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- !iii! replied Nov 29, 2021
No offence, guys, but Davit owns the thread.
- !iii! replied Nov 25, 2021
Hi Davit, I've been following your thread since inception - hats off to your mix of stickiness to hard rules and learnt behaviour towards specific market conditions. This is meant seriously, as I have tried (semi-)manual approaches revolving around ...
- !iii! replied Mar 21, 2018
Following the idea of a fellow FF member for pivots to better work in ranging environment, I used the period congruent ranges (i.e. rolling daily H-L) as a filter for entries towards rolling daily pivots. The range detecting logic was to enter as ...
- !iii! replied Mar 21, 2018
My code about the period congruent (i.e. only all first, second,..., 24th hour) sigma had a bug. I corrected that and, not unexpected, the sigma converges for a large number of samples. Nevertheless, it doesn't have any unknown impact on the Pivot ...
- !iii! replied Mar 20, 2018
FYI - I ran several 100 simulations using random double ups across 10,000 samples, but the profitability didn't change significantly (+-3%).
- !iii! replied Mar 19, 2018
Given the proximity to the pivot level for 50% of all hits being the main challenge to recover floating losses from previously missed pivot levels, one could try an Anti-Martingale approach: instead of focusing on trending streaks for double downs - ...
- !iii! replied Mar 19, 2018
For now it shows, that Pivot levels remain a Fata Morgana.
- !iii! replied Mar 19, 2018
...however, going with periodic sigmas only halved (instead of dropping tenfold) the opportunities per excursion level while the hit rates remained above 50%.
- !iii! replied Mar 19, 2018
It didn't...
- !iii! replied Mar 18, 2018
115 samples to validate the figures - they appear to be correct
- !iii! replied Mar 18, 2018
From 9.8.2016 up to today.
- !iii! replied Mar 18, 2018
Over all the 10,000 samples.
- !iii! replied Mar 18, 2018
A close up for visualization of histogram and on chart rolling pivot
- !iii! replied Mar 18, 2018
All of the above under the assumption of no bugs, of course..
- !iii! replied Mar 18, 2018
No stops
- !iii! replied Mar 18, 2018
Sticking with the calculation of continuous pivot levels, I simulated opening trades a) from the open price towards Pivot, no hard SL (i.e. every bar), and b) from sigma 1 and 2 excursion levels, but with additional filters being Reward-to-risk at 2 ...
- !iii! replied Mar 17, 2018
This is how the proximity of open prices to the continuous daily pivot looks, when using a H1 resolution - just like any other oscillator. As expected, the hit rate remains high, but so do the consecutive misses (I saw streaks of 24 misses on 1,000 ...
- !iii! replied Mar 16, 2018
The "problem" is the proximity of the daily open prices to the pivot level, which doesn't give much "room" to work with: 5% <= 1.4 pips 10% <= 2.7 pips 15% <= 4.1 pips 20% <= 5.7 pips 25% <= 7.0 pips ... 50% <= 14.7 pips