a trading strategy based on Elliott Wave Theory - page 245
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I liked your view on the market (it made me think about many things) and I wanted to know if I have already used it in practice? Or the most practical use of it is the non-participation in speculations on Forex - the money will be safer (I suppose this answer is also possible)?
As far as I have guessed, we are talking about comparing two values of different dimensions (points and ticks, respectively), but you can't compare them like that... or am I just not sure what you mean?
No, we are talking about pips in both cases. For example, when the price goes up and e.g. follows the channel with the width of N pips, then we place a support line under the channel and when the channel breaks through it, we enter.
these values are equal in the construction shown by Pastukhova.
I just liked your vision of the market (it made me think about many things) and I wanted to know if I had already used it in practice? Or the most practical use of it is the non-participation in speculations on Forex - the money will be safer (I suppose this answer is also possible)?
I also have a modest question. How are things going with Vladislav's method? Have you brought it to your senses? I wanted to wait for the annual anniversary of this question, but now that such questions began ...
By the way Shiryaev, Pastukhov's scientific adviser, said in a speech that Pastukhov and others have bought themselves new cars, so the real benefit was. I really doubt that there is anything in the dissertation that will directly lead to a new car, but it is an interesting approach, just like Vladislav's approach, which allows us to make numerical estimates.
We can note a very low sensitivity of reneko partitions to the initial conditions! Probably for this reason Pastukhov did not pay any attention to this point in his work.
Alas Seryozha, I do not share your optimism. The two pictures below show the yield of the H-strategy for Renko constructions with H=14.15 and H=33.35 respectively. The values of 14 and 35 are taken because they are the local extremums in my returns. And 15 and 33 are for comparison with your results. The charts show the yield depending on the anchor point of the Renko grid, or, in your words, the starting point. The spread has not been taken into account. The results in points.
As you can see, the results are fundamentally different from yours. The sensitivity of the strategy for Renko constructions is very much dependent on the initial conditions. Profit can triple or even change the sign. Moreover, when changing the initial conditions the value of H-volatility may change, for example from 1.90 to 2.10. It means that we should switch from H- strategy to H+. On the second graph this is visible because the yield is going into minus. The reason for this is that the calculation was made for the L- strategy, therefore everything that would give profit for the L+ strategy turns out to be exactly the same loss for the L- strategy.
As confirmation I would like to demonstrate dependence (almost linear) of profit of H-strategy on the value of H-volatility.
Inquisitive mind can make very far reaching conclusions from these pictures.
And I have a question to you Sergey. How did you manage to get such stability of Renco? Perhaps you simulated the process of trading by this strategy in Matcad?
PS
Still, for Renko there is an opportunity to earn 1000 points per year even with a 2-point spread.
I found it with H=42 and correct grid binding. This anchor allows +-2 pips, i.e. there is a 5 pips stability island there. From the biased critic's point of view this is all nonsense and backward-fitting. However, this is the scepticism of a superficial eye. The anchoring of the renko grid makes deep physical sense. Its lines are support/resistance levels.
As we know, Murray levels are also equidistant and are now very popular. They have, however, a couple of obscure points, the solution of which I do not know how it is justified and whether it is justified at all. First, they are constructed from zero, and second, the method of construction is binary division. Why - ask Murray. And in this case the market itself tells us what the interval between the levels is and where it starts.
By the way Shiryaev, Pastukhov's scientific adviser, said in a speech that Pastukhov and others have bought themselves new cars, so the real benefit was. I really doubt that there is anything in the dissertation that will directly lead to a new machine, but it is an interesting approach, just like Vladislav's approach, which allows us to make numerical estimates.
In principle I have already reported on this several times in this thread. The original idea of Vladislav's methodology, based on the Hurst index, had to be abandoned. This indicator is noise-dependent (it depends on the quotes provider), and therefore it is unstable in terms of forecasting with the appropriate consequences for trading. But the main thing that turned out to be valuable and that I am using now is the idea of forecasting based on matstatistics. Moving in this direction, I added my own ideas concerning application of the second order regression, methods of building optimal regression channels on the basis of convergence of the 1st and 2nd order regressions and also the related mythical idea of "speculative capital limitations". What it all led to is shown here:
"trading strategy based on Elliot's Wave Theory"
solandr 15.01.07 14:34 (By the way, the forecast correlation curve (solid yellow line with dotted mean borders) indicated rather precisely the price range within the specified time interval)
About the description of methods of drawing channels you can see here
"trading strategy based on Elliott Wave Theory".
solandr 04.10.06 10:11
The final result on the real account is not impressive so far. The real increment is slightly above zero. I am searching for more. I am planning to try some alternative methods of bar formation. I have for a long time had a strong desire to see how my channels may look like on them. There is a discussion about Renko. My foreseeable future goal is to write a script that will produce the required variant of bar formation. If the realization of this task is successful, I will introduce the results.
