 5:44pm
Quoting jlee425
In the note it says For example, in Fig 1 we see that the <k> for the end-of-the bar with specified input parameters is 0.0002 = 2 pips. While the probability that the zone will be cleared within specified h_right is 85%, the probability that the price will reach within 6 pips if it is not cleared (3*<k>=3*2 pips) to clearing it is 99.3197% ! Where can I find specified parameter 0.0002 in Fig 1? (I'm only trying to understand this, no offense) Thanks J {image}
Hi, that was an error in the text (already reported by NorthTrader this morning (http://www.forexfactory.com/showthread.php?p=7858465#post7858465)).
Please download the text again.
k
  • #12,005
  • Nov 10, 2014 8:48pm Nov 10, 2014 8:48pm
Quoting Barbaresco
{quote} M1 results for above on EU h-30: Not filtering for mid-zones, the strategy is breakeven with one entry and an SL of 40 pts. Using an offset entry (X points better than the indicated entry), the average results are: Offset -7, +22 pts/wk; Offset -15, +18 pts/wk; Offset -25, +45 pts/wk. Numbers are net of spread/commissions and losses, which avg 1 per week. Of course the more you offset, the fewer trades there are. Still not happy. Really wanted TZ's to be working on their own, but might be time to add sub-sequences.
Well done, Barbaresco. I'd love to be able to code these test systems myself but simply don't have time at the moment. Keep up the good work and please keep us updated with your progress
You reap what you sow.
  • #12,006
  • Nov 10, 2014 11:19pm Nov 10, 2014 11:19pm
Here is version 2 of my TZPriceAnalysis indicator for NT7 (NinjaTrader).

Attached File(s)
File Type: zip TZPriceAnalysis_V2.zip   3 KB | 623 downloads


It includes the option to show on the chart h-recurrent zones that occur immediately after h-transient zones at the same price (as well as all h-transient zones). This allows you to see more clearly what price does when it returns to a h-transient price level. This new option is disabled by default. You can enable it from the Parameters section of the indicator:

Attached Image


I've also added more stats to the last line of the Output window and the chart.

Attached Image (click to enlarge)
Click to Enlarge Name: $EURUSD (60 Min) 11_11_2014.jpg Size: 87 KB


I'll post V2 of my other indicator (TZBarAnalysis) later this week hopefully.
You reap what you sow.
  • #12,007
  • Nov 11, 2014 5:29am Nov 11, 2014 5:29am
Long from 1.2404 to 1.247x
If you fall, I shall be there. - The floor
  • #12,008
  • Nov 11, 2014 7:36am Nov 11, 2014 7:36am
Attached Image
  • #12,009
  • Nov 11, 2014 8:15am Nov 11, 2014 8:15am
Quoting Eurusdd
{image}

LOL this diagram might be too complicated for some :-)

Nonetheless, love the fancy colors so easy for the sore Forex eyes how long did this take you - you were like using Adobe Photoshop all morning..must be exhausting.
If you fall, I shall be there. - The floor
  • #12,010
  • Nov 11, 2014 8:33am Nov 11, 2014 8:33am
Quoting Ullen
This is for all the people that likes to experiment a lot. I've tried using the renko (from the champ Kiads) combined with TZ concept, and tested it with 10 SL & 10 TP. 89% win rate. {image}
can you upload indicators please???
DON'T GIVE UP
  • #12,011
  • Edited 11:12am Nov 11, 2014 10:14am | Edited 11:12am
158 mins remaining for the signal validity!!!
  • #12,012
  • Nov 11, 2014 10:27am Nov 11, 2014 10:27am
Quoting Eurusdd
{image}
Hey eurusdd, i see you have started dropping new gems. Dont even have time to reply on the thread anymore. I have been preoccupied with TZ studies and testing. Building my system. So far so good as can be seen from my trade explorer. I still have a lot to learn though.
God enrich you more and more
  • #12,013
  • Nov 11, 2014 10:31am Nov 11, 2014 10:31am
Quoting Eurusdd
280 mins remaining for the signal validity!!!
nice call!!!
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  • #12,014
  • Nov 11, 2014 10:55am Nov 11, 2014 10:55am
Quoting LITEchild
{quote} nice call!!! {image}
Hi LITEchild
Nice chart,I see some orange candle,which Indicator do you use?
thx
  • #12,015
  • Edited 12:18pm Nov 11, 2014 12:03pm | Edited 12:18pm
38 mins remaining for the signal. full range covered!
  • #12,016
  • Nov 11, 2014 12:16pm Nov 11, 2014 12:16pm
Quoting Eurusdd
80 mins remaining for the signal. full range covered!
  • #12,017
  • Nov 11, 2014 12:27pm Nov 11, 2014 12:27pm
Quoting Eurusdd
38 mins remaining for the signal. full range covered!
I had my zone cleared today too. There is very little doubt remaining that the principle of similarity and of transient zones is valid.
If you are good at something, never do it for free--Joker
  • #12,018
  • Nov 11, 2014 12:48pm Nov 11, 2014 12:48pm
Quoting Kiads
{quote} I see it... I see it.. Yay... Thank You Chief.... {image} MTH

Started looking at SS. Stuck at the D1 example EURUSDD gave. I see in that example, the 3 candles 10/26,10/27,10/28:
O: 1<2<3
H: 1<2<3
L: 1>2<3 - this is the only sequence that hasn't already satisfied
C: 1<2<3
OHLC: 1<2<3

L: 1>2<3 - if candle 4 goes down, then I can see that candle 5 would want to be red in order to not fail. However, if candle 4 goes up, candle 5 can be either green or red and not fail. I also did not see that the previous 5 candle set had failed. So, I don't see why one of the next 2 candles needed to be red, as EURUSDD stated.
  • #12,019
  • Nov 11, 2014 2:08pm Nov 11, 2014 2:08pm
GBPJPY M5-M1

Hello. I've only read the first post, but I wanted to try. I wonder if I made good use of this strategy, which has provided me about +60 pips.
Or if it was beginner's luck,
Thank you.
Attached Image (click to enlarge)
Click to Enlarge Name: simi gbpjpy.PNG Size: 121 KB
Donde hay Patron no manda Marinero
  • #12,020
  • Nov 11, 2014 2:59pm Nov 11, 2014 2:59pm
Quoting Barbaresco
{quote} M1 results for above on EU h-30: Not filtering for mid-zones, the strategy is breakeven with one entry and an SL of 40 pts. Using an offset entry (X points better than the indicated entry), the average results are: Offset -7, +22 pts/wk; Offset -15, +18 pts/wk; Offset -25, +45 pts/wk. Numbers are net of spread/commissions and losses, which avg 1 per week. Of course the more you offset, the fewer trades there are. Still not happy. Really wanted TZ's to be working on their own, but might be time to add sub-sequences.
M1 Update:

All of the TZ strategies I have tested seem to have the same problem - W:L is good or great, but R:R is bad or terrible. Increasing R:R kills W:L. So, why not try to use this to our advantage. If small wins can't keep us ahead of the large losses, why not take small losses and get propelled by the large wins.

So, with the quoted example from above, instead of running a single trade with the offset of 25 pts for avg +45 pts/wk, I checked running the strategy in reverse with multi-entry up to the 25-pt threshold. With 1 trade every point, for a max of 25 trades, and each trade sized 1/25 of the single-trade stategy, this method increased avg wkly revenue to +380 lot-equivalent pts. Worst run of losses totaled approx. 2 days of avg revenue. I will make some code tweaks and start running this to see if forward testing confirms.
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