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Fibonacci statistics

 
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matt lydon

Fibonacci statistics

In a perfect world, looking for published statistics regarding Fibonacci retracements & extensions. Specifically, hoping to see wnat

percent of the time C termination "hits" 0.236, 0.382, 0.50 & 0.618.

 Correspondingly & similarly, looking for relevant stats on Fibonacci D extension(s) relating to those retracements.

This will assist me when timing & placing trades, OR waiting /not placing trades. Any/all suggestions welcome.

Wed, 05/15/2019 - 10:40am
 
zamzoftie

I dont use any type if indicators. My chart is totaly naked.

 
CirrusSageRL

I agree. I've been experimenting with following micro to macro size retracements, as a fractal phenomenon, and it is the most satisfying. I feel the more I do it, the better I get at seeing direction. It's a wonderful sight.

In the pic you can see M5 would determine bias, and M1 entry, S/L. I put S/L above retracement.

2019-05-15 10_27_23-Alveo.png
 
caflischmartin

I use a fibo expansion on a 1 min chart todetermine the tp.It is extended to 261.8% and works well during day.

Like so :
Today it was not that accurate,because it went down massively,maybe I should extend to 361,1 also.

fi re example.jpg
 
caflischmartin

I like it because Idont have to guess about where to take profit,Iwait tilit reaches 261,8,or turns around at 200,sometimes at 161,8 also for the first move of the breakout.perfection is not required,like an umbrella helps to stay dry,but doesnt count the drops : )

 
mulmer1975

I hear a lot about the Fibonacci but I am not sure how to activate it/ turn it on... I would like to try it out. can someone help me with setting it up?

 
daniel.n.brewer.mil

Fibonacci ratios are the next indicators I want to study and practice.

 
burton

matt lydon, skip all of the chit chat and speak with jeff crystal, he can provide the insights you are seeking, regarding the fibs.

- good on you for seeking out "statistical reality"

you can find jeff leading the "CATT Tools" session, just refer to the community calendar.

 
2mjventures

burton, thank you for the heads up on Jeff and CATT Tools. Fibs are something I definitely want to understand better. This will definitely help get to the source faster.

 
Rookie

RE Jeff's class on fibs, there is nothing probability wise regarding the fibs however they tend to become a self-fulfilling prophecy with more and more users.

my opinion, Fibs is a short cut for the trader that does not want to do their homework with S&R.

 
burton

2mjventures, make sure you ask jeff about fibs, and the excel file, maybe between those two pieces of information you can begin find some clarity with the fibs.

i wouldn't be afraid of trading them, "IF", if i have done enough chart work to understand when i have an edge, and when i don't.

there are any number of indicators, because they are so common, that one could easily say...

"they are self fulfilling"

ultimately, the market makers will move the market where there is money...liquidity is essential.

just make sure you pay attention to those moments when the fibs do work, and study the activity leading up to that point. become a student of behavior, as it relates to your chosen indicator.

 
matt lydon

By the responses, perhaps there isn't any formal published work on the stats I seek. I can tell you that using a combination of Andrews pitchfork on the 1 day time frame to establish overall direction, pin bars at Support/Resistance, Fibonacci retracements & expansions, with profit targets on/@ the D extension on the 1 hour TF I've been getting pretty satisfying results.
I'm COMPELLED to add, these are also selection criteria, if the C ( of the ABC) is NOT somewhere between .382 -.618
AND the D extension ( 1.618) isn't at least 50 pips for the most part, I DO NOT TRADE.
I'll keep researching
Jeff is a tremendous resource, however, I don't want to start programming anything, nor do I want to learn about programming. I had my stint with Z-80 machine language programming in another life & decided then that was not for me.
If I discover anything, I will update this thread , as I check occaionally.

 
burton

matt lydon, great share, nice to see you have some very specific ideas...please continue to share as you research.

i've always been curious about the fibs...based on what you shared, i could probably run a few back tests, and let you know what i find.

what pair(s) do you trade?

 
matt lydon

It varies, but often EUR/USD, GBP/USD,AUD/USD, NZD/USD, & EUR/GBP are probably my most frequently traded pairs, but NOT to the exclusion of others. I often will focus on as many as 10 trades a day, ALL pending orders, often with 10-20 pip "leads" to confirm my analysis. The rationale here is, if I'm wrong, it costs me nothing. My routine is to "set" my trades, then re-asses them sometime later. Often, I'll set these 21:00 ( 9:00pm) EST, then check them around 2:30 AM, before the London open.
Often, it's a mixed bag, with some trades triggered, some positive, some negative, some just "wrong" interms of the intended P/A direction REGARDLESS, ALL trades get re-assessed to confirm, or modify vs. original analysis. My typical trade duration varies between 1.5-3.5 hours.
I typically will close out my trades by 6:30, before NY open.

