Trading: Principles of Time Transformation in Intraday Trading
Amir.
Quite interesting and scientific approach.
But I have a question.
After a couple years of trading forex and maybe I´m wrong.
A tick, for me and other traders and specially in forex where is no real volume of transactions, we consider a tick as simple quote move.
Many times, Ticks could depend on broker update rates.
Due the forex nature of non centralized market, broker A could be updating quotes (ticks/pips) twice than broker B. This is a very common practice.
IE: broker A have updated quotes 100 ticks in the last 6 minutes and broker B have updated 100 ticks in last 10 minutes.
This situation would have an impact on corrected indicators.
I´m right?
Quite interesting and scientific approach.
But I have a question.
After a couple years of trading forex and maybe I´m wrong.
A tick, for me and other traders and specially in forex where is no real volume of transactions, we consider a tick as simple quote move.
Many times, Ticks could depend on broker update rates.
Due the forex nature of non centralized market, broker A could be updating quotes (ticks/pips) twice than broker B. This is a very common practice.
IE: broker A have updated quotes 100 ticks in the last 6 minutes and broker B have updated 100 ticks in last 10 minutes.
This situation would have an impact on corrected indicators.
I´m right?
Linuxser:
Amir.
Quite interesting and scientific approach.
But I have a question.
After a couple years of trading forex and maybe I´m wrong.
A tick, for me and other traders and specially in forex where is no real volume of transactions, we consider a tick as simple quote move.
Many times, Ticks could depend on broker update rates.
Due the forex nature of non centralized market, broker A could be updating quotes (ticks/pips) twice than broker B. This is a very common practice.
IE: broker A have updated quotes 100 ticks in the last 6 minutes and broker B have updated 100 ticks in last 10 minutes.
This situation would have an impact on corrected indicators.
I´m right?
Yes.
Amir.
Quite interesting and scientific approach.
But I have a question.
After a couple years of trading forex and maybe I´m wrong.
A tick, for me and other traders and specially in forex where is no real volume of transactions, we consider a tick as simple quote move.
Many times, Ticks could depend on broker update rates.
Due the forex nature of non centralized market, broker A could be updating quotes (ticks/pips) twice than broker B. This is a very common practice.
IE: broker A have updated quotes 100 ticks in the last 6 minutes and broker B have updated 100 ticks in last 10 minutes.
This situation would have an impact on corrected indicators.
I´m right?
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New article Principles of Time Transformation in Intraday Trading has been published:
This article contains the concept of operation time that allows to receive more even price flow. It also contains the code of the changed moving average with an allowance for this time transformation.
Statistical homogeneity of observations always plays an important role in analyzing previous price movements. When such homogeneity takes place, it is possible to study deeply the process properties for the revelation of regularities that contribute to building a trading system. But it is a well known fact, and it will be proved later that even at the first approaching the process of exchange rate is non-homogeneous, namely there is a heterogeneity, connected with the activity of different trading sessions: American, European, Asian and switch between them.
I will dare say that few of new systems developers and not all "experienced" ones ever think that even the simplest indicators of the moving average type, bound to time, are actually different units in different parts of the day. Undoubtedly there are systems, formulated in terms of prices, not time. A typical example - systems based on renko and kagi methods, but they are minority. But, I will repeat, the majority of them are bound with time, usually indirectly - through indicators.
All the above obviously refers only to intraday-systems. For larger timeframes, even if there is seasonality, it is not so apparent. And in intraday trading it is essential and very often leads to the fact that the system shows different profitability in different times. Let us dwell on the factors, causing such effects, and the ways to overcome them.
Author: kamal