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Squawk / 26 July 2016 at 15:09 GMT
Hypothesis Testing
United Kingdom
Zefy watch your time stamp/reset points;
FTSE/SP500/DJIA/QQQ/DAX/CABLE/EURO$/ZB/ZN are all reset at 9pm BST
EURGBP has two types of orders that play that market and I do not use std dev there but the ratio trades and the one posted to Kom about the 6pm time stamp point.
Hope this helps?
26 July
zefy zefy
Yeah, points me to the right direction. Thanks.
26 July
zefy zefy
I will test 1.5 std dev too as suggested in other post.
26 July
zefy zefy
Actually, why was I so obsessed to 1st and 2nd levels only LOL.
26 July
fxtime fxtime
If using bollinger bands the 2 std dev works but if using options traders would adjust to 1.5std dev as it had a stronegr revenue factor and far lower loss level. If we adjust that to the normal distrib algo for SP500 we see a similar outcome. If you want examples let me know....oh whilst I remember the 84% rule remains. There is the exact same probability of pullback into NORMAL distribution eg a pullback to the 2nd std dev as before. Do not assume it will pull back to 1.5std dev though.
26 July
fxtime fxtime
Zefy sorry about the poor spelling...it should still makes sense?
26 July
zefy zefy
Yeah, clear. I am not using Bollinger bands, just std dev algo.
26 July
fxtime fxtime
LOL....I was just showing the analogy of other market users and the 1.5std dev.
Monthly strangle and straddle fx options at max time premium using a synthetic style trade eg sell call OTM to open and sell PUT to open OTM at 1.5 std dev strike price away has an 84.1% probability of success at month end and it is the same with a tighter one day 1.5 std dev trade on cfd but always remember the 84% reversal rule only applies to a return to the 2nd std dev.....so if trading this part of the trade always take the easy money and cover at the 2nd std dev. The rest I hope is pretty clear?
26 July
zefy zefy
OTM option put/call clear
Reversal rule clear
With tighter one day 1.5 std dev trade you mean trade opens at 1st std dev and closes at 1.5 std dev, right?
Thanks for having patience with me and my questions, I rather ask one too many question than make incorrect interpretation.
26 July
fxtime fxtime
yeah thats pretty much it....let me know how you get on and I can send some tighter strategies later to you.
26 July
fxtime fxtime
Also don't worry about asking any questions.....I will answer them when I can mate :-)
26 July
zefy zefy
Thanks, this is great stuff and my system gets improved all the time now that I feedback data from live trades to fine tune the system!
26 July
zefy zefy
Of course taking into account to avoid curve fitting!
26 July
zefy zefy
But there are some execution related lessons learned I need to include in.
26 July
fxtime fxtime
Have a good evening mate :-)
Sounds like you have this trading business totally ''sussed''.
26 July
zefy zefy
Thanks, you too!
26 July
fxtime fxtime
At some point Zefy post your email address on an old article of mine to ensure that it will be lost in the general ethernet of posts onsite but It will be automatically flagged to me and I will come back to you with std devs scenarios :-)
27 July
zefy zefy
What I am trying to optimise is time exposure. I have seen in DAX that 1st std dev is reached and trade opened only to see price immediately dive 20 ticks below entry (yes, DAX is volatile). Then it takes few hours until back in 1st and then eventually to 2nd too. I understand probabilities are on the daily distribution but still wanted to study this from time exposure point of view too. If nothing else at least out of curiosity :).

My email is artonpostit@outlook.com

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