Can you please refine the rules? At the first tick of the day the price is the only one. We have price=highest=lowest=mid. If I mechanically follow the rules: I have no position open AND the current price is equal to the highest price AND the ...

Simple Mean Reversion

Why asking when you can just check by yourself? It took me less than 5 min: image Note that the "hit rate" is very high because the open price is usually very close to the pivot like 5-10 pips on H1. If there is an edge from knowing this 75%+ it ...

The Skill Check

Oh missed this one. He actually MADE money!

How to lose 1.2 million dollars and burn 300 subscribers

From what I understand of the title HE didn't lose any money. His subscribers did! His risk management is very professional: he doesn't risk his own money.... BTW if he managed ~$150M it is OK to lose $1.2M

How to lose 1.2 million dollars and burn 300 subscribers

I had to search about Arthur Schuster, probabilities and Fourier. I understand better now what you mean by "improvement". You simply "stretch" the window so it spans exactly your samples. You multiply the signal by the window. The resulting ...

Facing problem with Math of Harmonic Analysis

I don't understand your question but just as a note F_t cannot be negative because a price (S_t) is always positive and e^x > 0 for any real x. The product of two positive numbers is positive.

Does money actually change hands trading futures?

This book was written almost a century ago. Signal processing theory has evolved a bit since then. I don't understand what you mean by "Periodigram Analysis of Schuster further refines the Fourier method". Can you point the page? The Fourier ...

Facing problem with Math of Harmonic Analysis

I didn't read the book and I didn't reverse engineer the excel sheet but I think your results are correct. Fourier decomposition is about periodic time series implicitly infinite in length. The formula assumes that your data contains an integral ...

Facing problem with Math of Harmonic Analysis

You are telling that a lottery player doesn't wins by luck but by the discipline of losing 5 bucks every week in his life until he hit the jackpot some day!

how to use VSA in forex?

Did you read the part between 7bit and Old_Dog? In short Old_Dog's position was that you shall compute the cointegration and statistically validate it is still present. Either you rebalance the basket or you stop trading because it is no longer a ...

Nonparametric Association Measures in Systematic Trading

His maths are wrong. He starts from a wrong equation then he takes (correct) deductions starting from his mistake... Let's start with the proper equation y=βx+σ²ε <- he overlooked the uncertainty (aka noise) σ²ε !! The assumptions are that - The ...

Nonparametric Association Measures in Systematic Trading

If you do this and keep considering it as a spread it is like you force the weight of the second asset (the MA) to be 0. The asset price becomes a "rough approximation" of the spread which can become very far "off target". Are you going to correct ...

Nonparametric Association Measures in Systematic Trading

You clearly don't understand what spread trading is! The goal is be become MARKET NEUTRAL under the assumption of mean reversion. When the spread returns to the zero line you're supposed to be in PROFIT. It is actually the opposite of MA-crossover ...

Nonparametric Association Measures in Systematic Trading

Can you explain how you build the spread? I mean if you buy the asset how do you "sell" the moving average to hedge the trend?

Nonparametric Association Measures in Systematic Trading

The challenge is not really here. 7bit solved this part here url IIRC there is some MT4 stuff to download. The currency pairs aren't co-integrated. 7bit's pragmatic approach was to rebalance often while keeping the trading fees acceptable.

Nonparametric Association Measures in Systematic Trading

Obviously. So what? Why should I do that? There is no such thing as a A+ setup. If such a thing existed you could filter out the non-A+. This post-filtering of your strategy would simply generate a new strategy emitting normal signals. I disagree. ...

Nonparametric Association Measures in Systematic Trading

I remember a post by the redlion (I can't find it) where he showed an up trend containing more down bars than up bars. The trend was created by a minority of big up moves.

Nonparametric Association Measures in Systematic Trading

The 300 bars aren't to estimate the trend but the variance of the histogram values.

Advanced macd question

Statistically speaking this is not true. If I indeed cannot distinguish a male fish from a female fish on a picture mama told me boys and girls that's not the same

Timing is everything but time is worthless

MACD is the difference between two moving averages. You can show that the histogram is an estimator of the trend up to a multiplicative factor with lag and distortion. You can remove the distortion by using a pair of SMA instead of EMA. The price to ...

Advanced macd question