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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:
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).
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
Can you help answer these questions from other members on NexusFi?
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?
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.
You can attach files up to 1GB in size to posts if they are zipped. Image files (PNG, JPG) are limited to 4MB each so they load reasonably fast when viewing threads. If you need to upload an image larger than 4MB, which should be a pretty rare thing, then just zip it first.
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.
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.
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?
