I tried the descriptive approach. I used a Kalman filter (2nd order polynomial model). The result is shown on the first picture. This estimator is meant to denoise the signal it is given. Here it denoises the price quite correctly but this doesn't ...

What Is a Trend?

Yesterday I tried to improve my Kalman filter by adding another estimator of the trend and comparing it with the state of the Kalman filter. I then modulated the variance matrix based on how the two estimations were different (like I already do for ...

What Is a Trend?

I know people tend to use tools without even trying to understand what they are and how they work. So perphaps 99% of the people here won't know the answer and will certainly not even care of it... Yet I dare asking, just in case someone in the ...

Learning How to Spot the Correct Divergence... Beginner Inside

A random walk is a Xn+1 = Xn + (white noise). E[Xn+1 - Xn] = E[(white noise)] = 0. Where E[.] denotes the expectancy. The best estimator of the next price is the current price. This brings no information (Shannon's entropy): you need 0 bits to ...

Pairs correlation and Money Management

Keep in mind that when you increase the trading frequency your trades become more and more linked to the market movement of a short period of time: your trades become correlated. But his simulations as well as the ones I've posted are based on ...

Expectancy Management

Hmmm the paper clearly shows that H-values are found to vary widely from period to period (their words) with only 60 observations. Is it because the Hurst exponent does indeed vary that fast or because the samples size is too small? Like RS and ...

What Is a Trend?

How do you estimate the Hurst exponent? I know two methods: Re-scale range and wavelet. I know there are a couple more but don't know how they work. Except for RS all of them break with fat tail distributions. Wavelet needs >50K samples to give a ...

What Is a Trend?

In the post containing daytrade2.txt. Acary says "he still only has about 80% confidence level with double the expectancy on each trade." But opening the file you see that he DOESN'T double the expectancy. He double the bet size. In the post ...

Expectancy Management

Oops. I shall stop saying I'm trend follower in this case... I try to buy the retracements and exit when the swing is (expected to be) exhausted and repeat. Always in the direction of the (most probable) trend. More a ...

What Is a Trend?

I'm a little bit confused. Are trying to find the best way to spot a range or the best way to trade a range once it is recognized?

The best scientifically-proven way to trade range markets?

What "the" range are talking about? The goal is to define IF there is a range or a trend...

What Is a Trend?

I stopped fighting the lag too hard. The less lag, the less information. Heisenberg's principle.

Pairs correlation and Money Management

I just got an idea about the trend/range/other distinction. After all a range bound market is no more than a volatile trend which is running horizontally. Flat is a slope like any other, just a special case. Why do we want to make the distinction? ...

What Is a Trend?

I said T*sin(T) image

What Is a Trend?

I just stumble on this thread yesterday. If you dig deep enough you find gems in FF. I'd like first to quickly clarify something about the term randomness with an example. Say you see a car in the street. It stops at the road crossing. Is it going ...

What Is a Trend?

It seems that I'm not really good at explaining what I try to achieve... Here is an excel sheet of a backtest over the last few months of how the watch list evolves. The currencies strength estimator suggests selling the Yen since the 17th but the ...

Pairs correlation and Money Management

Didn't you just swap alpha and beta? They are just literals you can call them teddyBear and fooBar that would be the same to me you know. computer scientist = mathematician - rigor I'm not trying to build a basket where you simulateously open a ...

Pairs correlation and Money Management

When you trade XXX/ZZZ. The price is in ZZZ. So here CHF/JPY is in JPY. Your risk is 0.245 JPY. 1- You take the last quote for CAD/JPY to convert your risk in JPY. Now CAD/JPY=96.88. 2- You multiply by the CAD risk you want 100 CAD = 9688 JPY 3- You ...

How to calculate lots for a given risk

url The first comment is exactly what I proposed with the Fi(t) functions At least this covers the case where the two systems have very different trading frequencies. The money allocation might be modulated the same way as I propose for the ...

Expectancy Management

- Will you be trading both systems with equal sizing? Good question. They shall use their own sizing depending of their own stats. Say we use 1/3 of Kelly, each system will have a different bet size. The corrolary question is X% of what money? ...

Expectancy Management