GBPJPY60 Probability Histograms

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abostick
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GBPJPY60 Probability Histograms

Postby abostick » Sun Sep 20, 2009 4:16 am

I created these charts using 10 years of historical price data from metatrade, Sep 1999 to mid Sep 2009. Just showing volatility during different market sessions. I mostly did this as a learning exercise but sometimes its nice to see some numbers validate what you already assume.

Aaron









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Postby flinux » Sun Sep 20, 2009 11:07 am

Nice!
Have you done some statistical computation about the range probability during opening of each market ?
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Market Opening Hours

Postby abostick » Sun Sep 20, 2009 1:54 pm

As you would expect, slightly more volatile during open.





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Postby TheRumpledOne » Sun Sep 20, 2009 3:07 pm

Thanks for sharing.
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Mean Range per Hour

Postby abostick » Sun Sep 20, 2009 4:06 pm

Mean range in pips per hour eastern standard time.


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Ranges broken down in part

Postby abostick » Sun Sep 20, 2009 11:03 pm

Pip range percentages for wick, tail, and body. The sum of the means of the 3 charts is 49.15, the same as the New York hours chart, as it should be!




dalibor
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Postby dalibor » Mon Sep 21, 2009 1:49 pm

thanx for sharing. I have a question - could you create statistic ( histogram )of daily range for G/U, E/U and U/Y please? ( 2008 and 2009 years )?

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noone22
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Postby noone22 » Mon Sep 21, 2009 2:06 pm

Yeh, currency pair shown seems to be rather exotic.
USDJPY or at least EURUSD data would be of
more interest, I suppose.

Just thinking, how this info could help in my trading
and what trading system could be built upon.
Every drop counts.
Thanx for sharing.

dalibor
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Postby dalibor » Mon Sep 21, 2009 2:19 pm

noone22 wrote:Yeh, currency pair shown seems to be rather exotic.
USDJPY or at least EURUSD data would be of
more interest, I suppose.

Just thinking, how this info could help in my trading
and what trading system could be built upon.
Every drop counts.
Thanx for sharing.


System based on daily range? Try betonmarkets, their bets one touch are very very interesting. :D

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Buzzard Trade probabilities

Postby abostick » Wed Sep 23, 2009 12:57 am

10 year statistical probability of closed bar streaks, up and down.

Interesting that the longest up streak is 15 bars in a row while the longest down streak is only 11 bars. Of course I count two bars with the same price as an up bar for these stats so that could be the difference.



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