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Idea: Wick-based SMA Indicator (WiSMA)


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Idea: Wick-based SMA Indicator (WiSMA)

  #11 (permalink)
 rewex 
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I have already considered taking the wick's SMA of (n) periods like 20/50/100/50 - The main problem we are dealing with is: We do not know where the current day is gonna end (positive or negative). Some kind of bands, like Bollinger would be more useful?

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  #12 (permalink)
 
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 deltason 
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I was just thinking about this topic, wondering if the noise bands indicator can be applied to smaller time frames (30 min, 60 min, etc.) and whether the indicator could show the mean, median, mode, or even the first standard deviation of the "noise." Thanks for starting this thread. Will follow it with interest and contribute where I can although I'm not much of a maths guy.

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  #13 (permalink)
 
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 Fat Tails 
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rewex View Post
I have already considered taking the wick's SMA of (n) periods like 20/50/100/50 - The main problem we are dealing with is: We do not know where the current day is gonna end (positive or negative). Some kind of bands, like Bollinger would be more useful?

Of course we know where the current day starts and ends. NinjaTrader uses session templates and you can access the start and the end of a trading day, or even the regular Xetra session and code the indicators accordingly.

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  #14 (permalink)
 
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 Fat Tails 
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deltason View Post
I was just thinking about this topic, wondering if the noise bands indicator can be applied to smaller time frames (30 min, 60 min, etc.) and whether the indicator could show the mean, median, mode, or even the first standard deviation of the "noise." Thanks for starting this thread. Will follow it with interest and contribute where I can although I'm not much of a maths guy.

Of course, the concept can be applied to smaller time frames. But in my opinion it is better to stick with the trading day or a subsession of the trading day such as the London or New York session.

When applying this to smaller timeframe, one would need to take into account the intraday seasonality. Mean, median and variance will be smaller during the noon time than after the opening, when volatility is pretty high. For the daily noise bands the situation is simpler as you can calculate them from all days of the week - although noise bands for each day of the week would be feasible.

Also the significance of those levels decrease with the timeframe. Weekly and monthly noise bands are more powerful than daily noise bands, and daily noise bands are more reliable than hourly bands. I do not know where this scalping culture comes from. Everybody seems to be eager to play video games instead of focusing on three or four profitable trades per day.

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  #15 (permalink)
 rewex 
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Fat Tails View Post
Of course we know where the current day starts and ends. NinjaTrader uses session templates and you can access the start and the end of a trading day, or even the regular Xetra session and code the indicators accordingly.

Misunderstanding. I mean, we do not know where the day (TODAY) ends. Thus we have the take Open + und Open - the Means/ Average. This is what i wanted to say. For this reason WiBands are better. The main problem the whole statistic lacks of, is the problem, that we do not know where its gonna end.

Let's say - as i have posted - the mean is 23 pips and the 70% (percentile) is 36 pips: If i would know the day would end positive, i would buy (Open - 23 pips) (50/50) and add some more heavy at (Open - 36 pips) (70% percentile) ...


...am i wrong?

ps: "Also the significance of those levels decrease with the timeframe." - That's why i mainly like 1day+ - I have already considered like "This is the hourly open. Gonna add Open-5Pips and Open-9Pips (vice versa)" - Outch ;-)

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  #16 (permalink)
 
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 Fat Tails 
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rewex View Post
Misunderstanding. I mean, we do not know where the day (TODAY) ends. Thus we have the take Open + und Open - the Means/ Average. This is what i wanted to say. For this reason WiBands are better. The main problem the whole statistic lacks of, is the problem, that we do not know where its gonna end.

Let's say - as i have posted - the mean is 23 pips and the 70% (percentile) is 36 pips: If i would know the day would end positive, i would buy (Open - 23 pips) (50/50) and add some more heavy at (Open - 36 pips) (70% percentile) ...


...am i wrong?

ps: "Also the significance of those levels decrease with the timeframe." - That's why i mainly like 1day+ - I have already considered like "This is the hourly open. Gonna add Open-5Pips and Open-9Pips (vice versa)" - Outch ;-)

The concept of the noise bands does not depend on upclose or downclose, so you do not need to wait for that information.

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  #17 (permalink)
 rewex 
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No, but it all depends on the CurrentDayOpen?!

The problem i am facing: I do not know where the current day is closing. And thus i take the bands:

Short Entry: Open + ....
Long Entry: Open - ....

?!

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  #18 (permalink)
 
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 deltason 
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Not for the purpose of scalping but to fit a schedule due to my job hours. Ideally 4 hr. or 2 hr. charts. The daily band areas may possibly hit when I can watch charts but even that wouldn't necessarily generate a reason to trade because there are layers of trade consideration like Mark Fisher (ACD Method) says. Looking for that balance between opportunity and convenience. Your point about differences in intraday volatility is well taken and something I considered. Perhaps I can put something together in excel that compares apples to apples. Thanks for the reply and all your work on this forum. Simply amazing.

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  #19 (permalink)
 
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 Fat Tails 
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rewex View Post
No, but it all depends on the CurrentDayOpen?!

The problem i am facing: I do not know where the current day is closing. And thus i take the bands:

Short Entry: Open + ....
Long Entry: Open - ....

?!

@rewex: The problem is indeed to find a tool which allows you to plot bands, as soon as the regular session is open. For example, if you use one of the traditional methods, such as the ACD method described by Mark Fisher or any range bands calculated from an opening range, then you need to wait, until the opening period - or the initial balance - is known. This means that you cannot do anything during the first 30 or 60 minutes of the session, and the opportunity may be already lost, once you enter the arena.

All those bands and lines are based on a reference price (which stands for initial value) and volatility.

Opening range -> based on open and volatility of the first 30/60 minutes
Floor pivots -> based on yesterday's value and yesterday's range (volatility of prior day)
Camarilla pivots -> based on yesterday's close and yesterday's range (volatility of prior day)
Noise bands -> based on open and volatility of the prior N days

I prefer the noise bands, because a volatility estimate on N days usually is better than an estimate based on a single day. There is no reason that after a narrow range day, there should be a second narrow range day.


If I look at your approach which uses different values depending on whether the current day is an upclose or a downclose, then I believe it should lead to assymetric bands. The upper value should based on the mean calculated from (High - Open), while the lower bands would be calculated from the mean of (Open-Low). You would not be the first to use this concept, the floor pivots R1 and S1 are also asymmetric.

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  #20 (permalink)
 rewex 
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Thank you very much Fat Tails. I will have a look at your noise bands. They look pretty interesting.

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