It absolutely doesn't depends on the timeframe but on the timeSCALE. That is the cut off frequency of the filter (MA) verse the frequency of the main swings. It was applied on H4 and it was a kalman filter so it re-optimized at each bar. If the MA ...

why have you accepted the price-predictability assumption?

I never had Proximus' results. I may have not been as thorough as him. I didn't try each possibilities. For me not a single of the {SL,TP} gave an edge. Very small SL kills the account quickly. But the others are just edgeless (E=-spread). Sure you ...

why have you accepted the price-predictability assumption?

Ok. So it works but only for the others. So I shall not avoid to not abstainning myself trying something else.

Did Martingale work for someone?

I made the same kind of experiment with the same conclusion. One trade at a time, spread taken into account, repeating the backtest several times. The expectancy quickly converges to minus the spread. Worse, I got the same conclusion when always ...

why have you accepted the price-predictability assumption?

During a backtest an AE must always be ran with fixed lot size MM. It is only after the backtest that you can think about the MM, that is when you have gathered the relevant statistics about your system. If the growth only comes from the martingale ...

My EA trading style, feedback

E is the expectancy of the system. It is a constant. The return of one trade is pnl = E + e. e is zero mean (since it's the difference with E). Q[t+1] = Q[t] + E + e has got E as a deterministic constant trend. Upward iff the system is a winner. In ...

concurrent uncorrelated positions

Stupid me! We don't need the trades to be serially correlated. We need the equity curve to be. Let E be the expectancy of the system. The equity Q[t] before MM will evolve as Q[t+1] = Q[t] + E + e. This is an AR(1) process with a positive ...

concurrent uncorrelated positions

It is not so much contradictory. It also depend on what is in the book at that time. A small order taking the last available lot will move the market to the next available price, while a big order not consuming all the offer won't make the market ...

Do you believe this market is random?

When a golfer swings the ball with his brand new perfect club he still doesn't know (and has no control on) the velocity of the wind 2 seconds after the ball took off. The velocity of the wind is a random variable which influences the trajectory of ...

why have you accepted the price-predictability assumption?

Correct and exactly my point. Despite the purely deterministic trend this serie is still random. You cannot predict the next move. But you can predict the future range; very easily in this simple case. It wasn't intended to model the market. I model ...

why have you accepted the price-predictability assumption?

You must be right. I found 7 translations (!) of the word random in French... This excel file is an example of something I consider random, despite the fact that the line will always enter the circle.

why have you accepted the price-predictability assumption?

Did you read the pdf I linked? Determinism does NOT imply predictability. Randomness does NOT reject predictability, it only decreases the acuracy of the forecast over time.

why have you accepted the price-predictability assumption?

Well this doesn't show the market isn't random. It only shows that there is at least a fraction of the move which is somewhat "known". Telling if the rest of the market movement is highly choatic yet deterministic or purely stochastic is beyond me. ...

why have you accepted the price-predictability assumption?

Apologies Dice, I'm going to talk about the taboo word Some pages ago I built random charts. They were built from the ticks return distribution of E/U to have the exact same distribution of the market. I created a random hourly chart and I added ...

why have you accepted the price-predictability assumption?

Lagging and failling are absolutely unrelated matters. BTW the lag isn't bad in itself. The lag of an SMA for instance is what generates the dynamic S/R effect. Since you wrote that divergence is an example of indicator failing, it means that ...

Is divergence trading an effective approach?

There is a big problem with the grocery shop analogy: You aren't the one who puts the price tag on the potatoes. Market makers are. You bought potatoes and tried to find someone to resell them but the price fell. You could have sold them off (aka ...

100% profit

Funny self-contradicting argument. You say that divergence is bad because it appears when the indicators fail. If you were right, divergence would be great since it would indicate when to distrust the indi. Unfortunately divergence measures ...

Is divergence trading an effective approach?

Systems tend to have a preferred market condition. For instance a system which loves the trends will hate the ranges. These periods tends to last in time. So I think that the serial correlation has good chance to be positive. If the serial ...

concurrent uncorrelated positions

For calculus impaired people convex function = if you link any two distinct points on the graph of the function the segment of line is always above the curve. cancave function = the opposite. The fixed fraction MM, like 1%, is the function ...

concurrent uncorrelated positions

Apologies if this question is a little bit off-topic. Lately I got some interest in divergence. Playing around with a chart I got puzzled on how to measure the divergence in the following case (pic.). Shall I: a- Don't care if the oscillator is ...

Is divergence trading an effective approach?