 
matt lydon

Burton,
As an added additional piece to this particular Forex mosaic, I recall having seen/heard that there are 7 patterns of P/A within the Fibonacci retracement & into expansion. I can't tell you any more than that, but I do think it was an MTI webinar on Fibonacci, but I've been unable to find it in the MTI ON LINE University.
I will find it somewher, it just irritates me that I can't recall any more details. The old CRS syndrome, I'm afraid.
Have a great Holiday weekend, everyone.

 
Rookie

Thanks, Matt!

 
triguylm1

When looking at Fibonacci probabilities. it's most likely a reference from the most recent pivot high or low given any TF.

So using a M1 chart, the relevance of a 50% retrace of the most recent large candle forming the pivot high or low: then, becomes the profit target.

Like wise the relevance of a larger move on the 5 minute chart; then relates to a 50% retrace of the most recent pivot high or low.

Like wise when using the H4 chart for swing trading: then the most recent pivot high or pivot low becomes the reference price to catch at least a 50% to 66.67% retrace profit target. However, there are currency pairs that are "Range Bound" thus; the retrace price is close to 95% to 105%

 
burton

very helpful, thank you triguy

 
burton

matt lydon, just wanted to be clear...

- i'm right in the middle of working through some core aspects of my trading process, so, even though i plan on taking what you, and triguy have shared, and performing some probability analysis, my first focus is my trading process.

once i have some numbers to share, i will definitely share them here, in this thread. as shared, i really am curious about the fibs, and the probabilities. what triguy shared, really simplifies how i will be approaching my analysis.

 
matt lydon

@ TRIGUY
At the risk of appearing obtuse given this screen shot of EUR/NZD on 1 hr chart,

https://www.screencast.com/t/kWrJ6iEl6vUD

What are you saying relative to either the A ( the high) or the B ( the low) of this Fibonacci structure?
As you can see, of course PA has already struck/bounced near/at 0.382, as it does much of the time.

What I'm looking to learn is, what is the specific statistical probability of PA going NORTH from here to wherever 0.500, 0.618,, 0.786, etc UP TO & including " breaking" the A, rendering this structure no longer viable. Presuming, based on the next screen shot, that "breaking the A" doesn't occur, then, the short trade becomes more viable ( &, more valuable!)

same EUR/NZD pair, DAILY chart, with a trend channel drawn should illustrate my WHY I want to know.
In it's simplest terms, WHERE WILL C happen?

https://www.screencast.com/t/87sGSZMK

there is a potential short trade of 70+ pips BELOW current PA., larger if PA climbs, before it settles into a descent
obviously, as always, NO GUARANTEES on anything.
As you can see, there is a suggestion the trend is shifting downward from the daily chart.
Again, in a perfect world, just looking for a simpler way to make HIGH probability winning swing trades.

 
mehdivincheh

https://www.screencast.com/t/kWrJ6iEl6vUD
maybe this chart is a sample of ABCD pastern very simple if pairs touch .786 Fibonacci maybe( by swing) it comes to 1.382 to 1.618 extension Fibonacci , i can remember exactly the rule but it can be an idea for you

 
matt lydon

Interestingly enough, Shawn did a YOUTUBE video on Fibonacci retracements today.
While this is the URL

https://www.youtube.com/playlist?list=PLMbgJA6yct0VV0ZqRN5jrgR4HNbKiZ8er

of the 85 listed videos, the Fibonacci item is NOT among them, perhaps because today was the first broadcast time ?
I did watch Shawns video & while he does mention some interesting things, the most interesting was his concept of Modeling to establish a bias.

 
burton

matt lydon, nice share, i will definitely watch. thanks, i will bookmark the list.

Fibonacci retracements, a lot of audio issues...
https://www.youtube.com/watch?v=n9yvUglAHaU

If you want to skip the audio issues, use the following link...

https://youtu.be/n9yvUglAHaU?t=310

 
burton

matt lydon, what i really like about the video, is how shawn breaks down his approach and trading bias...

