Well I apologize everybody. The simulation PipMeUp made is the correct one. I messed up one "IF" command in rules. Sorry for giving a false hope... Without the edge the mm becomes a straight loser... Thank you Pip for posting this ..

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Can you distinguish or forecast ranging and trending markets with a model? And change your trading style accordingly?

Quant basket trader? I need your help!

There is always a possibility that I made an error somewhere.. The rules are, as I understand: TP= 2, SL=1. Start trading with a certain risk, say $10 win = double risk loss = go back 1 step on risk until initial risk, than if you keep on losing the ...

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Well, what do you think? Room for improvement? or is this the eureka moment??

Quant basket trader? I need your help!

Since reversal Renko bars have (range *2) compared to same direction bars (range * 1). The probability of an up bar after an up bar is %67, down bar after an up bar is %33. So 2 up bars in a row probability would be 0.67*0.67= 0.4489. 3 up bars in a ...

Quant basket trader? I need your help!

Exactly.. That would make it better for the purpose I think. I am glad you like it.. As far as making it better, unfortunately I don't have any ideas at the moment. New ideas might emerge after you apply this method, I hope!! Good luck Pip..

Quant basket trader? I need your help!

This sort of data could be easily used in nearest neighbor algo I think

Quant basket trader? I need your help!

Here is a chart with zigzag using the currency index. Yellow= AUD, Red = EUR, White=GBP, Pink=JPY, Lime=NZD, Blue = USD. The brown on each indicator is displaced values(60) of the zigzag.. image

Quant basket trader? I need your help!

Why not just use the zigzag as input. If new High, than +1, if new low than -1, no high no low, than 0. Something like that..And try to use this in you nearest neighbor modeling.. If you predict the 0, than this might be your turning point

Quant basket trader? I need your help!

Thank you for the info. I have read that before, but now it makes more sense. Isn't it more important to label the turning points? Estimating for turning points mean you are labeling all the bars somehow. Some kind of probability of turning point to ...

Quant basket trader? I need your help!

You're welcome. As for the questions, no problem at all. Yest you start with $10, as you know Matts system says "you don't quit until you are +3 wins". So by the time you reach +3 wins, your risk becomes minimum $40 (this means you reached it very ...

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One more thing I should point out that I always started with $10 for a new series. I think you increase the risk after increasing your capital. I didn't apply that. FYI

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You are very welcome. It is your idea, so I should thank you for bringing it out.

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Worst losing during 10,000 series would be -$420,000 Highest gain would be $280,000 Starting with $10 risk initially Min risk would be $40, Maximum risk would be $160

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One more thing. On average reaching 3 wins takes about 12 trades average. Minimum 0 trades (meaning you haven't reach 3 wins in 200 tries), maximum 48 trades. I think this is important too.

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I think I have good news for you!! I did a monte carlo simulation, using 10,000 iterations, repeated the test 3 times. Here are the results Mean Variance Lower CL Upper CL Valid iterations Time taken 4.668 30878 -420 280 10000 23 sec (Test 1) Mean ...

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What is the simplistic labeling you are doing right now? Could you please explain a bit? If you don't mind of course...

Quant basket trader? I need your help!

Very clear, thank you....

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Thanks. One question: Do you step down the risk after 1 loss? I understand that you step up the risk after a win.

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