I made a very quick (and dirty) experiment in "measuring" (very roughly) the white noise part... The band is supposed to widen when the market is more rough/choppy/chaotic and get tigher when the move is smoother... Not fantastic and laggy (of ...

Choppy market index: any good ideas?

From what I read in your thread you're also trying to solve it under the name strategies diversification. Let's pretend the market is always in uptrend. Buy-and-hold is the obvious strategy. => zero risk just wait Let's pretend the market is always ...

Choppy market index: any good ideas?

Yes C some efficiency ratio is what I'd like to get. But one more time Perry Kaufmann conflates range and choppy. His indicator is the ratio between momentum and the length of price path. Therefore if momentum increases the oscilator will as well. I ...

Choppy market index: any good ideas?

No clemmo17 I couldn't find a definition of this. It is still an ill-posed problem to me. The increase of entropy can be this definition. Again this is not about range vs trend. It is more about the energy/amplitude of the (not-so-)white noise ...

Choppy market index: any good ideas?

Happy to see you here C The abstract says "E.W. Dreiss has developed the Choppiness Index using chaos principles to measure market trendiness". Choppiness is not the opposite of trendiness. Look at the chart in the last page of the article: - The ...

Choppy market index: any good ideas?

I can only agree with you because that's exactly what I do. I do it mainly for quantitative reasons: url CRB also break down the sharp moves

Choppy market index: any good ideas?

Perhaps roughness is indeed this better term I should use. Unfortunately I can't figure out how the Rx formulas can help. They use the values without taking their ordering into account. These two graphs are made of the same values. I simply put them ...

Choppy market index: any good ideas?

The issue I found with this approach is that when the swings are big enough they no longer form a choppy condition. Look at the top right picture: the swings completly overlap without creating the choppiness. On the top-left image you can hardly ...

Choppy market index: any good ideas?

url This is still a work in progress after 4 years. I no longer use FXCM API, JForex is way better. I wish I could be more broker agnostic but I need tick historical data which is provided by very few.

Trading/coding for fantasy games? building careers?

Yes I'm still interested in a quantitative estimator of choppiness. Perhaps also in finding a better word for this because people always associate choppy and ranging market as being the same thing. I make a clear distinction between these two facets ...

Choppy market index: any good ideas?

Unless I'm mistaken if every day's return was the same as the previous one the returns of the weekly would also be equal to the previous week's return (=5 daily returns). The standard deviation of the returns would be zero both of the daily and the ...

Diversified Trend Trading Approach

I don't know enough MT4 because the more I was reading the book.mql4.com site the more I was thinking "what a crap". It sounds to me from what I read in FF that MT4 is not even able to properly backtest a strategy. It uses bid price and adds some ...

Trading/coding for fantasy games? building careers?

Marketing people are really good! From what I read I consider they made a great job at making you believe MT5 and a little bit of "AI" libraries (ALGLIB is included in MT5) will help you building an intelligent robot trader in a few clicks. ...

Trading/coding for fantasy games? building careers?

WR=3% and RR=100 => expectancy = 2.03 To give an idea: That's equivalent to WR=61% with R=4 That's equivalent to WR=76% with R=3 With R=2... well you would need more than 100% WR to achieve the same That's still equivalent to 27.5% win rate with ...

Rags to Riches in 10 or 20 Trades - Simplicity at its finest

I never said you need >50% win rate to be profitable. I showed that you must have >50% to use this rag to riches method. In fact no. Even with a RR=35, the max size per trade would be 0.22%. A hundred trades would produce +0.6% on your account. You ...

Rags to Riches in 10 or 20 Trades - Simplicity at its finest

This is only true with a FIXED size. Because you're using 50% of your account in order to double it, a sequence "loss, loss, win" (in any order) multiplies your equity by 0.5x0.5x2. This is not 1. It is 0.5. You're not breakeven. Your account is ...

Rags to Riches in 10 or 20 Trades - Simplicity at its finest

It is nice and beautiful but wrong. Say you have N net winners thus far. What is the expected number of winners at the next trade? If you win that's N+1. If you lose that's N-1. Thus if your winrate is w the expected increase of net winners is[1]: ...

Rags to Riches in 10 or 20 Trades - Simplicity at its finest

To make it short you want someone who trades the holy grail to hand it over to you in five simple steps... I suppose after you'll post in the Platform Tech Section to have someone to turn it into a ex4 for free.

(binned per thread starter's request) Sign of a profitable tradin

Tracy-Widom distribution is defined over Hermitian matrices. In the context of trading I can only think about a correlation matrix (which is Hermitian). It may then be useful for portfolio momentum investing but I can't figure out a use of it in the ...

The unknown

All models are essentially wrong, but some are useful. -- George Box

Higher Edge within a Single Candlestick