ABC du Trader
LinkBack URL
About LinkBacks
un article sur les probabilités
bonjour voila quelques stats (en anglais) sur EURUSD daily sur certaines probabilites en 10ans de test
quelques infos interressantes je pense surtout les 74% de chance que le cour fasse soit un break du plus haut ou plus bas de la veille mais seulement d'un seul cote , a voir
--------------------------------------------------------------------------
---------STATISTICS AND PROBABILITIES---------
Here will go the collection of data we come up with... I'll start with something basic...
1. Probability next day will be Inside / Outside / Only break high or low...(10 years of data)
Only breaks high or low (one side)= 74%
Inside Bar = 14%
Outside Bar = 12%
2. Condition (current day makes Higher High than previous day & price > 21 SMA > 50 SMA)(10 years of data)
Current Day will Close Above Previous High = 55.21%
Current Day will Close Below Previous High = 44.79%
Next Day Will Make A New High = 60.26%
Next Day Will Fail to Make New High = 39.74%
Condition (current day makes Lower Low than previous day & price < 21 SMA < 50 SMA)(10 years of data)
Current Day will Close Below Previous Low = 52.96%
Current Day will Close Above Previous Low = 47.04%
Next Day Will Make A New Low = 60.81%
Next Day Will Fail to Make New Low = 39.19%
3. Price Returns to Open after Making a New High or Low(10 years of data)
Price Returns to Open after making New High = 61.46%
Price Returns to Open after making New Low = 59.74%
(NOTE: for example, this means after making a new high, price will return to the opening price at least 1 time 60% of the time)
4. what is the probability of having at least 50pips of breakout distance from either high or low of 2nd bar, provided that the retracement from breakout point is less than 50pips?(10 years of data daily charts)
result = 47.62%
Condition: bar3 (anything) , bar2 ( makes higher high & higher low compared to bar3) , bar1 (insidebar), bar0 (today breaks bar1 high)..
(testing data on 1 hour chart for 10 years)
probability it will go up 20 pips = 45.94%
probability it will go down 20 pips = 54.06%
5. Regarding #3.. of the 60% of times..(10 years of data)
price makes new high returns to open, chance it.. Returns to last days high again = 68.26%
price makes new low returns to open, chance it.. Returns to last days low again = 66.58%
6. Daily candle being the same direction as candle from the previous day.
45.36%
Weekly candle being the same direction as candle from the previous week.
50%
7. LONDON and NEWYORK stats
Average pips per breakout:
(I used net pips to determine trend/breakout.. but results are in actual pips)
(London breakout define as 3-6am(EST).. Newyork breakout define as 8am-12pm(EST)
(10 years data)
London up = 40 pips
(this means if London breaksout upward.. it averages 40 pip upmove)
London down = 39 pips
(this means if London breaksout Downward.. it averages 40 pip down move)etc. for rest of results
NewYork up = 57 pips
NewYork down = 56 pips
(Last 2 years data)
London up = 54 pips
London down = 57 pips
NewYork up = 76 pips
NewYork down = 73 pips
NEWYORK & LONDON Copy eachother? :
(10 Years)
NEWYORK copied LONDON = 49.19%
LONDON copied NEWYORK = 48.23%
(Last 2 Years)
NEWYORK copied LONDON = 49.92%
LONDON copied NEWYORK = 49.14%
(10 years)
London's direction today will be London's direction tomorrow = 47.73%
NewYork's direction today will be NewYork's direction tomorrow = 47.82%
8. Regarding #3 and #5
I ran the test again.. this is the result when you use the previous bars middle point rather than the newbars open price (which is same as last bars close price)
so the middle point of previous bar..
it makes new high.. chance it returns to previous bars mean = 38.92%
so now its made a new high and return to the mean point.. chance it makes it back to the high = 30.29%
and if you want to know the percent of times over a 10 year period that price made a new high.. return to mean of previous bar.. and then made it back to the high.. 10.22%
Just wanted to show the relationship to risk to reward.. or the fact that in previous test 3 and 5 the open price was often near the high resulting in high winning chances.. but considering the risk to reward.. you draw your own conclusions
9. Will the weekend gap fade?
Yes it will fade = 53.97% of the time
NOTE: This is done with 1:1 risk to reward.. so if the weekend gap was 50 pips.. will it fade the 50 pips.. or go the opposite direction 50 pips..
10. Standard Deviation
if price goes to +1 SD or -1 SD.. you immediately place a trade in direction of the average, with TP at the average, and SL at +2 or -2 SD (to get 1:1 risk to reward)
chance you will get your TP = 54.23%
 |
|
Répondre avec citation
Envoyé par dinemma