"MQL4: Who wants to see charts without missing bars, come here =)"
solandr 17.01.2007 10:44
PS: As regression channels on M30 period (for exact determination of stop loss and entry point into position) I changed from traditional way of regression construction Price vs Time to the principle of regression calculation Time vs Price. Of course, it didn't change anything in principle. But it resulted in much earlier (closer) stops and entry points because the slope of this method of regression building is a bit steeper, though of course both regressions built on the same interval overlap exactly in the centre of the sample.
As for the physical meaning of using Time versus Price regression, the following interpretation can be offered. The boundaries of Time domain regression channel presumably indicate the time of existence of a determined price level. Something like if the current time has passed beyond the time confidence interval and the level has not been broken, the probability of the price bounce from this level is high.
In simpler terms, it could probably be put like this. This is just the most logical interpretation of such a variant of building a regression channel. I have not yet thought of another interpretation.
I saw the pictures and liked them a lot, but I was more interested in whether you got to the real world or not and what was the result, I got the answer - thank you. I'm glad that you've come to reality and disappointed that you haven't yet got the results.
The initial idea of Vladislav's method based on Hurst Index had to be abandoned. As this indicator is noise-dependent (it depends on the quotes provider), and therefore it is not stable in forecasting with the appropriate consequences for trading.
Strangely, the articles say it is a stable indicator.
But the main thing that turned out to be valuable and that I am using now is the idea of forecasting based on matstatistics. Moving in this direction, I added my ideas in terms of using second order regression, ways to build optimal regression channels based on convergence of 1st and 2nd order regressions,
this is what I like about it, the fact that it is computable.
I'm in a bit of a hiatus myself - I've come to the conclusion that "simple" strategies don't work. For example kagi strategy with one and the same H for a year is like trying to sail on a sea-going boat through rivers or to cross oceans on a boat. i.e. one of the complication methods is dynamic selection of H. Depending on the market.
Or paternals. i.e. instead of regressive channels, look for paternals that can be calculated in advance and correlated with channels or parabolas. The same Gartley's paternas can be interpreted this way if desired. In my opinion, in paternas the entry problem should be easier. But these are all projects, and there are a lot of them, as always.
I would like to ask how do you enter the deal? I am interested in the following: if the channel is formed upwards or parabola, do you wait until the price comes to the lower border or place order from above on the border of the channel?
I've been testing for one year using only small stakes of 0.5 dollars. I am automatically getting a psychological training. My opinion on this subject is already formed long ago and consists in the simple fact that, theoretically, a trader can take from the market exactly as much as his own psychology allows him to. That is, you understand yourself that it is one thing to have a $1 lot and a floating balance of $5-10 per day, and it is quite another thing to have a $1000 lot with possible $50,000/day balance variation. In my opinion, before having the latter option one has to simply grow up to it, gradually going through the whole cycle of increasing position size from $1 to $1000 and more. Of course, you do not have to wait until the deposit itself grows to these values, but jumping from 1 dollar lot immediately to 10 dollars lot - this is fraught with serious consequences (for now I assume that the option of doubling the rate at each sufficient increase in the deposit). There are a lot of stories about this on Forex. If we look at the above mentioned cases we will see that the real profit is not that bad, and the real one is lost. But miracles do not happen, trading conditions of the demo coincide with the trading conditions of the real, except for situations when you are moving well just a huge real size lot (but it's not for this situation, because people plummet much earlier than reaching the size of the lot)! The problem with such situations is simply the immaturity of the trader's psychological preparation.
