RAT stats

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bredin
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Postby bredin » Wed Feb 24, 2010 6:37 am

patch,
the daily range (low to high) I have is 270pips for the last 596 bars. (its on page 1 of this thread)
The raw data I am using is the metaquotes history data in MT4. If you want the raw data just to a fresh install of a MT4 demo to a separate folder, and use the history center (F2) to download the data.

I havent seriously looked at trading EURNZD until about 2 days ago, because of the spread, but I did notice a bit before xmas when it dived more than 500 pips in a little over 12 hours...

G.
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dchappy
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Postby dchappy » Wed Feb 24, 2010 3:17 pm

bredin wrote: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.



Sooo... if I am reading this correctly , looking at the GU...

If the Asia open is 01 , then there is a 90.4% (100-9.6 ) chance of catching a green rat ...

And an 89% (100-11) chance of catching a red rat ?

During that hour ...

And 8 hrs later at London open (09) it is 89% green and 90% red .

Am I thinking correctly ?

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bredin
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Postby bredin » Wed Feb 24, 2010 8:27 pm

Asia open is 00 hour, the number is the raw percentage chance that the low of a green D1 bar (high of a red D1 bar) will be set during that hour.

So on GU if you were to try to catch a green rat at 00 hour there is a 10.2% chance that is the D1 low, but that is only the odds IF the bar ends green, which we dont know yet.... however we do know that 50% of bars are green, and that 90% of the time the low comes before the high (from the data on page 1)

so 10.2*0.5*0.9 ~ 4.5% chance that taking the green rat signal during the opening hour of the asain session on GU will be good for ~ 179 pips (Av Green Range, AGR, page 1).

If you first looked at the chart at 09 hour of green rats then odds are slightly better than at 00 hour for that same 179 pip move, but youve got to overcome the feeling of stepping in front of the possible red train from an earlier hour.....


The numbers on page 1 really just show that there is opportunity for both rats to profit during the day: think about it, if the low of a green bar isnt set until 10 hour, then at some point earlier the price must have been at a high....

I began this analysis with the idea that at some point during the day price must travel the length of the D1 bar, and wondered if there was a semireliable way to find it :)

Am I helping?

G.
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tmanbone
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Postby tmanbone » Thu Feb 25, 2010 4:17 am

I began this analysis with the idea that at some point during the day price must travel the length of the D1 bar, and wondered if there was a semireliable way to find it.

I'm still studying what you have going on. In the above statement it is unclear to me exactly what you are trying to figure out. It would help me if you could summarize what you have learned from the stats thusfar, keeping in mind that my mind is elementary. Thanks,

T
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T

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bredin
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Postby bredin » Thu Feb 25, 2010 8:02 am

Tman,

If you take a look at a D1 candle on a smaller tf (h1 will usually do) you can see the candle form, it travels from open to extreme to open to other extreme to close. Sometimes open and close are extremes. I think of this as telling the story of the D1 PA.
So during the D1 candle price MUST travel from one extreme to the other.

Are you with me so far?

Now lets take a look at the RAT with its beautiful idea to trade away from the D1 extreme based on statistical analysis of D1 wicks.

Next was the analysis on page 1 which showed that in 85% of all cases of red D1 candles the HIGH happens BEFORE the LOW, with the reverse being true for green D1 candles.

Still with me?

Ok, this means that there is opportunity to profit for at least a HUNDRED pips per day on most pairs, all that needs to be looked at is WHEN this low/high is likely to occur, and trade accordingly.

Some Pairs, Notably EURAUD EURNZD USDJPY and EURJPY usually hit their first extreme within 3-4 hours of open and then move 100+ pips. Often they have moved less than 30 pips to get to that extreme. There may be good profits in chasing that extreme, up to a certain point, or in coming up with a 55%-60% reliable way of picking the next candle color [yes TRO, im aware of the YALEness of this thinking].

I have two other stats one of first extreme wick size and another of first extreme candle size, probably not worth posting at this time.

Anyway, time to drink a beer and code an EA. then I'll scream and yell a bit, drink another beer, code some more, yell some moor, and probably sleep :)

G.
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Humble
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Postby Humble » Thu Feb 25, 2010 9:06 am

Not drinking XXXX by any chance. ':lol:'

There is a "methodology" called the Main Move Of the Day. (or week or month or year, but we are talking the daily)

Basically if the first extreme of the day is a high, then the main move of the day is up. It stays that way untill such time as /if an extreme low is formed, when the MMOD becomes down and stays that way unless a new extreme high is formed.

If you think about it, it makes sense since if higher highs are forming the move is up, or if lower lows are forming the move is down.

So on what is going to be an up day, if price forms its low first (90%) then when price moves to pass the previous high its main move is up.
Is price closing higher or lower than something? Simple yet powerful question. ..MO

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bredin
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Postby bredin » Thu Feb 25, 2010 9:46 am

Humble wrote:Not drinking XXXX by any chance. ':lol:'


Nah, Tui :lol:

Humble wrote:There is a "methodology" called the Main Move Of the Day. (or week or month or year, but we are talking the daily)

Basically if the first extreme of the day is a high, then the main move of the day is up. It stays that way untill such time as /if an extreme low is formed, when the MMOD becomes down and stays that way unless a new extreme high is formed.

If you think about it, it makes sense since if higher highs are forming the move is up, or if lower lows are forming the move is down.

So on what is going to be an up day, if price forms its low first (90%) then when price moves to pass the previous high its main move is up.


Thanks for that, something to bear in mind.

edited to learn about how other smilies is done....

G.
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Postby Brookmyre » Thu Feb 25, 2010 10:50 am

Humble....I live in Queensland and dont drink XXXX. God forbid we should inflict it on others...not even the Kiwis!

Have a little humanity ;)
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Postby Brookmyre » Thu Feb 25, 2010 11:01 am

PS Humble...do you have any references to the MMOD concept? The idea makes a lot of sense but after a google search I turned up nothing under that name or similar......
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Humble
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Postby Humble » Fri Feb 26, 2010 12:52 am

I haven't drank any for awhile, but the irony on an FX site was too much!

It's on the FF forum, search "Igrok Method. Q's @ A's.". His thread is devoted to his way of trading, of which the MMOD concept is used for direction. Whilst the MMOD changes several times during the day, the Main move of the year for example is surprisingly stable. That is, as Bredin is seeing with the daily bar, the direction for the main move of a period can be set early on within that period and usually after 1 or 2 reversals.

There is an indi for it on that site. The thread is nearly 5000 posts long, so asking a question just to have the regulars say "read the thread from the beginning" doesn't help much. However on FF you can search all post by an individual, reading Igrok's posts will generate a respect for his ideas.
Is price closing higher or lower than something? Simple yet powerful question. ..MO

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