- long zone
- short zone

great perspective to share

 
matt lydon

Yes, it's uncanny how well this works
At the risk of putting too fine a point on this concept, this screen shot is of my equity curve from this past Friday

https://www.screencast.com/t/WnQzK5bUbW3K

this one shows that the 20 trades were all EURUSD

https://www.screencast.com/t/9CU2tfP9

Once C is established, multiple trades in the direction of the D exension is great way to add pips to your account,
All trades were made & managed on the 1M chart in Alveo

Price Action Direction, Fibonaccis , trend channels & Andrews pitchforks are all done on MTI software products, UTO\P/UCS & Smartrader

 
matt lydon

Point to above is that most if not virtually all, of my trade analysis is NOT done on ALVEO. Alveo is used as a trade entry & management platform.

 
rlholcomb

Matt

In my opinion you are giving important insight about Alveo's shortcomings. I am working on the same transition because of their incompleteness of the Fib expansion indicator.

( I have the black finger of death hourglass hanging over my head so I'll be fast here.)

Rookie

You may be right about the Fibs, but S&R makes for good confluence. "Naked" works well, too. All of this trading stuff is probability, so the more confluence seems to me to be helpful, IN MY OPINION.

 
matt lydon

rholcomb

Yes, but Keep in mind there's a VERY specific busness reason for Alveos existence,: the 2% per Trade & the 5% daily limiters.
This helps protect Shawn & Nates money. Remember Warren Buffets first rule of Trading & investing: Learn how to not lose money.
As you may be aware, prior to Alveo, we/Apiary used MT4 one of, if not THE, most widely used ( & SUPPORTED) FOREX trading platforms in the world. Don't expect Alveo to be all ( software/ analytical) things to all traders.

Rookie

You are EXACTLY correct. the Fibs, in & of themselves, are NOT of much use WITHOUT at least two other confluential ( did i just make up a new word for the FOREX trading glossary??) elements one (or two) of which are Support & Resistance. These are omnipresent REGARDLESS of PA direction, as are FIBs themselves. another is time & market memory RELATIVE to S/R

Barring any problems next trading week, I post some more specific examples of trades that I take where confluence criteria were met, along with the results.

 
burton

"there's a VERY specific busness reason for Alveos existence" ...exactly, which is what allows me to move beyond the shortcomings, and then gives me the freedom to focus on my trading.

 
triguylm1

Matt, sorry I have taken a while to reply to this thread, I'm working full time, but anyway, the EUR/NZD has been in a long term bullish trend. so price is most likely to continue to retrace to the top (Price A). Keep in mind April and May are typically pivot high prices of the year. While May through August the price will drop 400 pips on average.

The thing about trading the NZD pair is the formula for calculating the daily average price includes time between GDP (monthly data) the GDP number, export and import numbers for it's main commodities of Skim milk, Cheese, Milk Fat, and Butter Anhydrous. The New Zealand's top companies that comprise the NZX 50 index will gauge the economic health of the stock market and overall economy. So, in summary; as NZD stocks and bond prices rise, then the NZD increases in value of course. This puts bearish pressure on the EUR/NZD since the configuration for NZD as the numerator.

 
burton

lindsey, how do you know all of this great information? ...always get so much from your shares. thank you

 
triguylm1

The difficulty in getting on the right side of the market is the motivation to study each currency, and the cause and effects that move price one way or the other. Simply put, long term trends occur when economic conditions change. Sometimes due to recessions caused by unemployment increases in the monthly reports. Most likely Powell and others controlling interest rate decisions look at the GDP and labor numbers to measure economic strength and will increase rates to cool an overheating economy, for example.

Recently BoC decided to maintain the 1.75% interest rate. Fed's are maintaining the 2.5% interest rate as meeting May 1, next meeting June 18 & 19. Market sentiment may depend on how the stock market reacts to these tariff wars ongoing for months now. China is not backing down as much as Trump would like. Fortunately, this nation (USA) has been blessed with great economic conditions since the election, as technology sectors increase in value. Housing numbers are up and labor reports are bullish as well.

I think the DXY is heading toward 99.00 prices this summer. Still keep in mind the disclaimer statement that goes along with any call out.

