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NEVER LOSE AGAIN!! - TheRumpledOne
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NEVER LOSE AGAIN!! - TheRumpledOne

  #271 (permalink)
Elite Member
Perdido Beach, AL
 
Futures Experience: Intermediate
Platform: graph paper
Favorite Futures: Guitar
 
websouth's Avatar
 
Posts: 1,150 since Jul 2009
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hey cclsys check this indie out. Someone coded this awhile back and it shows a similar thing...


Last edited by ZTR; March 5th, 2010 at 07:48 PM. Reason: Removed zip
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  #272 (permalink)
Elite Member
las vegas
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: Velocity/IB
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so i did the math...

I calculated for the gbp.usd on 5000 60-minute bars ending on 2/12:

Pip Sizes:

Body:
All candles: 17.88
After up candle: 17.97
After down candle: 17.78

Upper wick:
All candles: 9.33
After up candle: 9.13
After down candle: 9.55

Lower wick:
All candles: 9.02
After up candle: 9.36
After down candle: 9.23

High over prior high:
All candles: 16.69
After up candle: 17.41
After down candle: 15.18

Low under prior low:
All candles: 16.82
After up candle: 15.50
After down candle: 17.53

Percentage greater than 10 pips:

Body:
All candles: 59.1%
After up candle: 59.0%
After down candle: 59.3%

Upper wick:
All candles: 36.1%
After up candle: 34.9%
After down candle: 37.4%

Lower wick:
All candles: 34.7%
After up candle: 34.5%
After down candle: 35.0%

High over prior high:
All candles: 2341 total bars, 54.8% were over 10 pips
After up candle: 1587 total bars, 57.2% were over 10 pips
After down candle: 754 total bars, 49.9% were over 10 pips

Low under prior low:
All candles: 2283 total bars, 54.2% were over 10 pips
After up candle: 796 bars, 48.2% were over 10 pips
After down candle: 1487 bars, 57.4% were over 10 pips

Pip Threshold to achieve “2 out of 3” claimed by TRO: (assuming no stop loss)

High over prior high:
All candles: 6.9
After up candle: 7.2
After down candle: 5.6

Low under prior low:
All candles: 6.9
After up candle: 5.9
After down candle: 7.3

Conclusions:

TRO is correct, the percentages increase dramatically when going long after an up candle and short after a down candle, which is what I think he is trying to say. However; while I haven’t tested intrabar, I am pretty sure if you throw a 10 pip stop loss into the equation then you are no longer going to achieve 7.2 or 7.3 pips 2 out of 3 times by simply going with the prior candle. Regardless, I am definitely going retest my strategies and stratify the results using this information. It may also be effective to delay entering until after a down or up bar is achieved. Has anyone else considered this in their testing before?

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  #273 (permalink)
Elite Member
Florida
 
Futures Experience: Intermediate
Platform: NT7
Favorite Futures: CL, NQ, NG
 
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thanks vegasfoster,

I, too, have followed this thread with interest. I've even started (without success as yet) to start a frequency distribution. It's on the back burner for now.

If you'd care to share your Excel spreadsheet or other method to compile the results, I'm sure many on this forum would appreciate the insights into how to get detailed results you've obtained.

Thanks in advance.

Kirk

 
  #274 (permalink)
Elite Member
las vegas
 
Futures Experience: Intermediate
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Cleaned it up a bit, originally built in 2007, so had to change some of the formulas to be backward compatible. If I missed any and you can't fix it, let me know. Also would appreciate any feedback on any errors in the calculations. Also, I hate writing database formulas in excel, so it may take a few seconds to calculate on a slower box.

Calculates up to 10000 bars. Paste data as values in the input sheet. There
is a point value multiplier, I don't trade futures, so not sure what value you would need to enter. On the output sheet, you can change the values in yellow for purposes of determining the specific values that will give you the desired percentages. Was trying to think of other things to sipher, but nothing was coming to mind. Let me know if you have any other ideas.


Last edited by ZTR; March 5th, 2010 at 07:49 PM. Reason: Removed zip
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  #275 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
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vegas,

This is something I am trying to learn. I created a quick ninjascript to output the fields you wanted:

Date, Time, Open, High, Low, Close, Volume

I did this for CL (crude oil futures) for 5m bars from Jan 1 2007 to present. It's about 50,000 bars or so.

CL point value is $ 1,000 per point (ie 72.00 to 73.00 is $1,000). I'm having trouble with the spreadsheet. a) the point value seems to not work right, and b) how can I increase the number of bars it can process? I'd like to do this with range bars and 1m bars, I need to be able to do about 1 million bars or so.

I've attached the file.

Mike

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Attached Files
Register to download File Type: zip ninja.zip (631.2 KB, 58 views)
 
  #276 (permalink)
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Florida
 
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Unfortunately, mine doesn't even unzip - gives an error message about corrupted zip file. Tried repair but still unable to unzip.

My version of excel is 2002.

Big Mike's file unzipped but that's only 51,000 rows of OHLC data.

Thanks for helping.

kz

 
  #277 (permalink)
Site Administrator
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Big Mike's Avatar
 
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Kirk,

Try this one. I just rezipped the one vegas provided.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.


Last edited by ZTR; March 5th, 2010 at 07:49 PM.
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  #278 (permalink)
Elite Member
Florida
 
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Posts: 456 since Jun 2009
Thanks: 1,359 given, 383 received

Thanks BigMike,

That works.

Appreciate it.

kz

 
  #279 (permalink)
Elite Member
san ramon
 
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does anyone know how we could bring this info into NT.....say first red bar below EMA means 60% chance for another red bar.........obviously with only 1 stat i could adjust the the code easily, but if we had 20 or so.......??

 
  #280 (permalink)
Elite Member
arizona
 
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GoldStandard's Avatar
 
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https://futures.io/free_downloads/ninjatrader/indicators/57-download.html?view

You guys might be interested in this indicator, which give statistics on swings rather than bars.

Swings seem promising to me since they directly represent an event rather than an arbitrary slice of time /range/volume/ticks like bars do.

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