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a formula to predict tomorrow midpt in ES?
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a formula to predict tomorrow midpt in ES?

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a formula to predict tomorrow midpt in ES?

Does someone have a formula to predict tomorrow midpt in ES?
I am looking for ideas to mathematically predict tomorrow's RTH midpoint for ES.

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Quick Summary
Quick Summary Post

Table of Contents

1. The question: formula for predicting tomorrow's mdipoint?

2. Persistence model

3. TAS dynamic profile to the open


Last edited by aquarian1; January 28th, 2017 at 09:30 PM.
 
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You can start with the persistence model and use the previous day midpoint or perhaps the close price as your benchmark. That would be the benchmark method your formula needs to beat and if you can't beat it suggest the market is a random walk and/or your methods have no additional predictive value. You can use a metric such sum of squared distance between your actual value and your predicted value to see which method is best.

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the only thing i seen even close

T A S software can project a dynamic profile for the next time frame if things fall in to the algos eye sight. value high low and poc. you might be able to take the rth open and over lay yesterdays profile. just set them side by side drawing a level line through the opens... it is nuts i know but you have to start some where..

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T A S software can project a dynamic profile for the next time frame if things fall in to the algos eye sight. value high low and poc. you might be able to take the rth open and over lay yesterdays profile. just set them side by side drawing a level line through the opens... it is nuts i know but you have to start some where..

Not quite clear on this.

Are you saying that the difference between the POC and the open
added to the open would give the estimate of the midpt?

Keep your mind in the future, in the now.
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tpredictor View Post
You can start with the persistence model and use the previous day midpoint or perhaps the close price as your benchmark. That would be the benchmark method your formula needs to beat and if you can't beat it suggest the market is a random walk and/or your methods have no additional predictive value. You can use a metric such sum of squared distance between your actual value and your predicted value to see which method is best.

I not not quite clear, are you suggesting a way of testing an estimation formula to see if it has predictive value?

Keep your mind in the future, in the now.
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Answer
This post has been selected as an answer to the original posters question Answer

I was suggesting 2 different methods, either using the midpoint of the prior day or the close of the prior day. Theoretically, the last price should have the most information, i.e. so that's going to be the best bet of your midpoint. However, I don't know if some information from the volatility might be missing from that that the midpoint from the prior day might capture. It is a great question though! Right, you can test it by simply shifting your data and taking the difference from the actual midpoint and summing the value. The formula I gave was the mean squared error but you could use the absolute difference or another error measure if you desired.

I coded up a quick verification in Easylanguage and using the close of the prior day is significantly better than using the midpoint for predicting the midpoint, assuming I didn't make any mistakes (big assumption). The code is below and I've linked to an instructive video if you want to learn more.

The average error in points is around 11 points for using the close over the past couple years I tested. This would mean on average using the close, the midpoint will occur within +- appx 6 points. That's your accuracy level. Using the prior midpoint, I get some ridiculous number which means I probably made a mistake. I updated to calculate using the simple MAD (mean absolute deviation) and get 8 points for the close and 14 for the prior midpoint. That would put you on average +-4 off using the prior close. PS: If someone wants to explain the differences in mean squared error vs absolute average error -- it would be illustrative for me!

Update: Found the mistake. You must wait until CurrentBar=2 because there isn't a previous value for the first bar. It did not change the findings though.

https://www.youtube.com/watch?v=Wo5YWXDRXv8

 
Code
variables: MidPointV(0);

MidPointV = low+(Range/2);
//Value1 = power((Close[1]-MidPointV),2);
//Value2 = power((MidPointV[1]-MidPointV),2);

Value1 = absvalue(Close[1]-MidPointV );
Value2 = absvalue(MidPointV[1]-MidPointV);

If lastbaronchart  then begin;
	//Value3 = squareroot( cum(value1)/barnumber);
	//Value4 = squareroot( cum(value2)/barnumber);
	value3 = cum(value1)/barnumber;
	value4 = cum(value2)/barnumber;
end;

plot1(value3);
plot2(Value4);


//Compare
//plot3(midpointv[1]);
//plot3(close[1]);


Last edited by tpredictor; January 29th, 2017 at 02:28 AM.
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no

Answer
This post has been selected as an answer to the original posters question Answer


aquarian1 View Post
Not quite clear on this.

Are you saying that the difference between the POC and the open
added to the open would give the estimate of the midpt?

remember i said this is nuts so do not lola me to bad...you have yesterdays RTH profile on the ES ...part 1... this morning the ES RTH opens and the chart is blank just a * for the open ,,,that is part two. you move yesterdays profile in place where today RTH OPEN an yesterdays RTH close are on the same price level ...part 3 ...now yesterdays profile is your projection profile for to day... look for the poc ...that is the project poc for to day. like i said it sounds nuts but you have to start some where...what you are saying is day 1 will look like day 2 just at different levels.

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aquarian1 View Post
Does someone have a formula to predict tomorrow midpt in ES?

I am looking for ideas to mathematically predict tomorrow's RTH midpoint for ES.



This already exists. It's called floor pivots. The "P" value would be the prediction.

http://www.investopedia.com/terms/p/pivot.asp

Ron


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Tested the floor pivots (h+l+c)/3 and using the prior close still had a lower error. I'd expect the open to have an even lower error but can't test it easily. You could try to use machine learning to do better but the tradeoff is the introduction of model complexity. But, there is hope, I have came up with a model that beats the simple model nearly every single day for the past 10 years or so but only by a tiny amount.


Last edited by tpredictor; January 29th, 2017 at 03:55 AM.
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