I'm going to cut to the chase and give you a summary of what we found. I'll post some spreadsheets too, in case you want to play with the results. Note that all the results were produced before last week's code changes and additional parameters. But ...

Statistical Analysis of TZs

In order to optimise the paramaters faster I decided to code a simple optimiser into the indicator. NinjaTrader does have a built-in optimiser, but it's only available for Strategies (EAs) and not Indicators. There are some aspects of NT strategies ...

Statistical Analysis of TZs

Welcome back, Zelo! Hope everything is going well for you

Money Flow Trading Question

Finally for today, here are the results for 40%-80% retrace on EU. Base (same as posted earlier): First Opposite TZs: TP=58.3%, Valid=36 (TP=21, SL=13, EX=2) All TZs: TP=48.9%, Valid=180 (TP=88, SL=84, EX=8) As previous, but h Max reduced to 120 (4 ...

Statistical Analysis of TZs

Ha ha, nice one! If we'd done only that for the last 6 years on EU we'd have been in green Seriously though, if that holds true over many pairs then you might be on to something. Something like "if price moves away from the TZ tip by more ...

Statistical Analysis of TZs

So, here are some stats. For consistency, I'm using the same basic parameter settings as the stats I posted earlier - even though they might not be the best combination - and the same time period, unless stated. First, here are the base 10%-30% ...

Statistical Analysis of TZs

Code tweaking and testing has now finished and as a result there are two new parameters: Target h Right The number of bars to the right of the Target TZ within which the TP or SL may be hit. If neither are hit within these bars, it's reported as an ...

Statistical Analysis of TZs

Thanks for the link and future project idea, Almondeyed. Though to be honest I've got enough on my plate with TZs for the time being. I'm the kind of person who likes to thrash an idea to death before moving on to the next one!

Statistical Analysis of TZs

Yes, you're right about small sample sizes. We have to be very careful about them. M240 is a double-edged sword - nice setups, but difficult to analyse accurately due to the low number of them. You're also right about most of the edge being in how ...

Statistical Analysis of TZs

I disagree, lemna! My work is just a drop in the ocean of some of the fine analysis that goes on here at FF, whether it's done automatically by programs or manually by inspecting charts. But thanks anyway Problem update: the code was written ...

Statistical Analysis of TZs

Thanks SputnikX. I'll be away from the thread for a few days because I think I've spotted a flaw in the logic of one of the parameters. It concerns "h Base >= h Target" stats. If so, it will change the probabilities posted above. For the better or ...

Statistical Analysis of TZs

As you can see, 40-80% is looking better, but it's nowhere near phenonomal. It was time to start optimising those parameters I mentioned above. More next week. Have a good weekend (what's left of it)

Statistical Analysis of TZs

Finally, what about a wider retracement setting of 40%-80%? R:R is 1:1, need > 50% TP to be profitable. Nice and simple. Here's the report: ===================================================================== $EURUSD M240, Pip = 0.0001, Run time = ...

Statistical Analysis of TZs

Thanks Bill. Before we get into the optimisation process, here's another report with realistic retracement settings. The last one had a minimum retracement of 0%, so all otherwise-valid TZs were included (except 2, or 0.2% of all valid ones, which I ...

Statistical Analysis of TZs

And here is a typical report that the indicator produced. Note that all parameters are set to produce as many first opposite TZs as possible for a range of h values greater than 30. This report acts as a base from which to optimise. In the report: ...

Statistical Analysis of TZs

Here is a list of parameters (filters) we considered based on chart observations and previous stats: h Min TZs with h values lower than this would be ignored. Valid values: positive integer (e.g. 30) h Max This was mainly to limit the processing ...

Statistical Analysis of TZs

I'm back! Sorry for the delay. My non-trading business is unnaturally busy at the moment, so there might be lengthy gaps between posts. So, just to recap, we'd found that there was a high probability of the first opposite PTZ being resolved, for a ...

Statistical Analysis of TZs

Hey Jay, without giving too much away, is that 59 out of 59 success rate for EUR.AUD based on TZs at all? And if so, daily or H4? 59 is a small sample size, but even so... 100% is hugely impressive!

Jay's High Probability Setups

Someone asked me a few posts back if my indicators were available, but I can't find it now (maybe they deleted it). Anyway, my old TZ indis are still available on the extracted threads as far as I know, or you can download them from my profile page. ...

Statistical Analysis of TZs

Thanks Sis.yphus. I think Dochian channels are good for this purpose but limited by the fact that you're stuck with only one h value, for example h=20 on the chart you posted, without continuously changing the period to math the conditions. A ...

Statistical Analysis of TZs