RAT stats

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bredin
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Postby bredin » Tue Feb 23, 2010 4:47 am

tmanbone wrote:Yes, thank you still studying. More questions later. Thank you. The revelation for me is the high of the red bars are before the lows and vise versa with the green a higher percentage of the time. I would have never thought.


And not just 'higher' 85-90 percent, when I ran this on all the bars in my history the results tended towards 90%.

I had a suspicion from observing PA that this was the case, but 90%?

G.
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Postby tmanbone » Tue Feb 23, 2010 2:16 pm

Does this mean trading a long rat on a red candle has higher probabilities of a win? Am I interpreting the stats correctly.

EDIT: Duh! A long rat would be a green candle, of course, until it went red.
Last edited by tmanbone on Tue Feb 23, 2010 10:10 pm, edited 1 time in total.
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Postby bredin » Tue Feb 23, 2010 8:10 pm

I think that is more to do with intrabar volatility, but in principle being a green rat on a green bar (at close) gives the greatest opportunity for large (100pip+) gains.

I have not run the numbers for wicks on green bars and tails on red bars that would show profitibility for red/green rats respectivly.

At this point I am putting the first hi/lo stats into a readable form, at the moment it looks stunning...

more to come....

G.
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Postby bredin » Tue Feb 23, 2010 8:55 pm

Heres the stats for the time at which the low happens on a green D1 bar, when that low is set before the the high, and the high or a red D1 bar.

Again I hope that it is readable.. If not I will try something else....

Image

the numbers in the title are hours since D1 bar start, so 00 means "less than 1 hour" etc...

Colors are in order of <25% of bars, 25-50%,50-75% and 75%+, and just serve as a visual scan to see which pairs hit the hi/lo fastest.

edit: green bars on top, red on bottom, in case it wasnt immedialy obvious

Now my interpretation as to what I see on this....

Mostly the pairs that hit the opposite hi/lo first are the "asain" pairs JPY, AUD, and NZD which almost always hit during the asain session. In particular take a look at EURNZD, where the hit happens very early, and the pair is a big mover. ok, its got a spread of about 13 (11.3 - 14.4 as i look now, in the gap) but moves about 200 a day...
Next are the "euro" pairs, most of which see a spike in the first hour or so of the london session.

Next Observation: I had been waiting for the rat zones to separate before looking for RATs (in fact Ive been trading the RAT at about 9:30pm NZT, some 10 hours after daily open), it looks like there is no need to wait and the rat can be traded right from the asain open. In fact there may be a lot of lost potential by not trading the asain open....

This leads me to another question that may or may not show anything: wick distribution by hour. At a glance it would seem that hits in the first couple of hours would be bars with small wicks, while late hits are probably quite big.

It would not surprise me if the bars where the high is first for a green bar (low for red) are pinbars, or other long wick/small body bars providing potential for the opposing rat. I may have to check that too.

Anyway, new D1 in about an hour....

G.
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Postby bredin » Tue Feb 23, 2010 9:30 pm

I just had a Bad Idea(TM):

statistically determining how much of the daily movement is probably remaining..... from the pattern of first hi/lo, then lo/hi, closing wick...

I have too much brain on my hands.

G.
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Postby tmanbone » Tue Feb 23, 2010 9:46 pm

Speaking of brain, mine's hurting. Does 00 = Asian open? Thanks,
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Postby bredin » Tue Feb 23, 2010 10:05 pm

tmanbone wrote:Speaking of brain, mine's hurting. Does 00 = Asian open? Thanks,


For the sake of argument, lets say yes. its 9:00am AEST (11:00am NZDST). The Sydney Open.

the london open is around 9 or 10, not sure when the ny open is.

G.
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Postby bredin » Tue Feb 23, 2010 10:07 pm

btw, the numbers on the chart are the percentage of first hi/lo hits in that hour.

G.
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Postby bredin » Wed Feb 24, 2010 4:04 am

Ive run the numbers for the wick distribution and Im not sure they are worth posting, initial look confirms that in the first couple of hours wicks are lower than the average, but after the 50% the numbers go wild, probably because of a low sample size, but on EURNZD for instance I get one average of 336, and a few hours later the average is 6. Ive double checked the code and its ok... its

As I said not sure if the results are conclusive enough to post.

G
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Postby Patch » Wed Feb 24, 2010 4:30 am

bredin

If I am not mistaken, EURNZD has an Average Daily Range of about 370 give or take about 10 pips. How many bars are included in your sample? Could you send me your raw data to take a look?

Patch
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