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Price Forecasting with chaos
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Price Forecasting with chaos

  #11 (permalink)
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Okay, I'll bite. Forgive my ignorance:
  1. As I understand, the figures you are showing are histograms/sample PDFs of the prices of the prior day? Am I correct? Is volume somehow wrapped up in this?
  2. If #1 is correct, then you are forecasting the next day's price based on the median of the prior day's prices and the standard deviation of the prior day's prices. So, days with much volatility (big standard deviations) will cause your forecast line to have a steeper slope. Correct?
  3. How is this "chaos?" +1 for using sampled PDFs and not parameterized statistics, but I don't get how this incorporates some chaotic model. To me, this looks like some sort of support/resistance idea characterized by statistics (which would be pretty cool).

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  #12 (permalink)
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ecmf View Post
Thank you for your interest, before we start on the route of indicators, it will be more fruitful to first understand this unconventional concept of price forecasting.

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  #13 (permalink)
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serac View Post
Okay, I'll bite. Forgive my ignorance:
  1. As I understand, the figures you are showing are histograms/sample PDFs of the prices of the prior day? Am I correct? Is volume somehow wrapped up in this?
  2. If #1 is correct, then you are forecasting the next day's price based on the median of the prior day's prices and the standard deviation of the prior day's prices. So, days with much volatility (big standard deviations) will cause your forecast line to have a steeper slope. Correct?
  3. How is this "chaos?" +1 for using sampled PDFs and not parameterized statistics, but I don't get how this incorporates some chaotic model. To me, this looks like some sort of support/resistance idea characterized by statistics (which would be pretty cool).

thank you for your interest. i will try to answer them
1) It is not based on sample PDFs and volume is not considered. It is made up frequency of traded price.

2) The prediction is not based on standard deviations, but the formation of equilibrium and its destruction.

3) You can use the most frequently traded price as a form of Support/Resistance but the concept is slightly more complex. It is chaos in the sense that we acknowledged that price movement is random but there is global determinism and local randomness in the movement and we are able to discern this global determinism to make our forecast.

I hope this helps.


Last edited by ecmf; November 22nd, 2011 at 10:59 PM. Reason: formating and spelling
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Big Mike View Post
Hi,

Please confirm that you are not a vendor and that you have nothing for sale, no products, no services and are not related or affiliated with any company who does have anything for sale, products or services, with regards to trading.

Mike

Hello Mike,

there will be no attempt to sell anything to anyone. I just wish to share my price prediction and to discuss the concept with anyone interested.

thank you

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Target price reached


ecmf View Post
Feel free to predict the price for the bottom of the picture attached in the previous post.












answer : 127075---121550--116025

As predicted in my previous post, target price reached.

What must come will come, equilibrium will be achieved and will be broken resulting in chaos, and the whole cycle will be repeated again and again.

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  #16 (permalink)
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Thanks for your reply.


ecmf View Post
1) It is not based on sample PDFs and volume is not considered. It is made up frequency of traded price.

So, the pyramid shaped objects are histograms of the previous day's prices frequency content? So, you're taking the FFT (or something similar)? Of tick data? Minute? Closing prices? Care to elaborate?


ecmf View Post
2) The prediction is not based on standard deviations, but the formation of equilibrium and its destruction.

Okay. Similar language was used to describe chaos theory's predecessor - catastrophe theory. You're drawing lines from the extreme ends of the frequency distribution. Somehow the horizontal distance must be important, too. Correct?


ecmf View Post
3) You can use the most frequently traded price as a form of Support/Resistance but the concept is slightly more complex. It is chaos in the sense that we acknowledged that price movement is random but there is global determinism and local randomness in the movement and we are able to discern this global determinism to make our forecast.

Is this all based on some heuristic on the frequency distribution, or some underlying (quantitative) theory? Can you elaborate?

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Chaos Trading : Price forecast for S&P500

attached is the price forecast for S&P500 as can be seen, heavy resistance for S&P500 as shown in the picture, there are a few balance points above current price.

if price breaks below 115900, it will move to 115850.

Attached Thumbnails
Price Forecasting with chaos-es1124a.gif  
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serac View Post
Thanks for your reply.



So, the pyramid shaped objects are histograms of the previous day's prices frequency content? So, you're taking the FFT (or something similar)? Of tick data? Minute? Closing prices? Care to elaborate?



Okay. Similar language was used to describe chaos theory's predecessor - catastrophe theory. You're drawing lines from the extreme ends of the frequency distribution. Somehow the horizontal distance must be important, too. Correct?



Is this all based on some heuristic on the frequency distribution, or some underlying (quantitative) theory? Can you elaborate?

Hello serac,

thank you for your interest.

I will try to answer your questions.

the triangles are only drawn once we have identified our equilibrium, for a triangle to be drawn we need a point of origin (which could be the high, low or balance point), the forecast price (image pt) will be found once we connect a point of origin to another balance point.
A Balance point is simply the most frequently traded price for a interval. The high is the high price for a interval and the same applies to the low.
Raw tick data is used.
Finding equilibrium can be done after market hours or in real time.

Horizontal distance is of no importance, we need to find equilibrium by looking at the display of raw prices using non-fixed time intervals.

The theory is based on chaos and similar to sierpinski triangle.

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Thanks for sharing your way of looking at the market.

If I understand you correctly the histogram you're using is basicly a TPO (Time Price Opportunity) profile that shows how much time price spent at a given price rather than how much volume traded there. Is that right?

How do you decide when the trend has changed? Would you perhaps be willing to post some charts about your method from between November 8 and November 15 or so, when there were large shifts in the prevailing trend?

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Is there a indicator to download and test on for Ninja.?

There is a choice of market profile indicators.


GomMP Market Profile Indicator 2.1 by @gomi

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dValueArea by DeanV

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Market Profile by @Vitaliy

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TPO and Volume Profile Chart by FinAlg (commercial indicator)

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