Its All Noise - Right? - Page 3
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Thread: Its All Noise - Right?

  1. #21
    Quote Originally Posted by ;
    It would be a great discussion. Let's begin it .

    I personally can't differentiate what TF chart I am
    looking at if it isn't labeled.

    Do distinct TF's actually vary with regard to:

    Trending?

    Randomness?

    Noise?

    Volatility?
    The common wisdom seems to be that there isn't any discernible difference between time frames, but the information tells another story. Back in January I did. The hyperlink to the whole set of study notes is here:

    http://market-geeks.com/research/archive2008_01_17.doc

    But the advice pertinent to this discussion is just on pages 5, 11, and 13, so I'll just paste it here.

    If you divide the total range of any arrangement of pubs from the minumum cumulative distance that price has to travel in each one the pubs TR/(avg. Bar height x #bars) you get a measure of just how much of the price action given to the trend and just how much of the price action was dropped to chop. The main point is that the trendiness drops by orders of magnitude as we fall down in time frames.

    Here is the excerpts in the notes:

    The analysis of the daily statistics is on page 5:
    You will find 1358 bars using an average range of 112 pips each. This means there was a motion of 151,520 pips during the period. The total range over the period was from 124.12 into 168.96 or 4484 pips. This range is 3% of their movement, meaning that 97% of the motion was dropped to chop. The bar height is 2.5% of the total range.

    From page 11:
    Qualities of this 10-minute info:
    Bars: 7300
    Typical bar range: 22 pips
    Total motion: 159,282 pips
    Total Range: 909 pips
    Trend variable: 0.6%
    Noise: 2.4%

    From page 13:
    Below are the Features of this 10-second bar information:
    N 16970
    H 5.7
    NH 96712
    R 136
    Trend 0.1%
    Noise 4%
    H(max) 20

  2. #22
    Quote Originally Posted by ;
    The common wisdom seems to be that there's not any discernible difference between time frames, however, the data tells another story. Back in January I did. The link to the entire set of research notes is here:

    http://market-geeks.com/research/archive2008_01_17.doc

    However, the information pertinent to this discussion is just on pages 5, 11, and 13, so I'll just paste it here.

    If you divide the total range of any arrangement of bars by the minumum cumulative distance that price...
    Now this is research, IMO. Did you find any repeatable patterns (of any kind) when price finally trended?

  3. #23

  4. #24
    Quote Originally Posted by ;
    waves are built up from smaller timeframes and they become the obvious on the massive timeframe....
    I enjoy this way of looking at things!

  5. #25
    Quote Originally Posted by ;
    Now this is study, IMO. Can you find any repeatable patterns (of any sort ) when price finally trended?
    There were a few higher level structures that appeared to replicate. For instance when a trend (how I defined it in the analysis ) ended, it would end in one of 2 manners; either using a failure leg that couldn't extend the trend, or with a sudden strong reversal leg. There is no logical reason they should, although alternative was tended to by these two modes of trend interruption. It might have been a bizarre statistical artifact, but I found a couple of things like this.

  6. #26
    The noise of one man can be another person's trade sign. There are recognizable patterns on timeframes that scalpers take advantage of. Fibs, MA's, and term areas of S/R. As above, so below. Use what works best for lifestyle, personality, and your own body.

  7. #27
    Quote Originally Posted by ;
    It could be a fantastic discussion. Let's start it .

    I can't distinguish what TF chart I am
    looking at if it's not tagged.

    Do different TF's actually vary with regard to:

    Trending?

    Randomness?

    Noise?

    Volatility?



    Below: Name that the TF.
    1. Sure, two charts from TFs seem similar but what does this tell you? How did they come to be? Hindsight is. This says nothing about the potency of this R/S that shaped them, etc.. Let's assume that you could tell a difference. What would this tell you ? That one is much more volatile than another? The contrast serves no intention

    2. What does matter is the long term equity curve of one. (Yes, this once you scalpers have to think long term). I am making the assumption that most of us intend to remain in this game as long as possible
    Now, supposing that you're indeed a profitable scalper, at one point in the future, a profitable long term trader will always beat a scalper's equity curve. The main reason is simple: spreads. This comes in the simple fact that scalping is simply scalable up to a particular order size and that the spread loss will probably be compounded to your equity curve over the long haul.

    3. The point has also been made that most traders lose in Foreign Exchange since they don't scalp. I can't agree with this. Most traders begin not having the patience to wait around for a entrance that is fantastic or they can't let their profits run. To put it differently, they start scalping and wind up losing.
    I guarantee you that many traders could have more success carrying only a couple of position trades a year in the direction of the major trend than scalping about the 1 sec chart.

    Yes, scalping does have some immediate benefits (no long term exposure). But over the long run there's a LOT that speaks .
    Just because you're doing more in the short term does not mean you are earning more in the long run.

  8. #28
    Quote Originally Posted by ;
    Did your research devote any (new) thoughts regarding exits? Everything you refer as sudden strong reversal leg often have a V-shape about the chart that in many cases lead to the renowned candle-stick pattern hammer (more known as pin-bar here on FF) if I understood your terms correctly

    Sounds like you have done some interesting research here.
    I was employing a zig-zag approach with a certain reversal threshold value; for example I'd consider a price leg intact on the daily till it reversed at least 250 pips. Therefore a leg might include dozens of pubs. As you mentioned A reversal on a TF could appear as a pin-bar on a higher TF.

    In terms of exits, among the things which I studied was that the length of each price leg relative to the last 1 in order to ascertain when a leg was nearing exhaustion. That could have appliions in determining an exit egy.

  9. #29
    Quote Originally Posted by ;
    lol there's not any gap, I have attempted to point out this in the past to individuals who liked to say anything under 1hour is solid. The market trends on a 1sec chart as it will on a chart the sole difference is are for pips on a 1day chart. Take price and timeline away and you cannot tell the difference. Many people plan for 50, 100, 150 pips etc for money that is small, try aiming for 5,10,15 pips etc with large money. Now ask yourself how often the market goes 5,10,15 pips vs 50,100,150 pips?????
    The trend on the daily is much more visible than on the 1 sec.

  10. #30
    Quote Originally Posted by ;
    The fad on the daily is much more visible compared to 1 sec.
    Maybe not so.

    That's only true if you want to exploit the daily fad.

    If it's your goal to exploit the 1sec fad, it makes no sense to look
    in the daily [chart/trend] and vice versa.

    Trend is independent of time period; it is the motion of a factor [here: price] throughout a time period. [period can be a moment, second, year or day ]

    regards

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