Numerical series density - page 26
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And tell me, gentlemen of the forum, why do you need all this? If to find a pattern in the frequency of a trend reversal, then just the average is the most adequate. Yes indeed, with time of day filters, Atr, etc., which will take away all your highly dislocated spikes.
After applying the filters the mean value of estremum density oscillates quite well, so personally when it approaches the lower limit I start adding time to wait for the reversal, and when it approaches the upper limit, vice versa. Simple statistics. This, of course, is not my whole system, you can't build a working system on such an idea, but it's not a bad addition to it.
"Why do I bother with this calculation - I have a theory about resistance cloud density, according to which the denser is the accumulation of probability resistance levels, the more probable is the market reversal. I.e. this theory is applicable to determine the support and resistance levels taking into account the market dynamics and, therefore, in theory it should help to determine the entry and exit points with higher probability - I plan to use it to determine the take profit point".
Average extremum density of what and with which window - please explain.
In order to find something, criteria have to be put forward. The minimum number of points in a group, the distance closer than which two points count as 1, the minimum size of the group (distance between the outermost points), the total % coverage, some requirements have to be put forward.
If you don't have any requirements, first investigate what you have got, i.e. calculate statistics :-)
The first step is to take deltas, sort them, make a histogram and look at it for a long time...
When the criteria appears, you'll know how to find it.
If you have decided according to statistics that the min. distance between two points should be at least q (for example, 15% of points should be less than q), then draw a horizontal line at this level. If the min. number of points is limited, the group is started.
if there is a min. number of points limit - then the graph should pass as many counts under the line as possible. IF THERE IS A MINIMUM NUMBER OF POINTS, THE CHART MUST GO THROUGH THE LINE FOR THAT NUMBER OF SAMPLES.
Yes, yes - criteria is also a topic of discussion, but what matters to me is not just constants, but constants obtained in a relative way - i.e. taken into account actually formations within a numerical series, not just predicted ones.
Working with a constant of the "by eye" type is understandable and logical - no questions here.
Yes, yes - the criteria are also a topic of discussion, but it's not just the constants that matter to me, it's the constants that are derived in a relative way - i.e. actually considered as formations within a numerical series, not just predicted.
Working with a constant of the "by eye" type is understandable and logical - no questions here.
At first it is possible to give general "wants", and by taking statistics to specify them. If we look for the reversal-resistance areas for example, we can assume that they all together cover not more than %% of the range and cannot be more than 10 points. Just from nature (assumptions about nature). Somehow :-)
You have to know what data you are working with and what you want to use it for.
"Why do I bother with this calculation - I have a theory about resistance cloud density, according to which the denser the cluster of probability resistance levels, the more likely the market reverses. I.e. this theory is applicable to determine the support and resistance levels taking into account the market dynamics and, therefore, in theory it should help to determine the entry and exit points with higher probability - I plan to use it to determine the take profit point".
Average extremum density of what and with which window - please explain.
It's not at all clear to me what "cloud" of resistances means. But I also tried to apply the counter of extremum density by price level. My conclusion is quite the opposite - most of clusters of extrema at the price level are just overcome. And the denser such a cluster is, the more decisive the breakout is. But I believe this factor is too weak to be applied in my Expert Advisor because basically the price behavior in such a cluster is accidental.
Of course, this does not mean that I am right at all. You might come out with something different.
But then again, rather than dealing with a complicated selection of criteria for this "cloud", it is more efficient to simply add filters and depth of history.
"Average extremum density of what and with which window - explain please. "
-In our context, it appears that there is "density" of extrema by time, i.e. when the reversal occurs predominantly at a certain time - your variant, and "density" by price (level) when the reversal (extreme) occurs (and in my experience it does not occur) predominantly near a certain price - your variant. I.e. density on the X scale and on the Y scale.
As for the "window" - I don't define it, it's defined by the optimization - I have nothing to do with it.) Optimisation selects both the depth of history and the range of the counter back and forth.
It is not at all clear to me what the "cloud" of resistances means. But I've also tried to apply the extremum density counter to the price level. My conclusion is exactly the opposite - most of the clusters of extrema at the price level are just overcome. And the denser such a cluster is, the more decisive the breakout is. But I believe this factor is too weak to be applied in my Expert Advisor because basically the price behavior in such a cluster is accidental.
