What Bill Williams called a fractal is what Thomas Demark called a TD point. More precisely a 2-TD point because there are 2 bars both side of the middle bar. But Demark also defined a N-TD point as a fractal with N bar each side. Proximus' argument ...

Secret footprint in the markets

CPU power is no longer an argument nowadays. Should you need 1000 big CPUs you can just rent a grid at amazon for a few hours. Also I don't think the patterns must be "very complicated" because the more complex they are the less often you'll find ...

Secret footprint in the markets

Google for Automatic Relevance Determination I never found any clustering of the candles where a pattern gives more than 50% probability for the direction. I expected the algorithms to re-discover the usual patterns but all the approaches rejected ...

Secret footprint in the markets

"what money fuel top student bikini bomb" ?

Secret footprint in the markets

You cannot sum indicators over all the EUR pairs. Doing so you add pears and apples. E/U is in US dollar and E/J is in Yen. Any indicator derived from the price will have values derived from the counter currency. USD and Yens are different by two ...

methods to determine correlations and exact strength

What takes time is the estimation of the orders p, d and q. If you already know you want a ARIMA(1,2,1) it should be done real time even if you use a Levenberg-Marquardt gradient descent to fit the model. The differentiation adds to the lag but not ...

Statistical mean of the market [quant corner]

The differentiation is used to make the time series stationary. What is the point of a 3rd or 4th order differentiation? I still can't understand why it takes hours to compute this. How many candles do you consider? Even with 10000 samples I can't ...

Statistical mean of the market [quant corner]

Assuming 100 pips for the SL you get: -25 pips, 1 lot for the 1st buy => -25 -25 pips, 2 lots for the 1st sell => -50 0 pip, 4 lots for the 2nd buy => 0 -12.5 pips, 8 lots for the 2nd sell => -100 Total loss 175 pips + 15 spreads (normalized to the ...

Locking it in - multiple position hedging

FYI I'm 15+ yr senior software developer. I learned coding at 12 with Basic and the Z80 then 8080 assembly languages (yes I'm old piss off!). I know a bit on optimizing code. I can tell that before blaming the buffering of the data from the disk you ...

Statistical mean of the market [quant corner]

I'm really curious about the kind of optimizations you're doing that take so much time. As I showed you in my PM I could reproduce your MA with a simple 2nd order IIR filter. Are you sure your optimization problem is so much nonlinear that it need ...

Statistical mean of the market [quant corner]

Yes the spread is a killer. That's why I stopped the example at x8. The spread cost is already 8+4+2+1=15 times the spread! Actually the problem I have with the method is that when the price returns to the original entry and you close the x2 and x4 ...

Locking it in - multiple position hedging

Hi Jysticim. At first I didn't realized that you stop and reverse the trades... I took a pen and a paper and I wrote down the difference scenarios. Except I kept all the positions open (in "hedge"). Of course you can always net out to keep a single ...

Locking it in - multiple position hedging

Since 6ft is an average perhaps none of them is 6ft tall. But the main piece of information is that Mr Proximus loses nothing by trying. So he can randomly pick anybody. Or he can walk in the room and say "Hey the 6ft guy come with me!". You didn't ...

Preferred Timeframe for Trading

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Preferred Timeframe for Trading

These charts look like renko not CRB. Anyway. I'm still interested in the algorithm you used to generate the filter. I don't care the result of the trading backtest. I don't want to generate trading signals with it anyway.

Statistical mean of the market [quant corner]

This filter is awesome. How do you do this? Can you post a screenshot of this filter on a range bar chart?

Statistical mean of the market [quant corner]

This compounding is multiplicative so the result doesn't depend on the order of the trades. It depends only on the number of winners and losers. If you start the three trades at the same time you don't know the number of winners. You also want to ...

Thoughts on Compounding/Exponential systems

The market return time series aren't normally distributed. You know that. You can't fit a MA so that the distribution of the errors (distance price-MA) is a gaussian. Say you want to fit a line to a set of sample points. If the points are roughly ...

Statistical mean of the market [quant corner]

Nothing is wrong. I consider it an advantage. I also like its statisitcal behavior. 10 pips RBC was my answer to the thread question "Preferred Timeframe of Trading?"

Preferred Timeframe for Trading

Yes you can! AFAIK Oanda calculates the swap by the second.

Preferred Timeframe for Trading