By "lag" I mean what any trader in the forum understands: the delay in samples (bars) between the input and the output. For instance a SMA20 lags 10 bars. I consider the worse group delay in the band pass because the phase response isn't linear. ...

Cycle measurement: the easy way

The guy also provides an old excel version: url

A statistical question for professionals

percent symbol? You mean the sigma? It is the summation operator. m and y are the indexes for the summation. In the middle you have a white panel and three yellow cells. Note that you have to enter the chance of losing instead of the winrate in the ...

A statistical question for professionals

92.45% There is a free xls calculator for this here: url

A statistical question for professionals

General answer url In your case K=16, N=1000, p=0.25

A statistical question for professionals

I went this -unsuccessful- path because Fourier, MESA, EMD, Wavelets, Hilbert transform, Goertzel... all fail because of the lag. FYI Ehlers stopped considering the Instantaneous Trendline and all the related stuff based on his homodyne filter years ...

Cycle measurement: the easy way

Good to know. I'll try. Thanks for the tip

Dukascopy historic data

Some stats for these channels: Top row = the average price (blue circles) vs the big black dots. Bottom row = the slope of the trend vs the slope of the channels. Quite good and... normally distributed! image

Quantitative Technical Analysis

But what if traders "C" and "D" shake their hands at the same time for 150.45? What is the value when we are not even sure of the price? Isn't it exactly what happens with FX market?

Understanding value

Anyway we are traders even when we are deeply convinced the price is way too high for the value we keep going long as long as the price is going up.

Understanding value

These are good questions. Perhaps it is the other way around. Considering the current price of gold you can derive a maximal value for the cost you are ready to invest for mining it. If a lot of people were ready to buy sand $10000 a kilogram you ...

Understanding value

I try to automatically build a trend channel around the recent PA. For now I create two channels. One made from the highs and the second made from the lows. There is certainly room for improvement... The zip file contains a video. Sorry for the ...

Quantitative Technical Analysis

I would say yes because everybody knows one can buy sand for far less even if we don't know where and for how much. But if you find someones who knows it is sand and is ready to buy it that amount how could I argue the deal isn't fair? Beside its ...

Understanding value

Yes in the sense that I would consider feeding my family worths more than the few bucks I'll spend for the carrots. If you buy a car that's because you need/want this car more than keeping the money it costs... and so no I leave to the philosopher ...

Understanding value

What would you choose as more valuable between a bottle of water and a gold bar? What if you were dying in the sun of a desert? The price is always different from the value. I read somewhere "A transaction is an agreement on the price and a ...

Understanding value

It only works with sma with the other ones you will have to approximate. Also worth noting that because of the week-ends and how your broker and/or your trade station handle the missing bars there are not always six H4 bars in a day.

EMA Question

It is still 14 days. No clue why they do this. Creating a new account takes 2 minutes. For a one off download it is OK.

Dukascopy historic data

If it wasn't completely off topic in this thread I would show you that even if the markets were normally distributed your calculation of the standard deviation on the posted chart is wrong.

How much would you risk on a 90% trading system

I and Hanover just said that the formula given by broketrader was Kelly. Both of us recommend to not us it ;-) Strangely the results I get, winner or not, always look like a gaussian or the sum of two gaussians with one mode at the average winner ...

How much would you risk on a 90% trading system

Can you share the list of the trades results? Only two columns: the pair and the result in pips (not in $$ nor in %) (the pair is needed because the pip value and the volatilities are different)

How much would you risk on a 90% trading system