If possible ...now this is a biggie..could someone express MAE and MFE in percent of ATR... Define your entries according the the first posts in this thread... This is a big project and i understand is a lot of work...but I need this info as ATR could be KEY in our stops!
I will digress now... I am stuck in this EUR/AUD as I still have a strong Daily CR arch fairly young...telling me that the magnet is pulling in the "short direction"... I still think this is a normal ebb and flow that the EUR/AUD is demonstrating, regardless of the news...and my over exposure has made the trade uncomfortable... If you are not short in the EUR/AUD now...take a look at some arches and watch the Demarker...this is prime time to get short...
ES, good job, but I think you are missing three elements in your system, one you have adressed, and that is stops. I take hard stops based on statistics, so to start with I suggest one of the tech guys who is helping out, program the basic system with the Curvi and Demarker entries and exits, then you can run a backtest maybe for a few months back, and look at the drawdown average, and possibly use this average to set your stops by. I still think you need something to lean on as far as daily, weekly, and monthly levels are concerned, I think that with the mt4 platform there should be a load of these in the program itself and also floating around the net. Start with basic levels and then get more complex. Volume is another thing to look at, I guess the curvi is trend following, the problem with all trend following indicators is that they are only trend following, they tell you nothing about the current market participants and what they are thinking. Now we know that forex has no true volume, but you should be able to ferret out a good substitute with mt4. As you know, I do 0 programming, I just come up with the ideas and then have Kenneth at Tickquest, or our always too busy CIO do the programming, so I wish I could help more but the Viper is not a programmer. Love to trade, but learning to work the programming is too much. The Ever ferret eating VIPER
This book by John Sweeney goes into the concepts you are exploring here in detail, and while I don't believe he deals with the ATR he does factor volatility studies into his work as well as using MAE and MFE to determine how to manage one's trades better. Maximum Adverse Excursion: Analyzing Price Fluctuations for Trading Management by John Sweeney TOC The Idea. Defining Max Adverse Excursion. Displaying MAE. Defining Profit by Bin. Impact of Volatility Changes. Runs Effects. Martingales. Trading Management. Appendices. Index. *** Regards, JJ
Thanks TV & JJ... (I have the book) I just was drinking some ice water and laying in bed...and something just hit me across the face....(no! it was not Wifey) Why not add an offset to the CR? to plot a trajectory 5 or 10 periods into the future......? Zones above or below the CR could be the Stop. I do not have time to monkey around during the day manually adjusting, so I use set and forget.... automated trailing stop programs just miss the mark in my opinion as they are numerically stairstepping and/or ratcheting up/down...still not much to do with chart formations or indicator based calc's... Just a thought?
i personally like the idea of trailing stops that trail far enough behind based on statistical volatility to not be hit by the 'normal' wave action of a price. it feels intuitive that protecting profits should be part of the game. like people who can bring themselves to leave casinos while they are in the money. i am not 100% sure if a trailing stop would kill performance or that it should always be used. i have a gut feeling that you might have better performance if you bring trailing stops into play after a position goes far enough into the positive. imagine plotting two extra lines that 'hug' the normal peaks around the curvi line, drawn using a very similar polynomial or whatever curvi uses. using those lines might be a good place to start considering a moving stop, moving with curvi rather than price. someone mind explaining what MAE and MFE is to me?
These terms were coined in the 160 page hard covered, book titled, Maximum Adverse Excurision, Analyzing Price Fluctuations for Trading Managment, by John Sweeny. MAE=Maximum Adverse Excursion MFE=Maximum Favorable Excursion Your method will give you an entry and from that entry there can be several outcomes. But its the DURING the hold where the ebbs and flows, that are being analyzed and mapped are dicussed and illustrated with several examples and tables. At one time, John Sweeny was the Technical Editor of the magazine known as, "Technical Analysis of Stocks & Commodities Magazine. someone mind explaining what MAE and MFE is to me?
hm. i meant my method to help give stop signals when the price moves so far from the curviline that it seems the trend is broken (beyond the regular variance)
Actually..I like your method...can you give me some levels and I will test it..Live in the new thread...unless anybody has some other ideas? note the EUR/AUD is not a breach yet...with what I could imagine the levels to be...so actually the stop will help define CORRECT exposure, to "dial in" tolerated "unrealized, drawdown".... the levels could be adjusted periodically..I personally do not have time to catch each notch of the line if the 60M...30M..15M is observed...so I prolly would use the daily for stop adjustments...cause sometimes I use the secondary 15M with three mini's at 2*ATR for targets.
does MT4 have the ability to adjust stops as a variable changes? say the progression of the current value of the curvi?