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Idea: Wick-based SMA Indicator (WiSMA)
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Created: by rewex Attachments:4

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Idea: Wick-based SMA Indicator (WiSMA)

  #1 (permalink)
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Idea: Wick-based SMA Indicator (WiSMA)

Hey folks,

I'd like to share one idea of mine with you all:

In this example i have picked the EURUSD (Spot). All data was exported from Bloomberg and can thus be considered as accurate. I have analyzed the wicks of each day since the introduction of the EUR.

Let me define the parameters:

If the last day was an Upday, the Wick is considered as: Open-Low
If the last day was an Downday, the wick is considered as: High-Open

The pic below is german. Translation for those who are not familiar:

"Mittelwert" equals "Mean"
"Median" equals "Median"
"Standardabweichung" equals "Std. Devation"
"Varianz" equals "Variance"
"Minimum"equals "Minimum"
"Maximum" equals "Maximum"
"Perzentile" equals "Percentiles"

The percentiles define the probability of picking the high/ low of the day:
Open(Today) + or - (Percentile)
It's like: First touch, first action. It makes backtested it with seversal significance tests.
The wicks are not normal distributed (probably due to anomaly -> crash/high vola).

Screenshot is attached. It's all in pips.

Although trying to pick tops and buttoms is like finding the holy grail, i have experienced those levels are excellent scalping opportunities!

What do you guys think? As i have no experience with coding NT-Indicators: Would it be possible for anybody of you guys to code a WiSMA (SMA of the Wick size of the last n days).

Looking forward to hear from you guys. Enjoy your day.

Greetz,
rewex

Attached Thumbnails
Idea: Wick-based SMA Indicator (WiSMA)-.png  

Last edited by rewex; June 16th, 2013 at 05:39 PM.
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  #2 (permalink)
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I have already coded a similar indicator, however there is a difference. Each candle has an upper wick and a lower wick (no wick = wick with value zero).

Your definition:

-> (High - Open) on a down day
-> (Open - Low) on an up day

My definition:

-> Noise or failed move = The smaller of (High - Open) and (Open - Low)
-> Expansion or dominant move = The larger of (High-Open) and (Open-Low)

Your are also looking for the size of the failed move, where failure is measured by applying the filter upclose or downclose. I am filtering by comparing the size of the moves from the open to the high and the low. This is not resulting in wicks, but the slightly different concept of noise.

The next step was then to calculate a simple moving average of the daily noise, for example over 10 days. I have then plotted the noise bands based on that moving average around the daily open.

For FOREX the noise bands can be plotted for each the Asian session, London session and US session, or for the entire trading day. Let us have a look at the ETH (full session) noise bands for last Thursday and Friday:

The average daily noise (failed move) was 28 pips over the last 20 days and 30 pips over the last 10 days (see data table upper left). Usually you should expect some support and resistance, if you draw a horizontal line 29 ticks below and 29 ticks above the open.

Do you look for something similar to this, based on the SMA of the wick sizes?

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  #3 (permalink)
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This is one example where i also took the percentiles into account (FDAX) - First touch, first action. The smaller dashed lines are Open+Mean & Open +Median for the upside and vice versa for the downside. The thinker ones are Open+/- Percentile(80%) of the wick. The squares can be ignored as they are based on the PriorDayMid (another Idea): http://content.screencast.com/users/rw4real/folders/Jing/media/d315b9da-6371-4b9f-8a4f-48235514737f/2013-04-27_1158.png


Last edited by rewex; June 16th, 2013 at 06:42 PM.
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  #4 (permalink)
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rewex View Post
This is one example where i tool the percentiles also into account (FDAX) - First touch, first action. The smaller dashed lines are Open+Mean & Open + Open+Median and the thinker one is Open+Percentile(80%) of the wick. The squares can be ignored as they are based on the PriorDayMid (another Idea): http://content.screencast.com/users/rw4real/folders/Jing/media/d315b9da-6371-4b9f-8a4f-48235514737f/2013-04-27_1158.png

This chart must be ages old..... Can you post a more recent chart and include the horizontal scale to make it easier to understand it?

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  #5 (permalink)
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Will do so, gimme an hour. The pic was a hit-and-run example. Gonna upload the rest of my idea in an hour. BigMike doesn't accept files >=4mb - Will upload all research.

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rewex View Post
Will do so, gimme an hour. The pic was a hit-and-run example. Gonna upload the rest of my idea in an hour. BigMike doesn't accept files >=4mb - Will upload all research.

Have found the day with the price action, it was April 16 and April 17.

Below is a chart that shows the noise bands and expansion (target) bands for those two days for FDAX 06-13.


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  #8 (permalink)
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Thanks, Mike. Here is a part of my statistics for the EURUSD. It's pretty much unfiltered. Uploading it first. I will continue to describe my idea in few minutes. Anyway, enjoy the data if you like OHLC data: I have analyzed 5min-1month data of the wick, body & range. HlPreMid is the daily high/low of the prior day mid.

Attached Files
Register to download File Type: zip EURUSD.zip (3.96 MB, 15 views)

Last edited by rewex; June 16th, 2013 at 07:08 PM.
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  #9 (permalink)
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rewex View Post
Thanks, Mike. Here is a part of my statistics for the EURUSD. It's pretty much unfiltered. Uploading it first. I will continue to describe my idea in few minutes. Anyway, enjoy the data if you like OHLC data.

Looks interesting, all this statistics can be calculated in a second by NinjaTrader and displayed in your chart as data tables or indicators, once it is set up as an indicator.

Once you know the statistical distribution of ranges, momentum (open-to-close) and the wicks, you can calculate the arithmetic average (mean) or the median , which is what you have asked for. But with NinjaTrader you can also easily draw

- standard deviation bands based on distribution of ranges or wicks
- percentile bands based directly calculated from the distribution

Just tell me whether you prefer a 70% percentile band or a 1-SD band around the open based on your definition of wicks, and it should be possible to code it. It might lead to interesting results.

For the noise bands I have not used variance or percentiles, but simply added a multiplier which allows for adjusting the width of the bands.

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  #10 (permalink)
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That is what i am asking myself for: Actually - pretty noob-like - i have plotted Open + Mean & Open + Median as well as Open - Mean & open - Median to my charts. Those levels are nice, not perfect, for scalping purposes. I have several ideas.

Maybe we could something like a WiSMA? Becuase i only got Mean/ Median based an ALL data since the introduction of the EUR. Heavy Vola has to be seen as disturbing?

I am not quite sure - What do you think? - but, we coule develop some kind of BollingerBands, but rather taking the Std.Deviation of the SMA, we will the the Std. Devation of the average wicksize of the last (n) periods? Does that make sense to you?

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