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GBPJPY60 Probability Histograms

Posted: Sun Sep 20, 2009 4:16 am
by abostick
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









Posted: Sun Sep 20, 2009 11:07 am
by flinux
Nice!
Have you done some statistical computation about the range probability during opening of each market ?

Market Opening Hours

Posted: Sun Sep 20, 2009 1:54 pm
by abostick
As you would expect, slightly more volatile during open.





Posted: Sun Sep 20, 2009 3:07 pm
by TheRumpledOne
Thanks for sharing.

Mean Range per Hour

Posted: Sun Sep 20, 2009 4:06 pm
by abostick
Mean range in pips per hour eastern standard time.


Ranges broken down in part

Posted: Sun Sep 20, 2009 11:03 pm
by abostick
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!




Posted: Mon Sep 21, 2009 1:49 pm
by dalibor
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 )?

Posted: Mon Sep 21, 2009 2:06 pm
by noone22
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.

Posted: Mon Sep 21, 2009 2:19 pm
by dalibor
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

Buzzard Trade probabilities

Posted: Wed Sep 23, 2009 12:57 am
by abostick
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.