On the other hand, engaging in a months-long collection of statistics with a demo is most likely a simple waste of time. The demo is just needed to detect crude program errors in the initial versions of the Expert Advisor's code, not for any real testing. If you don't have confidence in the Expert Advisor's operability, why should you waste your precious time, which is always short, on long-term demo-testing? I even started to debug additional modifications of the code long ago in a real account. Although I can openly say that there were single cases of failures of modified versions of the Expert Advisor that incorrectly closed/opened real trades. So what? These isolated cases could not make a difference in a small securities deposit of 300 quid and did not even affect the overall statistics. If a person is not mentally ready to accept even minimal losses in the game and is ready to sit on the demo for years, Forex is probably just not for him. That's why instead of wasting time on demo-matches you may be occupied with something much more interesting instead of senseless exchange of one currency to another and back. From the outside it would not be other than meaningless! ;o).
Also, just give details of the real game I played last month. I have made about 300 trades. Total profit +7367 pips, total loss -6130 pips. Total account in my favour Net profit +1237 pips. Approximately it turns out to be about 4 pips of profit per trade. If you look only at the Net Profit, many people only dream about it. I, on the other hand, look at the ratio between the Total Profit and the Total Loss, which is just over 1. This is what is worrying me, as a positive final result may be a completely random coincidence, even in spite of a solid number of trades. I trade all 19 available currency pairs. Spreads, as well as swaps do not interest me because take profit/loss is much wider than spreads and swaps. Time of trade holding usually is from 1 day to 2 weeks.
Well, there are also another opinions about it. For example with Northwind. Either in simple unnecessary things here http://forum.fxclub.org/showthread.php?t=32942 or in My Thoughts (MM) on the bride (Kunstkammer section).
Although it would be more accurate to say that this indicator is very robust only on very large samples of data. On small (2-5 days) data samples to be used for prediction, this indicator differs on quotes of different brokers, which leads to different results. Although in the same thread it was shown that the result on different quotes may have a positive MO, which can also vary several times at different brokers. This is exactly what I am not satisfied with. In this thread there are examples of filtering this indicator, which in theory should improve the situation. But I have not dealt with it, because there, where work begins not with the raw data, but with the processed (in this case filtered) data may hide the ghost of MTS called "fitting" ;o). As it is, we are not dealing with primary market information, but with market representation. Even in the case of ticks we can only hope to obtain secondary information about real processes occurring in the market itself (we don't know the exact turnover of money, after all). Forming some timeframes or tickframes out of ticks we work with "tertiary" information. And when we filter or process this "tertiary" information in some way, then orders of distance from the primary source grow and grow with the space speed ;o)! In this respect, the construction of regressions is a little better, as it does not transform the original data series, but only determines its possible extremum points on its basis. That is why it seems to me that if one has to move in Forex, then only in areas of formation of "tertiary" information about the market and its most direct use without various integrations (filtering).
I think that this is almost the only way in which it makes sense to move in Forex. All the rest, not based on mathematics is just guessing with known result (look results of the Automated Trading Championship for example. Didn't people do some research before sending experts to the Championship? And I am far from thinking that they do not have enough intellectual skills to participate in the Championship. I firmly believe they are going in the wrong place. That's all!)
I enter a trade at the breakout of the limit of the linear regression channel. I place a stop loss outside the channel boundary in advance if conditions for its possible penetration are formed. I have already mentioned the conditions - it is to be beyond the 96% confidence interval on the first and second order regressions on the timeframe D1. Since bid prices are displayed in the terminal, stopper prices are as follows:
BUYSTOP_open_price=Upper limit of the channel+(Spread+1)*Point
SELLSTOP_open_price=Bottom of the channel-1*Point
It means that opening is 1 pip below the channel's border.
Then once a day, as the trend continues, we scale in with the same lot size, with shifting of the stop along the channel border or along the last fractal.
During this month trades were closing only via stoploss, which is not always the most effective way out. Now I am considering taking profit at Take Profit. As an alternative, I am trying Adverse Tactics. I have written a script that builds line-projections according to this methodology when basic check points are set manually. When it is difficult to draw the line-projections I simply set takeprofit based on the calculation of my indicator, which I posted here.
The idea behind the strategy is obviously the following. Fast profit taking during trend periods at the expense of short losses and slow losses during flat periods. So far I have not managed to fight losses in the flat. Generally speaking, I think it is useless. Perhaps a rational choice of profit taking points should improve its performance. In general, the implementation of the Turtle strategy idea, but at a completely different tactical and technical level.
There was no sadness...
A brief inspection of Matkad code to build dependence of stability of profit on H did not reveal any errors. I will start a detailed study.
I am very busy.
It's a pity you've wiped all the pictures in that thread :o(. Interesting style.