 
Rookie

agreed! 90 and a little beyond, maybe breaking 100 would be a milestone!

 
matt lydon

to all,

A minor note to the above thread is that I do consider ( MHO) Supply & Demand to be sort of a SUPER set of Resistance & Support.
My point here is that when we see Support/Resistance VERY close together, price has reached an equilibrium.
That equilibrium is or can be, where the position traders, who constitue 80+% of the transactions of the utilitarian market, CAN add to, hedge OR exchange positions at reasonable transaction cost.
That, ( again MHO) is a signal prior to a directional move ( breakout , up OR down ) AFTER the consolidation.contraction, quiet accumulation or whatever you choose to call it.
Those moments will often "happen" at Fib numbers, INCLUDING extensions.
We need to very careful about describing Fibonacci numbers as " being a self fulfilling prophesy" as they are clearly NOT, as those of US who have been in a trade that "broke the A" AFTER we entered at a seemingly appropraie Fib #.
Just saying...

 
burton

"We need to very careful about describing Fibonacci numbers as " being a self fulfilling prophesy" as they are clearly NOT" ...i would argue that the same applies to all support/resistance levels.

- suggesting that all support/resistance levels are fragile, and can easily be broken by market makers, provided there is sufficient reason to do so...meaning, their need, and or want for liquidity.

i don't know that i agree with the hypothesis, that a market is ever at a state of equilibrium.

 
matt lydon

BURTON,
not sure what you mean about S/R. Among the many "old sayings" is " PAST RESISTANCE is FUTURE SUPPORT & Vice versa",
I always took to mean the market has " memory" at ( & of) particular price levels, BUT, there are NO absolutes about a given price. level relative to Price Action Dynamics. If that's what you mean by fragile, then you are absolutely & exactly correct.
Not sure if I agree with your suggestion as to the causative factor, but it doesn't matter, as Price moves regardless of retail trader opinions.
That reminds me of yet another "old saying" : :the market can remain illogical far longer than you can remain solvent"
My understanding is the utilitarian Forex Market is about 80% of that $5 trillion, and as it's name suggests, is not really speculative, per se.This,as opposed to our respective realm, the retail trading market, which is about 4 % of that $5 trillion, and is, of course, quite speculative.
I've taken the liberty to copy the following from Complete Currency traders web site:

Micro-mechanics of Price Movement
Market micro-mechanics refers to the interaction between customer demand and market maker supply. In this lesson you will learn how and why price is statistically more likely to move in one direction rather than the other, and how it can be predicted with 81% accuracy. Predictable pattern recognition is the key.

Elsewhere, same site, they mention liquidity, but it's always referring to the fact that Market makers ALWAYS have liquidity. They ( those top 15-20 organizations), literally have a sea of cash, at least in the $ 100s of Billions,perhaps more, so liquidity is never really an issue.
I'm reminded if a story of a rogue trader a number of years ago, who used his employers capital ( I believe it was Barclays) to trade in his own account. Long story short, by the time he was escorted out of the office under armed guard, the losses totaled in excess of $400 million, which Barclay paid. Again, the point here, we retail Forex traders, live & operate on a completely different plane of trading existence.

 
burton

matt, "we retail Forex traders, live & operate on a completely different plane of trading existence" ...exactly my point. a market maker does not care about support/resistance, except when it can be used to trap traders...the same also applies to moving averages and crosses.

such on chart indicators are easily manipulated by the market maker, when motivated to do so.

it is my perspective, a trader that ignores the market makers reality can easily be trapped. this is where the trader must have a plan to handle those times when s/r, or mva cross, does not act as planned.

i'm always going to share a perspective that says..."trader beware", if the majority are doing it, it will be used against them.

 
CirrusSageRL

@matt lydon

"My understanding is the utilitarian Forex Market is about 80% of that $5 trillion, and as it's name suggests, is not really speculative, per se."

Citi and Deutsche are literally playing with each other creating most the 5T/day liquidity with HFT probability models. I'm sure that transaction level is so institutional, even institutions can't get in it. So, yes I think it's very misleading when people say this is a 5T/day market and you can have some of it. You're right, retail traders exist in just a small speculative pool of that 5T/day liquidity.

And when you can swallow a $1.2 billion fine whenever you want to rig the price, that's not speculation or probability... that's crime. But clearly to banks like Citi crime is just an extremely small business expense.
https://www.cnbc.com/2019/05/16/eu-regulators-fine-five-banks-for-forex-...

 
CirrusSageRL

@burton

The last comment you made about market makers (I call them "B book brokers"), is exactly why I say in my profile brokers make the best traders.

 
burton

thanks for the article link

 
CirrusSageRL

Those crimes are worth 10 years prison each. But year after year you can see in the news they did it again, and again. Why? Because that's their business model. Those traders are told to do that at their job. That's why we keep seeing it in the news. You notice they never mention any particular employee that did it, just that so so company paid $1 billion fine.

