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RAT stats

Posted: Mon Feb 22, 2010 1:07 am
by bredin
This picture is taken from a stats indi I wrote on the weekend to take a closer look at the RAT and to highlight some things for myself. I think the results are somewhat stunning. hopefully the pic is readable, header defs follow...


SIZE: sample size
DR: Daily Range average over sample
RED%: number (Percent) of RED (bearish) candles in the sample
HIGH%: Number (percentage) of times the Daily High is set FIRST on a RED candle
ARHH: Average HOURS to set the D1 HIGH (Highest hour)
RRR: Average Top Wick on a RED candle
ARR: Average range of a RED candle
ARBS: Average RED candle BODY
GREEN%: number (percent) of GREEN (Bullish) candles in the sample
LOW%: number (percent) of times D1 Low is set FIRST on a GREEN candle
AGLH: Average HOURS to set the D1 LOW (highest hour)
GRR: Average Lower Wick on a GREEN candle
AGR: Average Range of a GREEN candle
AGBS: Average GREEN candle BODY

(edit: dojis have been disregarded from the results as they are neither red or green)

Specifically what wow'd me was the 85-90% of the time that a low(high) is set first on a green(red) candle, and noting that usually the first low(high) is set during the asain session.
I will have to run better analysis on the probability distribution of the first low(high) times, as well as one or two other things that stand out to me...


Posted: Mon Feb 22, 2010 2:51 am
by newschool
That would confirm the buyzone then?

If it starts going one way, at first candle, it has a high probably of staying like that.

Posted: Mon Feb 22, 2010 2:52 am
by dchappy
Very nice bredin : I would be very interested in knowing the % of highs/lows
at the open of each session , or 30 mins before and 30 mins after each session open ..

Nice work ...Thank You

Posted: Mon Feb 22, 2010 4:39 am
by tmanbone
Agreed this is nice work. What are the average ARHH and HGLH #'s telling us about time? I see the average being 5 just eyeballing. Time of 5hrs in reference to what? Will you explain the (#) in the ARHH and HGLH columns also? I appreciate you. Thank you.

Posted: Mon Feb 22, 2010 4:52 am
by bredin
I dont know about the buyzone, I have not taken a good look at it.
What I wanted to find was a relatively reliable pattern to the RAT and it seems to be:
1. Price Moves in one direction
2. Price stalls and reverses
3. Price crosses the daily open
4. Price moves to opposing extreme
5. Price settles back to daily close
its obviously not always that clear cut, but I wont know until I dissect the first low/high time distribution.

Who knows, there may even be a profitable EA in this analysis :), especially if I take a closer look at how far price moves before the reversal. If you look you'll see that most pairs seem to move 4 or 5 times further after the first hi/lo than before it...

Theres lots more analysis yet....


Posted: Mon Feb 22, 2010 5:07 am
by bredin
the first value is the average time in hours (I only checked H1 bars, in order to reduce processing time at this early stage) before the HIGH of a red bar, and LOW of a green bar, when that bar was set first.

in parenthesis the value is the last time, again in whole hours, that the longest time to set the first hi/lo (if that makes sense)

these values are from the start of the D1 bar, my server having 5 D1 bars in a week (ie no 'short' bar on sunday)

I really just whacked those two colums in since it was easy to do so and thought It might give me something else to ponder.

It looks like, at this early stage, that quite often the the low/high or a green/red bar is set during the asain session, and that the greatest opportunity to profit from the day begins there. I just dont know that for sure yet :).

Did I actually answer you question???


Posted: Mon Feb 22, 2010 5:09 am
by bredin

Im not sure I can pull those exact figures since the relative time of the start of sessions depends on DST in those parts of the world... by which I mean it will take a better coder than me :)


Posted: Mon Feb 22, 2010 8:27 pm
by TheRumpledOne
Are you trying to tell us that trading like a RAT is better than trading like a Yale student? LOL!

Posted: Tue Feb 23, 2010 3:09 am
by tmanbone
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.

Posted: Tue Feb 23, 2010 4:43 am
by bredin
TheRumpledOne wrote:Are you trying to tell us that trading like a RAT is better than trading like a Yale student? LOL!

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