You're right . I mean a function that keeps growing forever but grows slower and slower. keeps growing forever => you keep risking more and more in absolute value grows slower and slower => the more you have the less you risk in percentage ...

concurrent uncorrelated positions

Any function which is strictly positive in ℝ+, monotonically increasing and which has a asymptotically derivative decreasing to zero will do.

concurrent uncorrelated positions

The correlation tells you that if you trade your system on E/U and U/CHF at the same time, you will almost always get the same signal in each at the same time (actually one LONG and one SHORT). The outcome of the trades will almost always be the ...

concurrent uncorrelated positions

An alternative is to risk a percentage of the square root of your money. The reason is that the square root increases faster at the beginning. It keeps increasing forever but less and less. The less money you have the more the percentage will be. ...

concurrent uncorrelated positions

Like this? url HTH

concurrent uncorrelated positions

Here sir: url It is objective because the Kalman filter is the best unbiased estimator with respect to the maximum likelihood. Well, this doesn't mean it is perfect. How good/bad is it? You can have a look here: url Now I have no objective ...

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

Usually I'm also the software architect of the projects I work on.

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

You have the most subjective definition of objectivity. How do you want any coder to try and help you? (BTW I'm a software dev. for a living) You make me feeling like this guy video

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

H1 for comparison image

Range bar charts are Normal charts!

I said 7-bar momentum. if (dev.cur() == 1) x11() layout(c(1:2, 3:4)) path <- paste0(BASE_DIR, "EURUSD-RG20.csv") data <- read.csv(path, sep=";") oneBarMomentum <- diff(data$Close, lag=1) hist(oneBarMomentum, breaks=300, probability=TRUE) fitN <- ...

Range bar charts are Normal charts!

A baby monkey can do that. A computer only sees zeros and ones. There is a lil' gap inbetween. If the numbers aren't real where are your 13 weeks coming from. Why not 15 or 11? For an indi numbers is the only thing that exist. EDIT: Do you remember ...

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

How wrong is the result of the KF? I ran the filter over my historical database for E/U. On the x-axis is the error on the position. On the y-axis is the error on the slope. 76.4% of the time the sign of the trend is correct. There is room for ...

Range bar charts are Normal charts!

Yet you're right that some elements can be objectively defined. I wrote an indicator to give me the range of an instrument for a given TF. for Kiwi daily I also find 70 pips.

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

That wasn't meant to be funny. My point is that there is no such thing that you can objectively define as the market's trend. How many triangles do you see? What do you expect a computer to answer? Artificial intelligence exists for more than 60 ...

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

This is where the iterated convolution comes.

Range bar charts are Normal charts!

Quick correction: For this implementation the purple line is an IIR filter to get "only" 40 bars lag. That's all the point of the thread. In RBC the price is NOT fat tail and cherry on the cake the 7-bar and more returns are normally distributed as ...

Range bar charts are Normal charts!

This is a recurring pattern in FF. Statistics must lead to an indi. An indi must lead to a set of trading rules. A set of trading rules must lead to an EA. Which in turn must lead to a trade explorer.... sad. Well if it is the only thing you're ...

Range bar charts are Normal charts!

Looking for coders is prematurate to me. In fact what we have to do (I say WE because I'm trying to do the same thing) is to objectively formulate the subjectivity! This is the real challange. How do you define objectively what the trend is? I ...

Trend, S/R, Stoch, MACD, RSI, Volatility, Stats & News System

The size of the chuck is perhaps arbitrary but the candle in the middle of the screenshot is objectively much bigger than all the other ones. Visual split is lost = distortion of the impact of the range => maybe just a matter of wording. Yet I agree ...

Range bar charts are Normal charts!

The line and its colors are the result of a Kalman filter. Because everything is normal everywhere I can use a plain good old simple KF; not an extended or unscented KF. The purple line (the lagging filter) is used to extract the (co)variance ...

Range bar charts are Normal charts!