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TheRumpledOne
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Postby TheRumpledOne » Mon Nov 11, 2013 2:38 am

PebbleTrader:

What does the Synthetic Close really tell you?

Just curious...
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Postby PebbleTrader » Mon Nov 11, 2013 12:07 pm

"What does the Synthetic Close really tell you? "

I think I explained what it tells us...

If you would like a better answer, please ask a better question :)
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Postby PebbleTrader » Mon Nov 11, 2013 12:17 pm

MO says body in the direction of profit...

What's a body but an arbitrary point in time?

A body is literally just ONE TICK, out of how many for that period?

If the market is to go higher or lower, than there will have to be sufficient ticks / orders that drive it to new levels...

All I'm saying is that this can't be manipulated as easily, slows down things a tad, and smooths it out a tad.

There is more to this idea if only one would explore it. I have given but one idea for which there are many more. If your competition is always progressing and improving strategy...and you are not...who will have the upper hand?...in a zero sum business game?

Adopting ideas that are an improvement over traditional methods, even if the improvement is small, will add up over time.
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Postby TheRumpledOne » Mon Nov 11, 2013 7:38 pm

PebbleTrader wrote:"What does the Synthetic Close really tell you? "

I think I explained what it tells us...

If you would like a better answer, please ask a better question :)


I understand the percentile explanation. I think you know I understand statistics.

But my question still stands... What does this tell YOU?
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Postby TheRumpledOne » Mon Nov 11, 2013 7:44 pm

Also, years ago I was using the previous daily candle's midpoint as an entry trigger. I would be curious how much difference there would be between the Synthetic Close and the midpoint.
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Postby PebbleTrader » Mon Nov 11, 2013 8:19 pm

"But my question still stands... What does this tell YOU?"

It tells me what the median price was during some data compressed period.

I elaborated on how it could be used...

If there are much more ticks near an extreme, than obviously it would not resemble the midpoint.

The midpoint only uses TWO TICKS out of MANY TICKS.

I'm just trying to open some peoples minds to other possibilities between settling for arbitrary points in time.
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Postby PebbleTrader » Mon Nov 11, 2013 8:20 pm

Another idea is to synthetically set the open at the 25th percentile and the close at the 75th percentile...
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Postby newscalper » Mon Nov 11, 2013 10:34 pm

PebbleTrader wrote:Another idea is to synthetically set the open at the 25th percentile and the close at the 75th percentile...


One point I'm missing with the logic...and this really doesn't make sense to me...and it goes back to MOs Dragon Bars too: the close is deemed arbitrary, I'm cool with that.

But logically, if the time slice itself is arbitrary then it's false logic to say only the close is arbitrary and random, so are the other 3 data points open, high and low....and you still come back to the problem of different time frames too.

The only way around it is by taking time out altogether and looking at price levels only surely?

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Postby PebbleTrader » Mon Nov 11, 2013 11:59 pm

We have experimented with removing time altogether or just removing pieces of time.

That aside, a time series chart moves forward with the "arrow of time".

I would argue that the open is essentially not needed, it is redundant information. The open is very closely related to the previous close.

So we are left with the H, L, C. Of those, only the C follows the "arrow of time". The H/L is but the extreme ticks of the data compressed period.

Why is the C so much more valued over any other tick that occurred within any data compressed period of many ticks?

The answer is that it's not, it's but an arbitrary time slice in time.
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Postby PebbleTrader » Tue Nov 12, 2013 12:03 am

If we are to simplify all the ticks that occur within a data compressed period, such as a OHLC, 4 ticks, or 3 ticks if we say that the O is not necessary.

The most clever of all the ticks that occurred is not the C, because it is but an arbitrary price value...

The most clever is the median price value within the data compressed period.

See the illustration I posted earlier about manipulation...
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