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Trading made simple with added BS

  • #161
  • Feb 28, 2016 9:46am Feb 28, 2016 9:46am
Obviously, my test could be different than yours. But I had similar results.

I would have to really go back and dig up the tests I did, but there was a period that worked really well, but outside of that period for several years left and right of that period where the DD was really large.

That might not reflect in your tests of course as you may have better numbers than I did. Just mentioning it as I saw a very similar equity curve in some of my earlier tests.
  • #162
  • Mar 8, 2016 10:48am Mar 8, 2016 10:48am
Quoting Neio
{quote} I will say this. It is important that we think for ourselves and make our own discoveries as this will give us confidence to trade. Keep on asking yourself, how you can find answers to important questions about price movement. Here is my kind of thinking when looking at OHLC data. Say if I was to just go long on candle open (not suggesting you trade like this). At what point would I know that I am probably trading in the wrong direction of the candle/market and get out? Is it possible to learn this from OHLC...
With this question(highlighted), and talking with someone else about the ideas presented in this thread....

Would another reasonable question be(more so for entering a trade in the first place), "At what point of a bar do I think I am likely to be correct more so than not, based on what price has done at a certain point(time) of it's formation?"
  • #163
  • Sep 11, 2016 9:14pm Sep 11, 2016 9:14pm
Quoting nunrgguy
Unfortunately my serious health issues have meant that I've spent the last 2 days in bed with man flu,a bottle scotch and a cheap hooker. Long Euro went well, I'm 69 up. She calls me BIG nun because of the costume I make her wear and the size of my endowment. I'm sure if you trade the rules as presented in post 1 you'll make lots of money. Can someone take over the thread now, also with a nick starting...
Here you really got the essence of the TMS thread lol


The only thing missing is the guy with a nick starting with "nu" to hijack the thread
  • #164
  • Sep 11, 2016 9:33pm Sep 11, 2016 9:33pm
I read the first three pages I got to say Im tired of reading the words of a POT HEAD!
  • #165
  • Oct 8, 2016 1:30pm Oct 8, 2016 1:30pm
You have NO idea how deep the rabbit hole goes
  • #166
  • Jul 27, 2017 12:49am Jul 27, 2017 12:49am
Quoting nunrgguy
if I presented some completely made up stats such as: over the last 500 bars, when the week ended green, the lower wick was 50 pips or less 50% of the time while the high-open was greater than 50 pips 80% of the time. Could you see the edge?
I tested this idea. I created a program in c# on tick data. I got stats on custom timeframe ( 9:00-18:00), because there is the biggest range of the day in these hours. So my stats are: wick(UP bar, open-low) <20p = 48% ;<30p = 66%; the other side(UP bar, high-open) >=20p = 96.5%; >=30p = 91%.
You can see the edge here. But the wick is a problem. You don't know when the market will do the true wick. It can do 10p wick below open, go above open 5p, then go down 15p below open and do true wick. So after first wick you got SL, but on stats it is TP, because wick <20p. So when I evaluate this , then there is no edge in this.And I tried various combinations of SL, but your balance goes down. Maybe with money management you can successfully trade this.I try to create a strategy,which shows positive expectancy with equal lot size.
  • #167
  • Jul 29, 2017 3:09am Jul 29, 2017 3:09am
Quoting IenDzi
{quote} I tested this idea. I created a program in c# on tick data. I got stats on custom timeframe ( 9:00-18:00), because there is the biggest range of the day in these hours. So my stats are: wick(UP bar, open-low) <20p = 48% ;<30p = 66%; the other side(UP bar, high-open) >=20p = 96.5%; >=30p = 91%. You can see the edge here. But the wick is a problem. You don't know when the market will do the true wick. It can do 10p wick below open, go above open 5p, then go down 15p below open and do true wick. So after first wick you got SL, but on stats...
How about :
Probability of [High-Open] being > than X , on the condition that [Open-Low] = Z ?
or
What is the average [High-Open] in instances where [Open-Low] <= X ?
The truth is hidden from you
  • #168
  • Jul 29, 2017 8:19am Jul 29, 2017 8:19am
Quoting MaxenshteinD
{quote} How about : Probability of [High-Open] being > than X , on the condition that [Open-Low] = Z ? or What is the average [High-Open] in instances where [Open-Low] <= X ?
I tested a lot of variations:
*do not include wicks; after open + x pips = opened buy order, TP was various too, depends of high-open: 30-95% of stats(frequency distribution); opposite with sells.
* included wicks: open => did wick, which was y < wick < x pips => retest open = opened trade;
* included wick and created body > wick: did wick y < wick < x pips => forming body > x pips = trade open;
* tried getting pullback for efficient entry in the above variations;
The end is the same, balance goes down. OHLC stats show stats when true Open, High, Low, Close is. When trading in real market you only know true Open. High, Low, Close can change a lot of times. You know only true open price, you don't know direction, true low, true high. What I think the edge can be:
1.[UP bar, 1hour] the candle creates low [0-30) minutes: 82 % of the time;
the candle creates high (30-59] minutes : 76%; the candle creates low first, then creates high more frequently. The stats are with bull and bear bars, I only say UP, for visualizing;
2. High-Open > open- low(wick): In average it's 3 times; So what that means, we get movement in one side more than another, but the problem we don't know direction.

