Forums Trading Systems Discussion Autocorrelation

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  • #2219
    Pigh77
    Participant

      Hi,

      I wrote about this argument in the FF after being inspired by EURUSDD charts. I would like to share again this concept here, in order to find new ideas about a possible development.

      As you can see time frames are in 3:1 ratio and so are settings for the same trading system applied to both charts (they must be no repainter).

      In the lower chart there are 2 more signals that the upper one, remembering EURUSDD’s words “a situation that has to be corrected”. It means that you can reverse the two different signals because they are not confirmed and *maybe* use them. If the correlation between signals is around 85/90% you should use a 10% of contrarian trades, but only with a good money management.

      The first issue is that sometimes in the lower Time Frame signals are appearing before the higher Time Frame, and when the higher time frame signal is published as a confirmation, you have to manage a position that potentially is not winning.

      Has somebody tried to check this?

       

      Thank you

      :bye:

      #2308
      Saver0
      Moderator

        Hi Pigh,

        Interesting.. what’s the logic behind the arrows and +/-1?

        Focus, Patience, Determination & Order in chaos

        #2313
        Pigh77
        Participant

          Hi,

          it is simply a channel of moving averages shifted of “x” percent, very similar to a bollinger band.

          you can use a RSI or a Moving average (without shift) if you prefer, but the moving average has a bigger impact with the phenomenon of “delay” in the bigger time frame impacting the lower time frame

          • This reply was modified 9 years, 7 months ago by Pigh77.
          • This reply was modified 9 years, 7 months ago by Pigh77.
          #2986
          simplex
          Moderator

            You named this thread Autocorrelation.

            At first I tried to get an idea of the topic by reading wikipedia (see: https://en.wikipedia.org/wiki/Autocorrelation ) I’m having trouble to see the connection between the thread title and the content of your 1st post.

            Can you provide some hints about that? I’m a bit baffled at the moment.

            A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)

            #2994
            Zelo
            Participant

              “a situation that has to be corrected”

              I see what you mean :good:

               

              Correlation and Cointegration have interesting idea.

              http://en.wikipedia.org/wiki/Correlation_and_dependence

              http://en.wikipedia.org/wiki/Cointegration

              #3057
              Pigh77
              Participant

                You named this thread Autocorrelation. At first I tried to get an idea of the topic by reading wikipedia (see: https://en.wikipedia.org/wiki/Autocorrelation ) I’m having trouble to see the connection between the thread title and the content of your 1st post. Can you provide some hints about that? I’m a bit baffled at the moment.

                 

                The definition for autocorrelation sounds like a “cross” correlation between a signal (or the value of a variable) with itself, in this case we have a signal in a minor time frame with the same signal on a major time frame  :yes:

                 

                #3058
                Pigh77
                Participant

                  “a situation that has to be corrected”

                  I see what you mean :good: Correlation and Cointegration have interesting idea. http://en.wikipedia.org/wiki/Correlation_and_dependence http://en.wikipedia.org/wiki/Cointegration

                  The sell signal appearing in the bottom chart (and not in the top chart) is “too early” and for this reason (probably) is wrong. This is the main idea  ;-)

                   

                  #4914
                  simplex
                  Moderator

                    I stumbled upon John Ehlers’ latest book recently, titled Cycle Analytics For Traders. Absolutely worth reading, it contains a complete chapter about autocorrelation. I’ll start coding an experimental indicator based on that chapter when I have some spare time.

                    Typically for Ehlers the reader should be prepared to be confronted with a nice portion of mathematics, most of it IMO understandable at an advanced highschool level. Part of it will require some knowledge of math and physics at an undergraduate engineering level if you really want to dive in deeply, but you can skip those parts and still gain valuable insights.

                    Description: wiley.com/WileyCDA/WileyTitle/productCd-1118728513.html

                    A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)

                    #4922
                    Pigh77
                    Participant

                      I stumbled upon John Ehlers’ latest book recently, titled Cycle Analytics For Traders. Absolutely worth reading, it contains a complete chapter about autocorrelation. I’ll start coding an experimental indicator based on that chapter when I have some spare time. Typically for Ehlers the reader should be prepared to be confronted with a nice portion of mathematics, most of it IMO understandable at an advanced highschool level. Part of it will require some knowledge of math and physics at an undergraduate engineering level if you really want to dive in deeply, but you can skip those parts and still gain valuable insights. Description: wiley.com/WileyCDA/WileyTitle/productCd-1118728513.html

                      Simplex very good idea :) I am a perfect ignorant and my point of view is only empirical, but I see something very interesting behind the autocorrelation. Having here skilled people will be a plus!

                      #5055
                      simplex
                      Moderator

                        For those who would prefer to get an idea about Ehlers’ view on the topic before maybe reading his book: here’s a link to a Powerpoint file on one of his websites where he explains the concept briefly.

                        http://www.stockspotter.com/Files/201303MTA.ppt

                        It also shows the concept of the very interesting Roofing Filter.

                        Cheers, simplex

                        A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)

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