a trading strategy based on Elliott Wave Theory - page 236
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Results for EURUSD.
The strategy showed the possibility of getting arbitrage profit of 1-2 pips for every 25 pips of movement. 25 pips, the price moves on average 2-3 times a day, 200 working days a year (in MTS trading). We have 3*200*2=1200 pips per year - optimistic variant, 2*200*1=400 pips per year - pessimistic variant.
Results for EURCHF.
Minimal spread on this pair is 2 points. Margin trading is possible with 1-2 pips profitability per trade, with 15 pips rent breakdown. The 15-point range is passed by the instrument 4-5 times a day on the average. Thus, 4*200*2=800 points per year.
Construction results for EURGBP.
Minimal spread on this pair is 1-2 points. Margin trading is possible with 1-2 points profitability per a trade with 13 point spread. The tool passes the range of 13 points on the average 3-4 times a day. So, we have 3*200*2=600 points per year.
Let's consider the fact of satisfactory temporal stability of the yield criterion to be proved. 2.
Evaluation of profitability shows that it is possible to receive margin profit on some currency instruments. 3.
3. We can note higher profitability of the renegotiations.
It's time to write an emulator of trades and make sure the results of obtained estimations correspond to the TS operation.
And what is the criterion of choosing of a deal opening direction? My understanding is that there is none.
...
A postscript:
I guess I really asked some silly question, that nobody has answered it till now. :o( Seems to have reasoned logically, as it seemed to me. There are statistics that show "mostly" stable movement over the day by some number of pips. All what remains is to understand at what moment to open and in what direction, i.e. when exactly to expect this movement. The accuracy is needed because the motion itself is objectively speaking small and any brokerage company takes 10-30 seconds to work out our order.
This is what I have not understood yet. Maybe this is an obvious thing and I am the only one who does not understand it. I have not found any clear answers (I speak, of course, about me) in this thesis (and did not expect to find them).
Please explain, I'm not even going to agitate for beer anymore since no one likes it. :о(
That's what you asked.
It is obvious that the strategy is profitable if the right side of the inequality is greater than zero. Ignoring the last term in the right part of the inequality, we obtain the arbitrability condition:
|nt-2H|/Spread>1, where nt is the total length of the zig-zag (in points) referred to the number of links (breaks), or the average link length. H - discreteness of partitioning (in points). Spread is the DC commission (in points).
For example, if nt-2H>0, we should use H+-strategy (open towards price movement), if nt-2H<0, we should use H-strategy (open against price movement).
All of the above is also true for the Renko-build.
2 Neutron
I am also inclined to this idea. That is, on the same ticks of 2006 run this strategy and see what happens. Since the strategy is based on long term stability of H-volatility, no decisions within the process should be made by an Expert Advisor. It is quite possible to use pending orders (or their emulation). In this sense, the Expert Advisor is 2 times easier than the one that plays on the grid.
Volatility(1min)<< the discreteness of the breakdown. Here, however, I haven't come across this place in Pastukhov...
Not a follower of the ideas in the thesis, but I have a question. Probably silly, but I hope that colleagues will treat with a kind smile to my stupidity and explain what is the matter. OK, there is in the general case "x" points of arbitrage profit, by "y" points of movement. Multiplied, we get a decent number of points per year, which, theoretically, we can convert into material wealth.
If H-volatility is greater than 2H, then upon reaching 2H from the next extremum
it is betting that the price will pass another H, in the direction of the movement.
Otherwise, if H-volatility is less than 2H, then a bet is made that price will pass
back by at least H.
Approximately.
Frankly speaking, I haven't tried it for bars. Maybe I've missed this place in Pastukhov's thesis (I haven't read it in details). Besides, I understood from his experiments with indexes that he did everything on ticks. This, moreover, coincided with my attitude to ticks. And since in real time ticks are one pleasure to work with (under condition of stable broker's server working), I decided that I would not bother with bars at all.
But now I will have a look. Since I've made a zigzag for both ticks and bars, it's not a problem.
Generally speaking, for small values of H (i.e. H < local candle's size), correct results cannot be obtained in principle. The zigzag (not only mine :) doesn't know what's going on inside the candlestick and it can only draw a segment from High of one candlestick to Low of another one or vice versa. Therefore, even the problem of an outer bar in the candlestick zigzag will not be solved. In our situation it means the data of the candlestick's zigzag is obviously wrong, and the H is actually increased in appropriate places of the chart.
Maybe it is possible to avoid this problem by rewriting the code of the zigzag specially for Kagi or Renko, but it seems to me that it is not worth the trouble.
...In general, for small values of H (i.e. H < the local size of candle), the correct results can't be obtained in principle. The zigzag (not only mine :) doesn't know what's going on inside the candle, and it can only draw a segment from High of one candle to Low of the other, or vice versa. Therefore, even the outer bar problem in the candlestick zigzag is not solved. In our situation it means the data of the candlestick's zigzag is obviously wrong, and the H is actually increased in appropriate places of the chart.
Maybe it is possible to avoid this problem by rewriting the code of the zigzag specially for Kagi or Renko, but it seems to me that it is not worth the trouble.
I think so, too. The correct zigzag, at a certain ratio of timeframe and rollback
is impossible in principle.
grasn why doesn't anyone like it!? i'd love to have a few drinks :)))))))))
p.s. To be or not to be? - the eternal question...
that can't be answered definitively :)))
... обратили внимание на тот факт, что с ТФ=60 мин. связь между соседними отсчётами почти нулевая (см. свой рис.), т.е. марковский процесс, начиная с этого момента, выраждается для EURUSD в винеровский. Интересно правда? Люди на "дневках" работают, а тут, начиная с часа, ловить уже нечего!
IMHO, from a purely mathematical point of view, a "Cascade of Bifurcations" describes the pricing model most completely.
A bifurcation cascade (Feigenbaum sequence or period doubling scenario) is one of the typical scenarios of transition from order to chaos, from a simple periodic mode to a complex aperiodic mode with an infinite period doubling. The Feigenbaum sequence has a self-similar, fractal structure - increasing any region reveals similarity of a selected region to the entire structure.
Analysis of transition mechanisms from order to chaos in real systems and in various models has revealed the universality of relatively few scenarios of transition to chaos. The transition to chaos can be represented as a bifurcation diagram (the term "bifurcation" is used to denote the qualitative restructuring of the system and the emergence of a new regime of its behaviour). The emergence of the system into an unpredictable regime is described by a cascade of bifurcations, one after another. The cascade of bifurcations leads sequentially to a choice between two solutions, then four, etc.; the system starts oscillating in a chaotic, turbulent regime of successive doubling (number?) of possible values.
All TFs are therefore meaningful and can be used for trading. The important thing is to use meaningful inputs in the right amount and not go out of your script, or they double up too quickly :). IMHO
Avals good post!!! you are going in the right direction TOWNSHIPS!!! :))))
I always know exactly what I'm talking about. And there is no contradiction here.
Something similar is described by Malderbrot. In the simplest case, if you take
one random process and overlay it with another random process, but
on a smaller scale, both in magnitude and in counting, you get
roughly what I'm talking about. In this system, with two independent
processes, the smaller scale process just has to follow
the larger process and that makes it less random.
On the spider, a famous breeding ground for sentiment ideas, there is much and passionate discussion of
that very sentiment. From my point of view, large movements
is sentimento. But it must be said that the Russian forex market does not
like a real market, if only because the quotes are not formed
and the sentimento is different.
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North Wind is a very good point :))) HIGHLY HIGHLY! :)