Detrended Price Oscillator (DPO) — Technische Indikatoren ...

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 DPO – indicator for MetaTrader 5 THE BEST Oscillator price detrended (Dpo) 2020 WINS streak Detrended Price Oscillator Indicator Testing Ditrended Price Oscillator (Dpo)  How to use in financial market - By Trading Chanakya DPO (Detrended Price Oscillator) Indicator for Vertex Fx Detrended Price Oscillator - Technical Analysis Basics NSEBSENiftyIntradaySTT Detrended price oscillator (DPO)

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 – 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 Price Oscillator Indikator. Der Detrended Price Oscillator Indikator ist eine verbesserte Version des Price Oscillators, welcher auf dem Unterschied zwischen dem aktuellen Kurs und der simplen Moving Average, verschoben durch (Zeitrahmen / 2) + 1 Kerze basiert. 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 ... Detrended Price Oscillator compares closing price to a prior moving average, eliminating all cycles that are longer than the moving average. Standard DPO indicator setting is 20-period. The indicator oscillates around zero level, and, if to take 20-day DPO, it'll remove cycles longer than 20 days. Price (X/2 + 1) periods ago minus the X-period Simple Moving Average. Thus, a 20-day Detrended Price Oscillator that uses a 30-day SMA will be displaced by 30/2 + 1, or 16 days. This will move the 30-day SMA by 16 days to the left of your chart into the middle of the lookback period, centering it. The value of the 30-day SMA is then subtracted ...

[index] [19965] [4217] [1770] [6733] [1645] [25961] [8905] [18277] [16757] [19545]

Detrended Price Oscillator DPO – indicator for MetaTrader 5

Hello friends today video concept is what is Detrended Price Oscillator indicator and how to use in stock market, commodity market , currency market etc. i am using and recommended broker zerodha ... 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... Using Price Oscillators in a Trending Market ... Detrended Price Oscillator Removing Trend from Price to See Observe Stock Cycles - Duration: 4:42. Trading Tips 10,920 views. 4:42. How to Use ... THE BEST Oscillator price detrended (Dpo) 2020 WINS streak Why I always get consecutive wins, this is my secret in iq option strategy This video explains the reasons why trading strategies don't ... Detrended Price Oscillator Indicator Testing ... The Academy of Forex was created so we can learn as a group what Forex indicators work best and which don’t. We will be testing what Forex ... Published on Jun 23, 2020 The detrended price oscillator (DPO) is an indicator that does not react to the most current price action by using a displaced moving average instead of the real price. It... We aim to be a place where every forex traders can gain free resources about trading. -About-Detrended Price Oscillator DPO – indicator for MetaTrader 5 Forex Strategies Forex Indicators Forex ...

http://binaryoptiontrade.propmentimbdupto.cf