never design a trading system without proper prior analysis. post your market statistics here

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Posted: Today at 7:00 am  Post subject:  (No subject)
I think I better take a step back here and explain how I see statistics and their use....

1st (LEVEL 1).............How is a "dry (decisionless)" casino game run? (I'll make a simple new game)

-you try to guess the outcome of a dice roll, the dice has 5 wrong picks and one good pick (5:1)
-the casino is paying you 4:1 on your money for guessing the correct
-because there are more possible outcomes than you are being paid for, the casino will always win, beating the game is an illusion, IT WILL NOT HAPPEN
-this game is a simplified version of roulette

2nd (LEVEL 2).............How is a "moist" (minor decisions) game run?

-This would be like blackjack, the player has some decisions to make which will increase their odds, but never to the point of positive expected value
-Playing blackjack within the confines of the dice game above, you may be able to lower the house odds from 5:1 to something like 4.5:1 through proper blackjack playing
-There are some decisions to be made by the player, although the astute player will realize that there is always one proper decision to be made, and one can only lose more money by making wrong decisions, you cannot win more money by making right decisions.

3rd (LEVEL 3).............A "wet" (major decisions to be made) game

-This game would be like playing poker, the house odds are not set, the outcomes are "random" like price action
-It is your responsibility as the player to take these seemingly "random" events and make order out of them, and then dynamically plotting this order against you opponent to win
-Both sides are free to make decisions in their best interest
-This type of game is most similar to trading, I hope you can see the similarities

As a trader I would be most interested in what you call Level 3 and not really anything else.

The problem with things like dice is that the probabilities are known whereas with trading they are not.

I think it is a mistake to try to fit trading into probability like games.
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You should consider learning / trading FX
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Stats that deal with outliers is very valuable.
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"1. mean D1 range = \$10 stdev = \$5.5
2. mean D1 body = \$5.3 stdev = \$4.8

Now since the mean range is 10, and the mean body is 5, that means that at some point on the average day, the body must be somewhere near \$10 in order to cover the \$10 range, which also happens to be about the stdev of the body
So, when the D1 body is in the ballpark of \$10, it is most likely reaching an extreme, and we can probably take the opposite direction since 80% of the time (4:1) it will close within +1 stdev or less from where it is."

There may be something to what you are doing there, but I couldn't quite follow what you were doing. It's also a little hard to follow since I have not looked at Apple / stocks in years! How bout examples with currency?
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Posted: Today at 7:00 am  Post subject:  (No subject)
I think I better take a step back here and explain how I see statistics and their use....

1st (LEVEL 1).............How is a "dry (decisionless)" casino game run? (I'll make a simple new game)

-you try to guess the outcome of a dice roll, the dice has 5 wrong picks and one good pick (5:1)
-the casino is paying you 4:1 on your money for guessing the correct
-because there are more possible outcomes than you are being paid for, the casino will always win, beating the game is an illusion, IT WILL NOT HAPPEN
-this game is a simplified version of roulette

2nd (LEVEL 2).............How is a "moist" (minor decisions) game run?

-This would be like blackjack, the player has some decisions to make which will increase their odds, but never to the point of positive expected value
-Playing blackjack within the confines of the dice game above, you may be able to lower the house odds from 5:1 to something like 4.5:1 through proper blackjack playing
-There are some decisions to be made by the player, although the astute player will realize that there is always one proper decision to be made, and one can only lose more money by making wrong decisions, you cannot win more money by making right decisions.

3rd (LEVEL 3).............A "wet" (major decisions to be made) game

-This game would be like playing poker, the house odds are not set, the outcomes are "random" like price action
-It is your responsibility as the player to take these seemingly "random" events and make order out of them, and then dynamically plotting this order against you opponent to win
-Both sides are free to make decisions in their best interest
-This type of game is most similar to trading, I hope you can see the similarities

As a trader I would be most interested in what you call Level 3 and not really anything else.

The problem with things like dice is that the probabilities are known whereas with trading they are not.

I think it is a mistake to try to fit trading into probability like games.

I don't think it is a mistake to fit trading into probability like games, it is a mistake to rely solely on probabilities like it is a dice game, though. (which is not what I am suggesting we do)

Of course trading is what I would consider level 3 game as well, but it must, at least in theory, have a level 1 counterpart with which something can be built off of. I come from a background of poker playing, being consistently profitable for a few years, and I can tell you that it is almost identical to trading in my eyes.

Poker seems, on the surface, at least to be a game where a machine could play, and win, but the one aspect that crushes this is the fact that the other player is human. I have to be able to predict how he is going to react, regardless of what my numbers are telling me to do.

So, in the end, I am not trying to fit trading into a neat little box that contains all the answers, I am merely wanting to use these statistics to see clearer, and make better decisions, just like an indicator helps you to do. The question of how everything will play out and "react" to my decision has always been and will always be qualitative, not quantitative.

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I would like to get into forex, and I am dabbling right now, but the whole forex broker/dealer messing with your trades really scares me right now.

I just have to do alot more research before I can throw money on the line w/ currencies.

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I have a lot of this mapped out into statistical indicators. But I would love to see what delta has, since thats the way I trade.

If you want to trade like this (looking for regular patterns), you have to focus on H1 or lower. Any other statistical study you do above H1 will get you 'no where', due to :
1-the way volume behaves above H1 - the true winners, the real crowd that moves price, end of the day data bias, weekly bias, market session bias
2-the way volume behaves below H1 - HFT, losers being whipped, banks scaling in and out
3-range, wicks and body statistics pieced together into regular MTF PA (multiple timeframe price action)

So far the important ones I've always notice is :
20 pips
60 pips
1/4 1/2 1/4
H1 range (if you want to get 20 quick pips)
H4 body (if you want to look towards locking 20 pips)
D1 wick (if you are looking for the 20 pips winners wick, locking onto it too when combined with H4 body)
D1 body (if you want take a good ride to an optimal 60 pips)
W1 wick (winners for the week deciding to exit, losers being dumb attempting to enter, aka the forgiving wick for the smart trading if trading against W1 bias, usually happens on thursday / friday on NY AM session 2nd or 3rd hour, 60 to 70% of time)

Of course, don't mechanically trade off this information. Frankly, it does help a lot as a start, as something to work off. Use some discretion.

Never quite changed since I've began trading 4 years ago. Of coz if things do change, I am the 1st to know lol

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"I would like to get into forex, and I am dabbling right now, but the whole forex broker/dealer messing with your trades really scares me right now. "

I have not had any problem with this.

If you are concerned about it, than get more than one and arbitrage their ass if they were...but I don't think it is a problem with the majority of brokers.
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The problem with equities is that at some point you are going to run into liquidity problems, plan ahead and ensure that it never happens for your account

Sure there are a few that are highly liquid but it's a small percentage of all the equities market...

Of course the other is leverage, wealth is created through the proper usage of leverage.
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"I don't think it is a mistake to fit trading into probability like games, it is a mistake to rely solely on probabilities like it is a dice game, though. (which is not what I am suggesting we do)"

Feel free to continue on, I'll be curious how you plan on doing it. If you could make it more oriented towards FX others would probably join in, the majority of the traders here trade anything but equities.
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