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  • #965,381
  • Mar 3, 2015 4:32am Mar 3, 2015 4:32am
Possible bounce at 1.1152 for 1.1315........
  • #965,382
  • Mar 3, 2015 4:37am Mar 3, 2015 4:37am
Looks like XXX USD will bounce.. WTI on other hand may be nearing end of bounce before bigger drop...
  • #965,383
  • Mar 3, 2015 4:50am Mar 3, 2015 4:50am
Quoting GlobalMacro
{quote} My pleasure. {quote} I use a number of different techniques for probability estimation ... stochastic models , analysis of implied vols vs. actual vols , mc-simulation to just name a few ....
Hmm. I'm trying to get a better knowledge of stochastical methods myself, looking into Bayesian stats atm. I'd like to know more about your '3 sigma' statement, just saw I cannot pm you, but don't want to spam this noisy thread...
Fail better.
  • #965,384
  • Mar 3, 2015 5:00am Mar 3, 2015 5:00am
Quoting Pharm0r
Thanks Glenn, waiting for it to settle. Stops @ 1205 (10 pips), 1176 will be b/e nighty night
shit happens
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  • #965,385
  • Mar 3, 2015 5:06am Mar 3, 2015 5:06am
Quoting amgm2609
Morning all. Was away yesterday, couldn't do any trading. So, it seems down is still the way for EU. Well, at least for today. London apparently changed their stance from bull yesterday to bear today. I'm going short @ 11870 TP 11440. Then I plan to close half and target the other half @ 10830 moving SL to BE. If London keeps the pressure, with the US in the afternoon (they are bearish since last friday) the target(s) should be reached. GL everyone and green pips.
And setting SL @ 11870 BE...
  • #965,386
  • Mar 3, 2015 5:13am Mar 3, 2015 5:13am
dont want to trade euro yet. Missed the yesterday ej buy. If eu drops, i might buy it.
anyway, long on Uj with targets 120.09
Want to enter gj on 183.85 aswell.
EDIT: on swing still long uj from 12.feb after the rumor. On eurusd swing flat now aswell. Already took profits from 1.149 and 1.14.
  • #965,387
  • Mar 3, 2015 5:20am Mar 3, 2015 5:20am
Quoting LarryDarrell
{quote} Hmm. I'm trying to get a better knowledge of stochastical methods myself, looking into Bayesian stats atm. I'd like to know more about your '3 sigma' statement, just saw I cannot pm you, but don't want to spam this noisy thread...
The '3 sigma' statement doesn't mean much in the context of fx returns as it makes the assumption that the returns are normal. (http://en.wikipedia.org/wiki/68%E2%8...80%9399.7_rule). There is ample literature showing that fx returns are not normal on any time frame. Since the tails are fatter, 3 sigma events are not as rare is they would be for normally distributed returns. Rama Cont (2001), de Vries: Stylized Facts..(1994), Pictet, Dacorogna et al: Statistical Study of Foreign Exchange Rates (1997) are good introductions and widely referenced. Hope this helps.
  • #965,388
  • Mar 3, 2015 5:23am Mar 3, 2015 5:23am
Quoting LarryDarrell
{quote} Hmm. I'm trying to get a better knowledge of stochastical methods myself, looking into Bayesian stats atm. I'd like to know more about your '3 sigma' statement, just saw I cannot pm you, but don't want to spam this noisy thread...

first most important knowledge to gain when using stochastic processes in financial markets:


read all about fat-tails, how mighty they can be and how frequent they are (hint: more than we would like)
  • #965,389
  • Mar 3, 2015 5:24am Mar 3, 2015 5:24am
Quoting buaksam
{quote} The '3 sigma' statement doesn't mean much in the context of fx returns as it makes the assumption that the returns are normal. (http://en.wikipedia.org/wiki/68%E2%8...80%9399.7_rule). There is ample literature showing that fx returns are not normal on any time frame. Since the tails are fatter, 3 sigma events are not as rare is they would be for normally distributed returns. Rama Cont (2001), de Vries: Stylized Facts..(1994), Pictet, Dacorogna et al: Statistical Study of Foreign Exchange Rates (1997) are good introductions...


