Speed Trap...Too Far, Too Fast

Post by **Pippopotamus** » Wed Nov 16, 2011 3:13 pm

Any TF...I expect short, as in M15, M30 may be better...To get started...Create a distribution of excursion lengths from candle open. London, and NY sessions only. During London, and NY sessions enter retracement trades at excursion lengths of +2, 3, and 4 Standard Deviations beyond mean(for example). Progressive position sizing at 1, 2, and 6 units. TP, 0.50 SD length(or entry interval). Absolutely no entry filters of any kind...ever. This is reactive trading. ForexKiwi, OK. Swap Filter, OK. Trade mgt. stuff, OK. May be great fun....Perhaps not. I think it worth a try...Shares some genes with Reversi, a STAR!...Cheers, Steve, and Best of Luck in this latest endeavor....Pippo

Post by **astral77** » Wed Nov 16, 2011 4:01 pm

Hello Sir
It is so good to see so many experienced / serious traders such as your good self coming here, FF is becoming a bit childish. We are going places in this place.
Kind Regards

Post by **SteveHopwood** » Wed Nov 16, 2011 5:35 pm

Wonderful to see you here, Pippo.

This does indeed look like fun. Leave it with me - or any other coder here who wants to do this.

Post by **Pippopotamus** » Wed Nov 16, 2011 6:03 pm

SteveHopwood wrote:Wonderful to see you here, Pippo.

This does indeed look like fun. Leave it with me - or any other coder here who wants to do this.

Very happy to be here...Hope many others join in...The Torch... is here...

Post by **SteveHopwood** » Wed Nov 16, 2011 7:45 pm

Pippo, do me a favour please, and help me out with these concepts:

Create a distribution of excursion lengths from candle open.

How do you calculate the distribution?

London, and NY sessions only. During London, and NY sessions enter retracement trades at excursion lengths of +2, 3, and 4 Standard Deviations beyond mean(for example).

I don't really know what a Standard Deviation is - my wife uses this term and I usually just nod and try to look not-too-thick. So, what is a Standard Deviation and/or how do you calculate it?

Cheers

Post by **Pippopotamus** » Wed Nov 16, 2011 8:43 pm

Steve, SD is a measure of deviation from a mean...Here is a reference...http://easycalculation.com/statistics/l ... iation.php. Perhaps we should let this sit for a while to see if any of the,"Quant," guys in the crowd will find it interesting enough to code?? Squalou, I think, is especially adept at this kind of thing. I really have no idea if this will have legs or not and would hate to see you get bogged down with it to the detriment of other (probably more worthy) projects.

Post by **currymonster** » Wed Nov 16, 2011 8:50 pm

Bit simplistic, someone else have a better stab?

Probably more hindrance then help, doh!

Cheers Steve

Edit sorry Pippo, I was too slow

What Does Standard Deviation Mean?
1. A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Standard deviation is calculated as the square root of variance.

2. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility. Standard deviation is also known as historical volatility and is used by investors as a gauge for the amount of expected volatility.
Investopedia explains Standard Deviation
Standard deviation is a statistical measurement that sheds light on historical volatility. For example, a volatile stock will have a high standard deviation while the deviation of a stable blue chip stock will be lower. A large dispersion tells us how much the return on the fund is deviating from the expected normal returns.

Read more: http://www.investopedia.com/terms/s/sta ... z1du5LfhiN

Post by **SteveHopwood** » Wed Nov 16, 2011 9:21 pm

Pippopotamus wrote:Steve, SD is a measure of deviation from a mean...Here is a reference...http://easycalculation.com/statistics/l ... iation.php. Perhaps we should let this sit for a while to see if any of the,"Quant," guys in the crowd will find it interesting enough to code?? Squalou, I think, is especially adept at this kind of thing. I really have no idea if this will have legs or not and would hate to see you get bogged down with it to the detriment of other (probably more worthy) projects.

Ok, I am happy to hang on, given the statistical nature of this and I lack anything that remotely resembles a logical firing brain cell.

Still, Cal's explanation makes sense to me, so we shall see.

Post by **SteveHopwood** » Wed Nov 16, 2011 9:31 pm

currymonster wrote:Bit simplistic, someone else have a better stab?

Probably more hindrance then help, doh!

Cheers Steve

Edit sorry Pippo, I was too slow

What Does Standard Deviation Mean?
1. A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Standard deviation is calculated as the square root of variance.

2. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility. Standard deviation is also known as historical volatility and is used by investors as a gauge for the amount of expected volatility.
Investopedia explains Standard Deviation
Standard deviation is a statistical measurement that sheds light on historical volatility. For example, a volatile stock will have a high standard deviation while the deviation of a stable blue chip stock will be lower. A large dispersion tells us how much the return on the fund is deviating from the expected normal returns.

Read more: http://www.investopedia.com/terms/s/sta ... z1du5LfhiN

So, sticking to what I vaguely understand, if the previous x candles have a mean average volatility (i.e. high - low) of z, then z is a Standard Deviation. Therefore if the candle opens and rises by (z * 2), then we can expect it to regress to the mean, hence trading 1 unit.

If it moves to by (z * 3) we have more probability of regression, hence trading 2 units.

If it moves by (z * 4) the market has gone bonkers and has to retrace at some point, hence trading 6 units. Not long from here before the basket moves into profit.

How am I doing? Be gentle.

Cheers

Post by **gaheitman** » Wed Nov 16, 2011 9:43 pm

Steve,

Empty4 has a drawing object called Standard Deviation Channel (might have to add it to your drawing toolbar -- it's the one with the "D"). When you add it to the chart, you drag it from beginning price to ending price. As you drag, it will change the width of the channel so that it is plus or minus one standard deviation from the center (OK, OK, "centre"

) line. You can edit the properties of the object so that you can see what 2 or 3 standard deviations would look like.

Now this is showing a channel based on the actual price, Pippo is suggesting we use the maximum of the distance travelled from the open in each bar (MathMax(High-Open,Open-Low) as the data points instead of actual price. At least I think so.

I'd like to take a crack at creating an indicator that will show us what this looks like before we try to code an EA for it. I have a few questions first, however.

Pippo,

1) How many bars/days of data do we look at? I am assuming we are only looking at bars within our trading times, so we will have to scan back and collect bars, calculate the mean/stdev and then use that for today.

2) Are we basing the channels on the open of each bar? Or are we anchoring them on some MA? If so, what is the moving average type/period?

OK, apparently it was only a couple of questions, though one was multi-part.

George

Speed Trap...Too Far, Too Fast

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