Hi Madmoney, Yes I think that's a good way to judge initial algo performance. Generalizability to new data becomes more important once the in-sample issues have been hammered out.. I think a lot of people are/were looking for a recipe or ...

Fractals, ZZ & the Pissing Dog

Hi jimsterk, By comparison here is my algo over the same period. It has some of the same problem points that yours has, with a few additional. Back to debugging... image

Fractals, ZZ & the Pissing Dog

It takes some time to work through some of these concepts, such as what is a probability density function (PDF) and how to interpret a distribution (histogram) plot. I'm still learning and have had some new ideas because of this thread - thx ...

Range bar charts are Normal charts!

Hmm. I don't know how I missed that subtle but important point! I must be tired These plots are interesting. They all show thin tails. But it looks like on the range charts that it may be due to gaps in the data rather than the underlying ...

Range bar charts are Normal charts!

Ok then I'm not sure if I agree with the assertion that range bar prices are normally distributed. Perhaps the sample of prices that you studied appears to be normal. This sample of prices doesn't seem normally distributed. For instance: ...

Range bar charts are Normal charts!

Thanks for adding this VERY important point Ivanyo!

Central Banks & Big Players

It can be worked out by using a binary tree as you did above where 1 pip is the minimum move and the tree stops when the max range is hit. Then just by counting up the ending frequencies based on how many ways there are to reach a certain path. If ...

Range bar charts are Normal charts!

The idea is that if price reactions off news reports are really a 50/50 proposition, by consistently betting on one side of the equation, you are guaranteed to win 50% of the time. If you switch from long to short at various times based on your ...

Central Banks & Big Players

There are lots of ways to sample a time series. The obvious and most common way is to sample based on equal time periods. In this case time is a linear function, but price or range is obviously not. You can also sample based on range in which case ...

Range bar charts are Normal charts!

Thanks for that. So I think you mentioned earlier that one of the nice properties of the Kalman filter is that it tends to split the time series equally (above/below) the filter. I take from your description above that this KF is based on the price ...

Range bar charts are Normal charts!

By this same logic you could say that time charts distort the impact of range.

Range bar charts are Normal charts!

How does your red and green line do in terms of this? (below) Some info on the Central Limit theorem and how it applies to all types of distributions: www.youtube.com/watch?v=EXKUNccqL6Y&src_vid=0zqNGDVNKgA&feature=iv&annotation_id=annotation_229192 ...

Range bar charts are Normal charts!

Yes, but now they also know that you know! But not all is lost, it no doubt flew over the head of 99.7% of the FF elite. I'm just waiting for the first MT4 indicator request.

Range bar charts are Normal charts!

Hi G, If you strip out money management (appears to be 10x leverage), how many pips did it make during these 2 months? About 480? Is this better than the average pip production on minute based charts?

Fractals, ZZ & the Pissing Dog

I consider consistency to be like waiting for a bus. If the bus is on time day after day, that is a consistent bus. If it is alternately early or late, then the bus is not very consistent. In like manner when profits from a given equity curve are ...

What information is important in backtesting analysis?

I used similar rules for testing random entries to those posted by PipMeUp. Here are 10 results on H4 EUR/USD for about 3 years with random entry when flat on a bar, with 50 pip sl, 500 pip tp: (note: these results are all from the same system, same ...

TEB: Random Entry - Coin Toss Great with R.R.R.

I look at consistency of results. By the way vox dei, maximizing total net profit / max drawdown will tend to give the best in sample results but the worst out of sample results (least generalizable) of any metrics I have tested. That good looking ...

What information is important in backtesting analysis?

I agree it is a bit of a simplification but the gist is correct: multi pair hedges can be resolved more simply given suitable weights. Mathematically EG = EU / GU. However, when we buy or sell we can only add or subtract. Through triangular ...

Does the martingale system really work?

leebsurag, this is a very good question. To answer requires a definition of efficiency. There are many ways to view efficiency that would require many pages of text to describe fully. The concept of inefficiency is closely related to the concept of ...

The most searched holy grail

Yes, I know there are a few of us who are going after this in a serious way. I don't post that much but am committed to replicating G's final results. If one can do it, others can too. I'm fighting with MT4 at the moment. With flx23's document it is ...

Fractals, ZZ & the Pissing Dog