One more interesting stat: open => open +1 pip => there is about 60-65% to go to open + 2 pips, then go back to open;
with open + 2 pips it's lower; and with open + 8 pips and more it's 50%. So with smaller pips you can't beat spread, but get higher win%. With higher pips, you get 50:50 win%. No win either.

Also I have stats how market moves in zigzags with minimum zigzag movement in pips. I tried everything I thought, pullbacks, extensions, no way to beat the market. But I know how market moves now, and my next plan is to create something like grid and money management strategy, which goes to trend direction only.
I know it's not the edge I wanted, but I can't find any inefficiencies in the market.
  • #169
  • Jul 30, 2017 9:45am Jul 30, 2017 9:45am
Quoting IenDzi
{quote} I tested a lot of variations: *do not include wicks; after open + x pips = opened buy order, TP was various too, depends of high-open: 30-95% of stats(frequency distribution); opposite with sells. * included wicks: open => did wick, which was y < wick < x pips => retest open = opened trade; * included wick and created body > wick: did wick y < wick < x pips => forming body > x pips = trade open; * tried getting pullback for efficient entry in the above variations; The end is the same, balance goes down. OHLC stats show stats when true Open,...
The best luck I ever had with this was inverse risk:reward.
But it was curve fiting.
However I find it a great filter for intraday trading.
The truth is hidden from you
  • #170
  • Nov 27, 2020 2:36am Nov 27, 2020 2:36am
As you skip merrily along
Through the sunny meadow
Chasing the beautiful rainbow
You notice the pretty butterflies
As they flutter by
You jump as you skip
Jump Jump Jump away
Until one day you catch a butterfly
As it flutters by
You see the butterfly is paper
And on it is written
'I owe you ten dollars'
And from then on you were smitten
You continue
On your merry way
And let go of the paper
It floats merrily away
Before you is the rainbow
That's where you're bound
As you skip through the meadow
With nothing in your hand
Another year passes and you jump
And you catch a butterfly
As it flutters by flutters by
'I owe you twenty dollars'
On it is writ
And you begin to understand
That this in your hand
Has more value than everything in the land
You pick a hand of straw
Put it in your mouth
And begin to exercise your jaw
You skip on and the butterfly floats away
Never mind you think
I know there's more and it's getting larger by the day
You keep on skipping
Towards the ever present rainbow
Surely not long now
You take a rest to ponder
'If I skip even faster I'll get much sooner to yonder'
You double your efforts, skipping night and day
Chasing the rainbow, come what may
For the hell of it you catch another butterfly
'I owe you one hundred dollars' it says
And this makes you glad
Never before had so much wealth be had
'If I only can get to the rainbow all will be mine'
Your mind races away as you urgently run, trip and fall
In the sunny meadow
Now it all goes dark
And you realise all the butterflies were the same
Same colour, same shape, same size
Just the number that kept on growing and growing
And that you were never as rich a man as the day you started
Skipping in the meadow
Now the dark spirit is before you
He grants you a request
You say
'Tell me what is the secret of the rainbow and the butterflies'
The spirit says
'Oh poor foll that you are
The rainbow is but the f@rt of a dying unicorn
as it rots and decays
and the butterflies,
well they are his empty promises to pay
me for some straw he borrowed
many years ago
every year I visit the unicorn and he promises
he'll pay me next year
and I say 'if it's next year it will have to be more' '
And I ask
'but if the butterflies are just broken promises with what will he pay?'
And the spirit says
'with his life of toil and struggle, chasing butterflies in the sunny meadow'
  • #171
  • Nov 27, 2020 12:07pm Nov 27, 2020 12:07pm
Quoting nunrgguy
As you skip merrily along Through the sunny meadow Chasing the beautiful rainbow You notice the pretty butterflies As they flutter by You jump as you skip Jump Jump Jump away Until one day you catch a butterfly As it flutters by You see the butterfly is paper And on it is written 'I owe you ten dollars' And from then on you were smitten You continue On your merry way And let go of the paper It floats merrily away Before you is the rainbow That's where you're bound As you skip through the meadow With nothing in your hand Another year passes and you...

