a trading strategy based on Elliott Wave Theory - page 285
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While having fun with price series charts, I accidentally discovered a very simple and fully automatic algorithm for finding support/resistance levels.
Here is a picture:
We do some simple transformation over the price curve (its parameters can be changed), then we look for flat areas.
If I'm too slow, I'm breaking through an open door, and it's all known and uninteresting for a long time.
If I'm wrong, I'll be glad to give you the details.
Good luck to all and good luck with the trends!
Good evening to all
Please tell me the details of this algorithm.
Thank you in advance
I don't have the scale on the abscissa axis normalised. I haven't done it specifically yet, as normalization depends on the specific wavelet and also on the specific computation scheme and choice of scale scale (the latter two things are constant for me so far). The normalisation coefficients are not too different from 1, but still... Specifically for those charts that I cited here, the wavelet harmonic wavelength corresponding to a certain peak can be calculated as follows: take the distance of the peak apex from the right edge of the chart, multiply this number by 1.25. I.e. peaks correspond, taking into account what was said above, to the average (averaging along the time axis) distance between maxima/minima. Yes... To count more accurately - the right-hand edge on the spectrum graphs is 2048.
Please tell us the children of this algorithm.
Thanks in advance
Here is the story.
We apply a multiple median filter to the price curve. What is it? We take an odd-sized (>=3) window and run it through all values of the initial curve. At every current point, sort by value the points included in the window. The current point is assigned an average value (in the sense that it is situated in the middle of the array) from the sorted array. Once again we apply the same filter to the result obtained. We repeat it many times (usually 20-30 times is enough).
To get the resistance levels we invert the price curve upside down and do the same. Then we flip the obtained result backwards.
That is all!
The two parameters are window size and number of repetitions. By varying these parameters we can optimize the result. In general, it turns out to be interesting!
Good luck and good trends!
These are details, but I'm interested in a general question: is it possible to predict an incipient pattern using this method? What's the tricky part of the method. You, as an expert in the field, suggest a possible direction of search.
My IMHOHO - you can't predict (recognize) the incipient pattern. And the appeal is in beautiful pictures, they really captivate (at least when I "drew" them, I looked at them as a hypnotized rabbit), and it seems that you already know everything about the market and feel it and a little, just a little is left .....
PS: and no neural networks and no pattern recognition will help....
Wait a minute, Sergei! What about your images and calculations of the future price movement?
PS: и никакие нейросети и никакое распознавание образов не поможет….
Wait a minute Sergei ! What about your pictures and calculations of future price movements ?
I do not predict (or recognize) patterns (that's the key word) and I think it's just utopia. Using the skeleton I calculate the dynamic characteristics of the system, these characteristics are simply substituted in the formula as coefficients and I obtain the future price movement.
PS: и никакие нейросети и никакое распознавание образов не поможет….
Минуточку, Сергей ! А как же Ваши картинки и расчеты будущего движения цены ?
I don't predict (or recognise) patterns (that's the key word) and I think it's just utopia. By skeleton I calculate the dynamic characteristics of the system, these characteristics are simply substituted into the formula as coefficients and I get the future price movement.
The future can also be regarded as a key word, then you, Sergey, are contradicting yourself, or trying to lead us to something (in a sly way)...
You're probably right. I got it somehow easily and completely by accident. I was fascinated by the fact that it's very simple and unambiguous. If at least one person can make use of it - I'll be glad, if not - it must be my destiny. I have absolutely no pretensions to anything here!
P.S. Thank you for your excellent material on statistical properties of random and price series! I read it with great pleasure. Very much enjoyed it and found it useful.