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  1. #31
    JohnLeonard is offline Master Contributor and Member
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    Quote Originally Posted by MeiHua View Post
    This is a good start guys, I do this analysis for every tool in my toolbox. Although previously had shared information it never really stuck, although it was mostly in the chat room. Most people just glazed over it. I have 1 problem some of these posts with the manual back testing, its not a repeatable process for everyone because its inherently subjective. So I can not verify your work, even given the same data set. When I do my research its 100% programmed so that its is a repeatable experiment for anyone, this is what is required of scientific findings. Unfortunately most of my research is on futures contracts, if you guys are still interested I will share them. I hate to criticize then contribute nothing. But if this thread is going to take off, i think we should have a set of rules so all findings meet some minimum criteria in order to be seen as valid.
    All of my stuff came from using Excel and should be repeatable by anyone who cares to crunch a few numbers. In other words, no subjectivity (except for my intepretation of the results which is as subjective as it gets). Variations will exist due to using different brokers or, in the case of pivots, using different calc times. The general trends should, however, hold true if the same conditions are applied (5pm est for close of day and pivot calculations).

    Futures data will also have variations from the spot markets but general trends should, hopefully, apply across related markets. I would love to see anything you have tested in the past.

  2. #32
    MeiHua's Avatar
    MeiHua is offline FX-Men Honorary Member
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    Default Quantifying your markets personaily using simple datamining techniques

    Well I thought I would contribute something to this thread. this is an update from my original thread which caught little traction but maybe this is the right crowd. Some of the jpegs are dead now from the hosting site i used so i attached a txt file with all the stats.

    Datamining, quantifying your markets personality.

    I do this type of very basic data mining on every instrument I trade. The data feed I am using is FXCM. The dates for each level of study are noted for each time frame, all bars are built using 1 minute time bars.

    This study is based on the closing prices of bars, I am using % ages as opposed to pure price movements for several reasons. Usually at higher prices we have higher volatility, changing to percentages helps remove that bias. Also financial time series are in general non stationary and non normal, so determining any confidence level becomes more difficult, changing to % returns (you can do log returns as well) creates a weak stationary time series which becomes easier and more reliable to work with.



    lets address what each field means.
    # of periods = how many bars of that time frame were analyzed
    # of Moves = how many bars consecutively closed in the same direction
    Average period in move = how long they lasted
    Avg AMP = the amplitude in % the moves traveled
    Chance to last X+ periods = is the % chance that a move lasts X or more periods/candles
    Chance > X % move = the % chance that a move larger than X percent may occur.


    My analysis of this data:
    Euro/Usd is symmetrical in both directions on all time frames, this is not the case with other instruments. Take stocks for example they exhibit a long side bias. This is both for the num of moves as well as the average amplitude of moves.

    Also note that as the time frame decreases the average amp (volatility) does not decrease at the same rate, it decreases significantly less. So you would expect from the daily to 4 hour ( 6 periods) a 1/6th the average amplitude of the daily move (.155) you actually get (.37) about double what we would have guessed in a linear relationship. This is true again for all time frames.

    Lets look at the characteristics of the % chance of a X + move, think of this as a trending characteristic. The % chance between the daily, 4h and 1h are all very similar, only 1-2 % age points difference. Now lets compare daily and 5 minute. Most people would say that the higher the time frame the less noise, and the "easier to trade". So this comparison would be natural as the 5 minute is very "noisy" as seen on numerous forum posts. The 5 minute % chance of X move is larger than the daily % chance of X move in every category. Actually its larger than every chance of X move on every time frame. But the significance comes from the chance for a 4 + period move. About 6 % (5.81 % on average) larger than the daily time frame, it is 3.79 % higher on average than the hourly time frame. What does this tell us? That lower time frames have "momentum". That they tend to exhibit more trending behavior than they are given credit for, however the amplitude is very small so the amount of market friction (slippage/commissions, execution latency etc.) becomes a larger factor. But this just shows that being profitable at the 5 minute and lower level is possible and there is an inherent edge there. This edge is best shown by the 2 + % chance stat. taking a random entry (50/50 long short) the % chance to last 2 periods respectively is 51.96 and 52.04. Basically a net 2 % edge either direction. Now is the bar large enough for a retail trader to profit due to those market frictions, probably not. But you can see where the HFTs and large institutions have a fertile trading ground.
    Attached Files Attached Files
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  3. #33
    JohnLeonard is offline Master Contributor and Member
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    Great. Thanks to MeiHua, any future posts I make on this thread will have to be worded so it sounds like I know what I am doing (which is doubtful). Interesting stuff Mei. Seeing market truisms refuted and dashed upon the rocks like that is kind of fun to watch.

  4. #34
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    MeiHua is offline FX-Men Honorary Member
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    I hate to see this thread die. Especially after my post. I truly believe in quantitative research and evidence based TA. I don't know if it's just this community isn't ready for this type of material or just plainly isn't interested. I was planning on doing more post as time went on and discussing others findings. But there hasn't been anymore shared. I could post a some of my work here but I feel it would high jack the thread if I was the only one sharing . So if there are people still interested in that kind of work I may split off in my own thread just for that or I hope to see more people share here. Like I said in my original post about this my thread and this type of topic always die. If anyone can give me insight into why that would be great. Is there truly no interest in scientifically repeatable and statistically significant results??????