Kewl Are you back?

Welcome

I love your insights

Regards

Swnlobo
  • #172
  • Dec 5, 2020 10:26am Dec 5, 2020 10:26am
When the stale wind blows
Race to the shelter
No-one will come
All alone
All alone
In a state of despair
When the stale wind blows
  • #173
  • Dec 5, 2020 1:00pm Dec 5, 2020 1:00pm
Quoting nunrgguy
When the stale wind blows Race to the shelter No-one will come All alone All alone In a state of despair When the stale wind blows
Wow
you came back to your thread dead years ago.
This is not common.
  • #174
  • Jun 18, 2023 5:24pm Jun 18, 2023 5:24pm
Quoting nunrgguy
For 1 you SHOULD see that if the CURRENT candle went red that if it then turns green and the low was less than x% there's a reasonable chance of it staying green
What a pity such nuggets haven't been discussed more ... Another proof of the inefficiency of forums.

My take on this. Below is the distribution for close wick ranges, given particular open wick ranges. The red rectangle is imo the region where the edge exists for a bullish H4 candlestick.
Attached Image (click to enlarge)
Click to Enlarge Name: screenshot.png Size: 9 KB
  • #175
  • Jul 8, 2023 8:55am Jul 8, 2023 8:55am
Just a small programming exercise to avoid getting rusty (and to present more beautiful plots than in my last post). And of course to support nunrgguy's statements:

First the frequency distributions for OH and OL ranges in bull/bear candles:
Attached Image (click to enlarge)
Click to Enlarge Name: screenshot.png Size: 11 KB
OH is on average larger in bullish candles than OL. Vice versa for bear candles.

Then the cumulative frequency distributions:
Attached Image (click to enlarge)
Click to Enlarge Name: screenshot.png Size: 13 KB
In ...
... bull candles more than 50 % of the lower wick has a size (for the chosen TF) of 5 - 10 pips. Compared to the average gain of OH (20 -25 pips) this makes an advantage of approx. 3!
... bear candles more than 50 % of the upper wick has a size (for the chosen TF) of 5 - 10 pips. Compared to the average gain of OL (20 - 25 pips) this make an advantage of approx. 3!

What about the common occurences of OH & OL?
Attached Image (click to enlarge)
Click to Enlarge Name: screenshot.png Size: 23 KB

For every candlestick type you can see the "open wick" (the wick that is usually built after the open) on the x axis and the open to close wick distance (distance to the wick that's in > 80 % of the time created towards the lifetime's end of a candlestick) on the y axis. the distributions support nunrgguy's statement that the longer the "open wick" is, the less you can expect to get on the other side of the open. Moreover, the blue-coloured regions show the position of open-to-low/open-to-high pip ranges within which the average for every variable can be found. It supports the conclusion that there's an approx. 3x expectation for the average OH than average OL distance in a bullish candlestick (and vice versa for bearish candlesticks).

