Hi,
I am trying to automate the way a price action trader sees a chart. I mostly rely on Al Brooks descriptions. An automated analyzer should recognize 2 basic patterns of price action: Trend and Trading Range and identify their parameters.
Al Brook mentions quite often that trades of big institutions are mostly (if not entirely) are done by computers. He often says something like “many algorithms that institutions use will see this as a major high…”. Such statements raised my curiosity if these algorithms could be somehow replicated.
I’ve been working on this task for a while. I can admit that developing such an analyzer takes enormous amount of time and efforts. The level of complexity is testing my limits as an engineer (I am quite good at software engineering). At this point I do have a prototype, but it’s nowhere near production quality.
Below are normal distributions for trends for 2019 and 2018, EURUSD, M5 which I am getting from my prototype.
If you trade EURUSD M5 price action - does this statistics make sense to you?
This data is for 24/5 analysis. Filtering it to New York session reduces amount of trends roughly by 2.5, trading ranges - by almost 4 (for 2019), and increases pips size, but not dramatically (38->48). Other parameters stay similar.
Description:
Bars - trend length in bars
Pips - trend size in pips
Pushes - number of pushes (breakouts) in a trend
BO Bars - breakout length in bars
BO Pips - breakout size in pips
PB Bars - pullback length in bars
PB Percent - pullback size as a percentage of previous breakout
The number # at the end of each line is N - the number of items (trends, breakouts, pullbacks) to calculate statistics.
2019, EURUSD, M5
Trends: 535, up: 254, down: 281; TRs: 253
Bars {mean=68.92; gmean=50.44; stdev=52.46; cv=0.76; var=2752.42; kurt=3.47; skew=1.54; min=4.00; max=354.00; #535}
Pips {mean=38.62; gmean=32.76; stdev=23.48; cv=0.61; var=0.00; kurt=4.16; skew=1.68; min=4.10; max=168.80; #535}
Pushes {mean=4.81; gmean=4.06; stdev=2.85; cv=0.59; var=8.10; kurt=2.43; skew=1.35; min=1.00; max=18.00; #535}
BO Bars {mean=7.13; gmean=5.94; stdev=4.96; cv=0.69; var=24.55; kurt=19.29; skew=3.22; min=1.00; max=55.00; #2358}
BO Pips {mean=13.35; gmean=10.97; stdev=9.80; cv=0.73; var=0.00; kurt=15.61; skew=2.97; min=2.00; max=114.90; #2358}
PB Bars {mean=13.05; gmean=8.69; stdev=12.08; cv=0.93; var=145.93; kurt=5.57; skew=1.93; min=1.00; max=89.00; #1816}
PB Percent {mean=0.63; gmean=0.57; stdev=0.28; cv=0.44; var=0.08; kurt=2.12; skew=0.91; min=0.08; max=2.24; #1816}
Longest trend bars: 354 2019-12-26 21:55:00 … 2019-12-30 03:20:00
Largest trend pips: 168.8 2019-01-02 08:05:00 … 2019-01-02 22:55:00
Trend max pushes: 18 2019-06-19 14:05:00 … 2019-06-20 12:35:00
2018, EURUSD, M5
Trends: 626, up: 301, down: 325; TRs: 254
Bars {mean=73.17; gmean=55.59; stdev=50.96; cv=0.70; var=2597.12; kurt=1.49; skew=1.14; min=4.00; max=324.00; #626}
Pips {mean=57.93; gmean=50.05; stdev=31.80; cv=0.55; var=0.00; kurt=4.87; skew=1.47; min=10.90; max=275.70; #626}
Pushes {mean=5.66; gmean=4.82; stdev=3.19; cv=0.56; var=10.17; kurt=1.86; skew=1.15; min=1.00; max=21.00; #626}
BO Bars {mean=6.40; gmean=5.39; stdev=4.46; cv=0.70; var=19.86; kurt=30.69; skew=4.02; min=1.00; max=60.00; #3200}
BO Pips {mean=18.17; gmean=15.15; stdev=12.12; cv=0.67; var=0.00; kurt=10.23; skew=2.36; min=1.70; max=134.30; #3200}
PB Bars {mean=11.94; gmean=7.98; stdev=11.31; cv=0.95; var=128.02; kurt=10.29; skew=2.30; min=1.00; max=118.00; #2549}
PB Percent {mean=0.65; gmean=0.58; stdev=0.29; cv=0.45; var=0.08; kurt=1.35; skew=0.87; min=0.06; max=1.97; #2549}
Notice that the number of trends and trading ranges in both years are comparable.
Most of trend parameters stay similar except for pips size, which dropped in 2019.
The number of pushes per average trend has reduced as well.
I’d like to know if someone here tried to develop such price action analyzer and what are your conclusions?
Or maybe you’ve heard of someone’s else experience?
Is this analysis really so complicated to automate or it’s just me?
And then - are there already known tips on using such a tool?
