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Average cannot be used, as it will give non-existent prices, which is fatal.
The average can't, as it would give non-existent prices...
The maximum will have the same effect in terms of fatalities as the medium and the openings.
Go to pre-existing prices - add Ask. And forget the spread as a kitchen atavism forever.
OFFTOP:
Looking here. Who do you think is more profitable to trade with (under equal execution conditions), who has narrower spreads more often, or who's Bid is higher than others and Ask is lower?
You can evaluate trading conditions (with equal execution conditions) only by analyzing both prices, but not the spread. It is an illiterate myth that a narrow average, minimum or maximum spread says something about trading conditions.
Go to the existing prices - add Ask. And forget about the spread as a kitchen atavism forever.
The question is what Ask to add?
hrenfx:
Добавляются OHLC Ask данные. Ask и Bid становятся полностью равноправными по информации. Без равноправия получается серьезный перекос.
A simple example of how Ask price discrimination is affected by OHLC Bid + Avg Spread approach:
You have optimised your EA. You have put it on the real account. After a certain amount of trades, you will notice that the SELL-transactions are much more numerous than BUY-transactions when compared to the same ratio in the tester. This is the reason why the Bid price data in the tester is complete and the Ask is completely the opposite.
I don't understand how this bias is obtained (due to what). Does it only affect those experts who analyse every tick to make decisions? Maybe you have some simple test EA to study in more detail. Interesting, I just want to understand.
... And forget about spread as a kitchen atavism forever.
...
But it's a concept nonetheless. And it is present in the link that you cited. So you can't forget.)))
Take a simple channel reversal strategy implemented on limiters:
This is a simple strategy. Try it in the tester so that trades are executed more frequently and then run it with these parameters on a demo with a floating spread.
Then perform the following steps:
They will be different. This is because only two prices are very important for this strategy - High Bid and Low Ask. The tester data on High Bid will be accurate from history. But Low Ask - not, because it will be modelled = Low Bid + Spread.