Don't think I've already figured it out. I'm just playing around with some ideas and see some odds. Nevertheless, feel free to add on when you'd consider to take a trade and when you'd fold it.
  • #176
  • Jul 8, 2023 10:08pm Jul 8, 2023 10:08pm
Quoting AntiCre
In ...
... bull candles more than 50 % of the lower wick has a size (for the chosen TF) of 5 - 10 pips. Compared to the average gain of OH (20 -25 pips) this makes an advantage of approx. 3!
... bear candles more than 50 % of the upper wick has a size (for the chosen TF) of 5 - 10 pips. Compared to the average gain of OL (20 - 25 pips) this make an advantage of approx. 3!
Great work as usual AntiCre.

This is really interesting.

The approximate advantage is 1:3 for each direction using the roughly 50% cutoff.

Candles will either be red or green 50%, then of those, roughly 1/2 will produce the 1:3 advantage so only 25% of candles (in any particular direction).

The breakeven win rate on 1:3 odds is... (1/4) 25%... It's funny how it's always like that, isn't it?

Please correct me if I am misinterpreting the results of the data.
ri · skuht
  • #177
  • Jul 9, 2023 1:14am Jul 9, 2023 1:14am
Quoting Riskcuit
{quote} Great work as usual AntiCre. This is really interesting. The approximate advantage is 1:3 for each direction using the roughly 50% cutoff. Candles will either be red or green 50%, then of those, roughly 1/2 will produce the 1:3 advantage so only 25% of candles (in any particular direction). The breakeven win rate on 1:3 odds is... (1/4) 25%... It's funny how it's always like that, isn't it? Please correct me if I am misinterpreting the results of the data.

Spot on. Imo this fits very well with the wick to range ratio of 2 x 25 % and the body to range ratio of 50 %
  • #178
  • Jul 11, 2023 5:23pm Jul 11, 2023 5:23pm
Quoting AntiCre
.......bull candles more than 50 % of the lower wick has a size (for the chosen TF) of 5 - 10 pips. Compared to the average gain of OH (20 -25 pips) this makes an advantage of approx. 3! ... bear candles more than 50 % of the upper wick has a size (for the chosen TF) of 5 - 10 pips. Compared to the average gain of OL (20 - 25 pips) this make an advantage of approx. 3! What about the common occurences of OH & OL.
This is a really good information of statistics AntiCre, but how about the body of candle, O -C??? and how about the TimeFrame??? I mean, this works for all time frame, or just medium one like H1 or H4??? any other information is really appreciated...
  • #179
  • Jul 11, 2023 10:10pm Jul 11, 2023 10:10pm
Quoting newhope
{quote} This is a really good information of statistics AntiCre, but how about the body of candle, O -C??? and how about the TimeFrame??? I mean, this works for all time frame, or just medium one like H1 or H4??? any other information is really appreciated...
Data is almost certainly going to the be the same on all timeframes. Smaller timeframes will have larger outliers from large liquidity events, but overall, the ratios will likely stay the same for each timeframe, they will just increase in size as duration increases.
ri · skuht
  • #180
  • Jul 11, 2023 11:21pm Jul 11, 2023 11:21pm
Quoting newhope
{quote} This is a really good information of statistics AntiCre, but how about the body of candle, O -C??? and how about the TimeFrame??? I mean, this works for all time frame, or just medium one like H1 or H4??? any other information is really appreciated...
I agree with Riskcuit. What changes are the relative values, but the ratios remain essentially the same. You can easily proof this yourself. Just download H1 and M1 data from your platform, calculate in Excel the average body and wick sizes and calculate the ratios for these averages of every TF and you'll hardly see any difference (if your sample size is big enough).
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