Of course, that doesn't mean I'm right at all. You might have something different coming out.
A similar observation and the situation is quite understandable - when say the upper extremes have piled up and the price has gone down, it is likely that a large amount(crowd) has simply entered and potentially no one else is bidding on that price level. All the non-market and large speculators who wanted to buy-sell at this price are satisfied. For a while, we get a potential gap, through which the price moves without looking back.
And vice versa - a sharp movement leads to a temporary resistance.
That is partly why the chessboard pattern appears - what was support/resistance becomes a pivot.
Similar observation and the situation is quite understandable - when let's say the upper extremes have piled up and the price has gone down, it is likely that a large amount(crowd) has simply entered and potentially no one else is bidding on that price level. All the non-market and large speculators who wanted to buy-sell at this price are satisfied. For a while, we get a potential gap, through which the price moves without looking back.
And vice versa - a sharp movement leads to a temporary resistance.
That's partly why we get a chess-like picture - what was previously support/resistance becomes a pivot.
This is a series of justifications. I have absolutely no data to judge if it is correct or not. Whether it is fiction or revelations of a stoned insider.
So I have to check everything myself.
That's why Ibluntly write the code with the idea"something has piled up around the price - let's reflect it" and watch the result. Then I bluntly write the code with the idea"something has piled up here - let's put it on the opposite, let's make a breakthrough" and again watch the result. Then I complicate the conditions. I filter "something piled up here" into"how long ago it piled up", then into"how much it piled up","at what time it piled up" and even"whether something piled up on correlation-dependent instruments".
And then I look at the result again.
And I am not satisfied with the result. The result is a failure. In all cases.
I.e. I haven't found any combination of these conditions that would give a stable profit on the history of more than half a year of wolf-forwarding with a monthly step. I.e. the pattern is floating even for a year, and we do not need this kind of hockey.
I.e. the pattern is there (a breakthrough is more likely), but it is too weak to be trusted - that is my conclusion.
Simply put, if price approaches a cluster of oppositions/supports for the 5th, 7th, 9th time in the recent past, I can say that with about 80% probability it will break through that fence after all.
But that's about all I can say in the end. Apart from the fact that such situations are quite rare in the market. It's much more common to see 2 or 3 or 4 extemes in a cluster. And everything is too random there.
At the beginning you can give general "wants", and then you can refine them by taking statistics. If you look for resistance-turn areas, for example, you can assume that they all together do not cover more than %% of the range and cannot be more than, for example, 10 pips. Just from nature (assumptions about nature). Somehow :-)
You have to know what kind of data you are working with and what you want to use it for.
I understand the idea, but I want to take indicators - with their different indicators - and try to establish a correlation in the form of an area in which they fall - for example 5 out of 8 are close to each other - so you can expect resistance there.
It's not at all clear to me what a "cloud" of resistances means. But I have also tried to apply the price level extremum density meter. My conclusion is just the opposite - most of the clusters of extrema at the price level are just overcome. And the denser such a cluster is, the more decisive the breakout is. But I believe this factor is too weak to be applied in my Expert Advisor because basically the price behavior in such a cluster is accidental.
Of course, it doesn't mean that I'm right at all. Perhaps something else will come out.
But then again, rather than having to deal with a complex selection of criteria for this "cloud", it is more efficient to simply add filters and depth of history.
"Average extremum density of what and with which window - explain please. "
-In our context, it appears that there is "density" of extrema by time, i.e. when the reversal occurs predominantly at a certain time - your variant, and "density" by price (level) when the reversal (extreme) occurs (and in my experience it does not occur) predominantly near a certain price - your variant. I.e. density on the X scale and on the Y scale.
As for the "window" - I don't define it, it's defined by the optimization - I have nothing to do with it.) Optimization selects both the depth of history and the range of the counter back and forth.
I understand you - it's not about price extremums, if I really understood you. I mean that there are indicators that show their points all over the chart - their points - potential resistances - forecasting behaviour, if these points have accumulated and thus formed a cloud, then there will be a struggle for the market - a reversal or acceleration of the trend, but for me this is not certainty, which means that I have to close the position and see what happens to the price next.