  5. #35
    Hogarste is offline Master Contributor and Member
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    I am interested, but the problem is that to post on this thread, I would expect myself to have something insighful to add that includes research I'd done, which I can only do at a minimum. It is a really good thread idea, but I wonder how many readers want to do that kind of research, and for the ones that do, I imagine some don't want to share wha they find. I'm interested in what you have to say MeiHua, so wherever you wind up sharing, I'll subscribe. I'd like to see this thread continue, so I'd hope for it to be here, but obviously it's not my thread.

    Quote Originally Posted by MeiHua View Post
    I hate to see this thread die. Especially after my post. I truly believe in quantitative research and evidence based TA. I don't know if it's just this community isn't ready for this type of material or just plainly isn't interested. I was planning on doing more post as time went on and discussing others findings. But there hasn't been anymore shared. I could post a some of my work here but I feel it would high jack the thread if I was the only one sharing . So if there are people still interested in that kind of work I may split off in my own thread just for that or I hope to see more people share here. Like I said in my original post about this my thread and this type of topic always die. If anyone can give me insight into why that would be great. Is there truly no interest in scientifically repeatable and statistically significant results??????

  6. #36
    Richard87's Avatar
    Richard87 is offline Senior Member
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    Hehe, yeah, mee tooo

    Since the last time, I have tried to make my own seasonal analysis, check this out(almost guaranteed not accurate though:/ =

    The green line is data for 2013, big purple one is total mean, blue one is the mean for the last 5 years, red is the mean for the first 5 years of the study...

    Havent tested many TA ideas yet, still trying to grasp R
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  7. #37
    JohnLeonard is offline Master Contributor and Member
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    Quote Originally Posted by MeiHua View Post
    I hate to see this thread die. Especially after my post. I truly believe in quantitative research and evidence based TA. I don't know if it's just this community isn't ready for this type of material or just plainly isn't interested. I was planning on doing more post as time went on and discussing others findings. But there hasn't been anymore shared. I could post a some of my work here but I feel it would high jack the thread if I was the only one sharing . So if there are people still interested in that kind of work I may split off in my own thread just for that or I hope to see more people share here. Like I said in my original post about this my thread and this type of topic always die. If anyone can give me insight into why that would be great. Is there truly no interest in scientifically repeatable and statistically significant results??????
    It would be nice to have all the stat related posts located here in one central location. It would beat jumping from thread to thread IMO. I will post a few things that are candle pattern related in the near future. There may be very few interested but that will be their problem.

    Why do these types of threads die? For a number of reasons. I happen to like knowing that my chances when doing X are greater than my chances when doing Y or that doing Z is a statistics-declared disaster so I should avoid it. Some don't care. Also, many if not most methods in trading are quite subjective. It is hard to quantify subjectivity.

    Anyway, I am all for giving a bit of CPR to the thread.
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  8. #38
    woolo is offline Junior Member
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    Quote Originally Posted by MeiHua View Post
    I hate to see this thread die. Especially after my post. I truly believe in quantitative research and evidence based TA. I don't know if it's just this community isn't ready for this type of material or just plainly isn't interested. I was planning on doing more post as time went on and discussing others findings. But there hasn't been anymore shared. I could post a some of my work here but I feel it would high jack the thread if I was the only one sharing . So if there are people still interested in that kind of work I may split off in my own thread just for that or I hope to see more people share here. Like I said in my original post about this my thread and this type of topic always die. If anyone can give me insight into why that would be great. Is there truly no interest in scientifically repeatable and statistically significant results??????
    No I am very interested in seeing the research you and everyone else has done. I made the thread specifically for people from all possible trading approaches to share their understanding of the markets with the evidence that supports their opinions. Post away I enjoyed reading what you shared and i'm sure others did too. Contributing is not hijacking this thread.

    This type of thread will never be popular, there is no leadership or structure in place to follow, no plan to make the readers rich, just a place to share what you find and the evidence that supports your claims and see if you get useful/useless feedback.

    While I started the thread I have little to contribute as the field is not something I am experienced in, but I find that sharing ideas about real evidence is a great way to learn and or demonstrate ideas.

  9. #39
    MeiHua's Avatar
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    Quote Originally Posted by Richard87 View Post
    Hehe, yeah, mee tooo

    Since the last time, I have tried to make my own seasonal analysis, check this out(almost guaranteed not accurate though:/ =

    The green line is data for 2013, big purple one is total mean, blue one is the mean for the last 5 years, red is the mean for the first 5 years of the study...

    Havent tested many TA ideas yet, still trying to grasp R
    What exactly are you calculating? its not really clear. How are you isolating the seasonal cyclical factor and then parsing the data to calculate? why over the last 5 years first 5 years and total mean? are we looking for drift? considering that the euro is not say like corn, crude or other commodities which are locked in through either natural or fundamental cycles. i think it would be hard to resolve a drift with fundamentals. Though I am not certain your data speaks to that. Also how many years and what data feed was using in your study?

  10. #40
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    Quote Originally Posted by MeiHua View Post
    What exactly are you calculating? its not really clear. How are you isolating the seasonal cyclical factor and then parsing the data to calculate? why over the last 5 years first 5 years and total mean? are we looking for drift? considering that the euro is not say like corn, crude or other commodities which are locked in through either natural or fundamental cycles. i think it would be hard to resolve a drift with fundamentals. Though I am not certain your data speaks to that. Also how many years and what data feed was using in your study?
    Hi, sorry for the unclear stats, I was just trying to produce my own seasonal tendencies... The data is for the 2001 - 2011. And the close price is transformed with rate of change...

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