. But without pictures one can only guess. Maybe
somehow you could do some kind of reconstruction of the pictures to the text
And post the archive (text with pictures) on mql4.com as a zip file?
Just this kind of information is quite rare to find. All more
There is more and more empty talk that all Forex forums are full of.
I don't have the pictures saved, in full, there are only some.
But I know that some of the bride's visitors definitely have almost everything,
except for the very last one. I don't remember what his nickname is, and I can't check in person.
I can't, for obvious reasons. :)
North Wind, I've got an immodest question. Do you trade on
I have a very modest question. Do you trade on Forex (real or demo)? I`ve just liked your view on the market (it made me think about many things) and I`d like to participate in it.
I want to know if you already used it in practice?
in practical terms? Or maybe the most practical application is simply
Not to participate in speculations on Forex - you will have more money (I do not exclude the possibility to use
I do not exclude this answer, either)?
I'm just a humble traveler who set out on a journey and expects to find a treasure
at the end of this arduous journey a treasure awaits me. Along the way, no one offers me, or any of us.
offers luxurious rooms, a soft bed, a bidet and breakfast in bed. :)
Of course I have a few demos, but I don't pay much attention to them. On the real world.
I don't trade on the real account as a matter of principle (but I used to). For various reasons. One of them,
Search of a suitable market. I'm not very satisfied with betting on changes in the numbers
of a particular Russian DTs, because it's not a market, it's a sweepstakes. The other reason,
the search for a sure strategy. Let me be blunt, I have a strategy that brings in
10 pips a day, but that's not what I want. Besides, that strategy is pure
shamanism. And that's less than I have now at my main job.
I used to take an intuitive approach back in the day. I've never used any indicators, just following the nearest levels, support lines and other stuff like that. I got 250 pips per day on simulator and 50 pips per 3 hours on demo. But before I started to use real trading I decided to take a day off and while I was having a good time the "gift" disappeared. After that I adopted the statment as a measure of success. Based on this idea of measurement, you can measure the "quality" of a trader. I used to play with adverse conditions on simulator and it worked fine, but when I switched to demo mode everything changed abruptly and then I decided that I do not play with hands anymore. My measured trader's quality turned out to be too lousy - I couldn't trust them with money. Now I'm playing hands on demo just for fun.
But it seems to me, all the same, that if it's a mechanical trading system, then psychological load has nothing to do with it. The development and testing on real history, then a little testing also on real data and if the results are stable then the maximum available volumes can be achieved both by investors and brokerage companies. I have not reached this stage yet, but all the stories on the demo is working and the real one is not working - this is from the hand game, I have not invented these recommendations for MTS, if I find the link I will post it.
I also just gave information on real account for the last month ...
I don't know whether it's a regularity or just a coincidence. For me the criterion mo/sko for trades greater than 0.1 is enough to say that there is a break from randomness (at least for normal distribution), but unfortunately even with this mo/sko the issue of stability by day/week/month, etc. remains. The number of deals of 300 per month is good I would even say very good, I like it very much. And the ratio between plus and minus is still positive. It would be nice if you could calculate mo/ska or if you don't mind (sorry for the nudity) print the statement, just points of trades are enough, without any details. I have been working on this for a long time and I have no idea what to do with it. The average profit of 4 pips per trade is small, of course, but there is room for improvement.
Well, there are also opposing views on this matter. For example with the North Wind check it out.
thanks for the link, I will look it up for sure, moreover I need to seriously study what the North Wind is not satisfied with. The Hirst and Pastukhov's thesis on the whole the fractal model inspires optimism and is worth dealing with. By the way, your idea about speculative and trading capital is not a fix but it is a step towards the fractal market as well.
About the data I have an impression that forex is tightly managed, not 100% but still. There are some calculations about it but the idea is mostly crude and I don't want to publish it yet. Although it is said that the market is a democracy, in fact it is not so, my suspicions. But nevertheless if the market is governed, you just have to reveal this procedure of management and you can make money on it too. So everything is not so bad, in spite of the difference in declarations and quotes statistics. I think that the idea of trading does not depend on how the market is managed and does not depend on who manages it. For every turn there is a screw, and for every screw there is a labyrinth, and so on.
check the results of the AutoTrading Championship
I have studied it quite in detail, but I personally have not managed to get anything positive out of it.
Entering a trade at breakout of a linear regression channel boundary.
understandable. I have a lot of ideas about it, but I'm afraid most of them are emotions, so not to fluster...