hehe, same thought at the same time
  • #965,390
  • Mar 3, 2015 5:40am Mar 3, 2015 5:40am
Any thoughts about longing ?
  • #965,391
  • Mar 3, 2015 5:40am Mar 3, 2015 5:40am
Quoting LarryDarrell
{quote} Hmm. I'm trying to get a better knowledge of stochastical methods myself, looking into Bayesian stats atm. I'd like to know more about your '3 sigma' statement, just saw I cannot pm you, but don't want to spam this noisy thread...
The pragmatic criticism of technical analysis could lead to EMH.
EMH. The basis for EMH is the economic theory of competitive markets.
FXcube

___
EMH = Efficient Markets Hypothesis
  • #965,392
  • Mar 3, 2015 5:46am Mar 3, 2015 5:46am
Quoting chosiukas
Any thoughts about longing ?
Yes, at around 1.11
  • #965,393
  • Mar 3, 2015 5:49am Mar 3, 2015 5:49am
Quoting Ken A
{quote} Alpha, Beta, Gamma, ...... Three-Sigma
Quoting buaksam
Hope this helps.
Quoting infinitus
more than we would like)
Quoting Forexcube
EMH = Efficient Markets Hypothesis
Thanks people! The concept is more or less clear, I'd just like to find out more how to apply it, eg. in this case how to get to '1.22 is a 3 sigma event'. Is there an indi of sorts?
I've read that the SNB de-peg was a '20-sigma-event', talk about fat tails... This is interesting and I'd like to find out more about the underlying calculation. My logic here: I thought the likelihood was very much below 0.5%, but if general belief puts it at 0.0000000...01 (didn't calculate, please be gentle), it actually made more sense to trade the other way...
Fail better.
  • #965,394
  • Mar 3, 2015 6:03am Mar 3, 2015 6:03am
Quoting chosiukas
Any thoughts about longing ?
watching 1.14 and 1.109, but not for scalps.
  • #965,395
  • Mar 3, 2015 6:05am Mar 3, 2015 6:05am
Quoting janpec1000
Structure h1-4 looks quite bear, this should crash support in next 2 days. Hard to find short entries there though(atm). EDIT: m15 print LL, shorts on table if there is strong retrace.
There it goes...

Got 3 scalps, got 2 lost one, pretty much BE, nothing else at all to enter.
  • #965,396
  • Mar 3, 2015 6:11am Mar 3, 2015 6:11am
Fresh 11th year highs in the dollar !!! and Euro hanging by a thread.

1.116x breached intraday and imminent break in play for NY if we hold the breach until the opening range. 1.118x marginally open for a counter play till then.. Session pretty much done at the top of the hour...

Tracking v closely euro for NY....

sisse
Pending conversations? PM for a chat...I am mainly in OTM now
  • #965,397
  • Mar 3, 2015 6:15am Mar 3, 2015 6:15am
Quoting LarryDarrell
{quote} {quote} {quote} {quote} Thanks people! The concept is more or less clear, I'd just like to find out more how to apply it, eg. in this case how to get to '1.22 is a 3 sigma event'. Is there an indi of sorts? I've read that the SNB de-peg was a '20-sigma-event', talk about fat tails... This is interesting and I'd like to find out more about the underlying calculation. My logic here: I thought the likelihood was very much below 0.5%, but if general belief puts it at 0.0000000...01 (didn't calculate, please be gentle), it actually made more...

for me price movement is kind of

S = k log W

In practice it means: Entropy is the sum of all micro-stati in a macro-status

When entropy gets to high, price may need to find a new macro-status. That are the moments, where we can see the fat-tails.

After that, price most likely will build a distribution in a new macro-status (or location). To bet on mean-reverting processes in this new macro-status is far more successful than betting on mean reverting towards the old macro-status
  • #965,398
  • Mar 3, 2015 6:26am Mar 3, 2015 6:26am
Wait and see if they are serious to defend 1.11500000
  • #965,399
  • Mar 3, 2015 6:27am Mar 3, 2015 6:27am
Buy limit at 1.11550 hited. Lets see whats happen next.
Wish good trade day to all of you!
  • #965,400
  • Mar 3, 2015 6:33am Mar 3, 2015 6:33am
...as well -> 1.1107 is a nice number, so let's see !? -)
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