 
FrankS

Having traded stocks, options and futures for many years, I now view Fib ratios merely as math factors for establishing ref points. It's not a magic potion. The same can be applied to Lucas numbers, for example. So, no matter how proven Fib ratios may be, you still have to choose what points you are establishing as the starting point. Is it based on a daily high/low or a weekly high/low or some other price level?

So, first things first: understand why that first point is important to you. All of us have methods to our technical analysis madness; so you will have to try and test your own. In some cases, many folks will agree with your choice while others won't. So, it's all about what works for you.

For Forex charts, I am aware of retracement levels and expansions, but they do not have to be Fib based. The legendary W.D. Gann used fractions and squares or doubling of numbers and price levels. Frankly, I have come to appreciate fixed levels of pips as a linear scale. Still, a ref point has to be chosen as a start. So, while Fib has a sound basis in mathematics, you still cannot get away from the starting point issue. The beauty of a fixed scale is that your choice of a ref point is less significant. And if you want to be expansive, then expand at a fixed rate set by the scale but count the expansion levels according to a Fib or Lucas number sequence so as to establish some priority to far-out extension levels.

 
burton

well said frank

 
Rookie

Frank, excellent post! my sentiment exactly.

You also wrote "appreciate fixed levels of pips as a linear scale" while I don't have your experience and math I do trade by the percentage of how many pips a pair moves on averagte per pair and time frame trading which Jeff Crystal has covered extensively.

Currently, Jeff is running a series of HV boxes and PA zones based on you don't have a crystal ball, what are you going to do,

 
matt lydon

To all
I had suggested last week, that barring circumstances, I would offer some charts & results & here we are.

First Chart is of 1hr GBPUSD @ 3:47 EDT monday 6-3

https://www.screencast.com/t/OvLGt3XxTnw

second chart is ALVEO, 1 M same time, same pair, same day

https://www.screencast.com/t/UzYDE2NJ4H

third chart is Smartrader 4hr ( 240m) , same same pair, time & day.
https://www.screencast.com/t/nrlosOgWx4

points to be made:
Clearly from chart 3, overall bias or direction of price is down

Chart 2 shows a "down Fibonacci" moving upwards through retracement levels

Chart 1 shows pair moving north ( counter trend)
Not easily seen are my three trade entries, one of which , at 4:07 (am), has been stopped out @ 1.26560 , 4 pips NORTH of 0.860 Fib level, & within 20 pips of "breaking" the A Fib reference starting point.@ 1.26701

would the group agree that IF Fibonaccis are a " self fulfilling prophesy" what did it prophesy & what did it fulfill?

by 4:16, I'm. in doubt about either of the other two trades ever being postive to a "salvage point" beyond B/E. Fortunately Both were closed manually at a slight profit ( 23 pips total) over the loss of the first, higher trade entry.

by noon time here's same 2nd chart

https://www.screencast.com/t/40k8UXapOq

the down trend continues. In fact, D extension is a potential 149 pip trade, which I've placed a Short stop order @ 1.26217.
Since my PT is 50 pips, I'll wait untill thios trade is triggered before I enter any additional short trades on this pair.

Again, in my opinion, this does NOT prove that Fibs are a " self fulfilling prophesy"
If I believed that, I would have entered a market order with a stop loss above the A, somewhere in the northern end of that 50 pip range, which is R2, 1.26701
Did what I portray here make sense relative to S/R & the potential relationship to Fibs?

 
matt lydon

As perhaps an important footnote to the above, something that I find is really quite Prophetic is Dr. Andrews Pitchfork. It's one of my
" confluential" elements.

https://www.screencast.com/t/NGvUj26mFk0

you may agree with this GBPUSD 4 hour char illustrating the continuing downward trend.
Of course, there are no absolutes, trends DO reverse & of course, change, but. there is a certain safety in the use of a limit order, in this case.

 
matt lydon

Just to add a dimension of clarity to the concept of market memory regarding Support & Resistance
the following screen shot provides a prior support from last December that SUGGESTS a POSSIBLE bounce AREA at some future point.

https://www.screencast.com/t/Um1h1vdrnz

here's the daily chart, same pair

https://www.screencast.com/t/U2CWl6De57

while I don't want to overstate the case, there's little doubt in my mind that the "market" has memory. This is opposed to random collection of auction system.

 
itjacksonsr

Another good idea. Have not put fibs on yet