Detrended Price Oscillator (DPO) — Technical Indicators ...

Is a simple MA cross-over strategy good enough (statistical analysis)?

I am approaching this question from a statistical perspective. I took data for EURUSD from 2017.04.20 to 2018.09.18, on M15 chart. I use a simple MA(5) crossover with price close, and the market data was detrended before applying the strategy.
Buy and Sell signals based on this simple approach led to returns of around 240% and 220%, respectively (yeah, not a typo); p-value for null hypothesis was zero (machine precision level) in each case. Sample distribution turned out to be almost Gaussian (bootstrap method), with a slight tilt to positive mean returns. I assumed 2:1 leverage too, so not risking too much either (1 lot per trade). Entry and exit were decided by MA(5) crossover with price only.
No data mining bias yet. I just took MA(5) just as starters. Where to go from here? Maybe for future, or in some currency pairs these days, where trends are hard to develop, this approach might not work. Some adjustment to MA period might help then (and then I will have to consider data mining bias), or some other range-trading strategy, maybe based on an oscillator like RSI or Stochastics (although I don't trust Stochastics anymore). But this straightforward hypothesis test for MA strategy makes forex trading look quite simple, if I daresay it. I was expecting to be terribly disappointed in the efficacy of such a simple strategy.
Maybe the price for EURUSD in that time was strongly trending, so MA strategy works so spectacularly. But then what about the effect of detrending and Bootstrap theorem? I create 999 resamples from the one sample, and so the sampling distribution was created over 1000 samples with a sample size of 500+ each. Is that not sufficient?
submitted by digitalfakir to Forex [link] [comments]

Is a simple MA cross-over strategy good enough (statistical analysis)?

I am approaching this question from a statistical perspective. I took data for EURUSD from 2017.04.20 to 2018.09.18, on M15 chart. I use a simple MA(5) crossover with price close, and the market data was detrended before applying the strategy.
Buy and Sell signals based on this simple approach led to returns of around 240% and 220%, respectively (yeah, not a typo); p-value for null hypothesis was zero (machine precision level) in each case. Sample distribution turned out to be almost Gaussian (bootstrap method), with a slight tilt to positive mean returns. I assumed 2:1 leverage too, so not risking too much either (1 lot per trade). Entry and exit were decided by MA(5) crossover with price only.
No data mining bias yet. I just took MA(5) just as starters. Where to go from here? Maybe for future, or in some currency pairs these days, where trends are hard to develop, this approach might not work. Some adjustment to MA period might help then (and then I will have to consider data mining bias), or some other range-trading strategy, maybe based on an oscillator like RSI or Stochastics (although I don't trust Stochastics anymore). But this straightforward hypothesis test for MA strategy makes forex trading look quite simple, if I daresay it. I was expecting to be terribly disappointed in the efficacy of such a simple strategy.
Maybe the price for EURUSD in that time was strongly trending, so MA strategy works so spectacularly. But then what about the effect of detrending and Bootstrap theorem? I create 999 resamples from the one sample, and so the sampling distribution was created over 1000 samples with a sample size of 500+ each. Is that not sufficient?
submitted by digitalfakir to algotrading [link] [comments]

Detrended Price Oscillator – indicator for MetaTrader 4 Detrended price oscillator Top # 8 Facts DPO (Detrended Price Oscillator) Indicator for Vertex Fx Detrended Price Oscillator Breakout Forex Strategy - How To Trade Using Forex Strategies The 40 Best MT4 Indicators - Detrended Price Oscillator Indicators - Detrended Price Oscillator (DPO) - YouTube Backtesting The Detrended Price Oscillator

Der Detrended Price Oscillator Indikator (DPO) wird verwendet, um den Trend aus dem Preis zu entfernen. Dies geschieht, um kurzfristige Zyklen zu identifizieren und zu isolieren. Der DPO orientiert sich in der Regel nicht an den aktuellsten Kursen. Er ist nach links versetzt (Vergangenheit), was dazu beiträgt, den aktuellen Trend zu entfernen. Da es sich um einen Offset zur Vergangenheit ... The Detrended Price Oscillator (DPO) can be found in the indicator list on SharpCharts. The default parameter is 20 periods, but this can be adjusted accordingly to find cycles. Users can also add another parameter separated by a comma. A comma plus a positive number shifts the indicator to the right. DPO can be positioned above, below or behind the price plot. The Detrended Price Oscillator indicator (DPO) is used to remove trend from price. This is done in order to identify and isolate short-term cycles. The DPO is not typically aligned with the most current prices. It is offset to the left (the past) which helps to remove the current trend. Because it is offset to the past, the DPO is not considered a momentum oscillator. It only measures past ... Detrended Price Oscillator – indicator for MetaTrader 4 is a Metatrader 4 (MT4) indicator and the essence of the forex indicator is to transform the accumulated history data. Detrended Price Oscillator – indicator for MetaTrader 4 provides for an opportunity to detect various peculiarities and patterns in price dynamics which are invisible to the naked eye . How to Calculate the Detrended Price Oscillator (DPO) Determine a lookback period, such as 20 periods. Find the closing price from x/2 +1 periods ago. If using 20 periods, this is the price from ... Detrended Synthetic Price is a function that is in phase with the dominant cycle of real price data. This DSP is computed by subtracting a half-cycle exponential moving average (EMA) from the quarter cycle exponential moving average. See "MESA and Trading Market Cycles" by John Ehlers pages 64 - 70. Detrended Price Oscillator Detrended Price Oscillator calculation. The price {X / 2 + 1} periods minus the simple moving average of period X. X: number of periods used to calculate the lower oscillator. The 20-day DPO uses a 20-day SMA, which is compensated by 11 periods {20/2 + 1 = 11}. This shifts the 20-day SMA 11 days to the left, putting ...

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Detrended Price Oscillator – indicator for MetaTrader 4

The Detrended Price Oscillator indicator (DPO) is a client side VTL Script used to remove trend from price in Vertex Fx Chart. This is done in order to identify and isolate short-term cycles. DPO... If playback doesn't begin shortly, try restarting your device. Up Next. Cancel. Autoplay is paused. You're signed out. Videos you watch may be added to the TV's watch history and influence TV ... Episode 62 DPO: Detrended Price Oscillator Removing Trend from Price to See Observe Stock Cycles - Duration: 4:42. Trading Tips 10,992 views We can also find forex strategies for scalping trading such as trend following strategy, reversal trading, breakout strategy, chart patterns technical analysis, price actions strategy, pivot point ... Backtesting The Detrended Price Oscillator On Top indicators. Loading... Unsubscribe from On Top indicators? ... LIVE Forex Trading - LONDON, Mon, April, 27th Trade With Monty 680 watching. Live ... 95% Winning Forex Trading Formula ... TRADE ATS 717,362 views. 37:53. Episode 62 DPO: Detrended Price Oscillator Removing Trend from Price to See Observe Stock Cycles - Duration: 4:42. Trading ... Download Detrended Price Oscillator – indicator for MetaTrader 4 - https://forexmt4indicators.com/detrended-price-oscillator-indicator-for-metatrader-4/ ----...

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