Thank you for this mini series, super interesting! I have to strongly disagree here regarding the (IMHO alleged) difference between noise and volatility, though. And I tend to think the ATR has been misunderstood. The ATR measures the True Range of each candle - i. e. the range of price fluctuation within each candle, not within the lookback period as a whole - and then calculates an average of those candle specific price ranges across the lookback period. Hypothetical case for a lookback period of 10 days: All of the 10 candles contained in this period be absolutely identical, only be alternatingly a red/a green candle. As a result the closing price on day #1 of the lookback period will be exactly the same as on day #10 of the lookback period. Effectively, the price has not changed across the lookback period, but had fluctuations.This is exactly what is being described as noise in this video. The swings within each candle on a 1m timeframe might be so big that they show up in the form of tradable trends, but from outside the price moves sideways. IMHO, there is no difference between noise and volatility. There is no line in the sand separating the two, it is a matter of perception, how closely someone zooms in and discretionary definition. The Std Dev is different, though, because it actually measures the price moves around the arithmetic average. It is worth mentioning that the lookback period itself has a significant impact on the applicability of any indicator (research Nyquist frequency on Google for more info).
You make interesting points, and often it is about how the individual interprets the message of indicators that matters most. Of course in trading there is not actually a right and a wrong. It is all about how information is applied. Thank you for your comments and hopefully other viewers will benefit from your insights. Martyn
As a discretionary trader, I was looking for some materials that would help me improve my knowledge regarding systematic trading. The whole series is very valuable. TY.
Nice. I learned from this short video more than hours of channels with millions of viewers.
Thank you for this mini series, super interesting!
I have to strongly disagree here regarding the (IMHO alleged) difference between noise and volatility, though. And I tend to think the ATR has been misunderstood.
The ATR measures the True Range of each candle - i. e. the range of price fluctuation within each candle, not within the lookback period as a whole - and then calculates an average of those candle specific price ranges across the lookback period.
Hypothetical case for a lookback period of 10 days:
All of the 10 candles contained in this period be absolutely identical, only be alternatingly a red/a green candle. As a result the closing price on day #1 of the lookback period will be exactly the same as on day #10 of the lookback period. Effectively, the price has not changed across the lookback period, but had fluctuations.This is exactly what is being described as noise in this video. The swings within each candle on a 1m timeframe might be so big that they show up in the form of tradable trends, but from outside the price moves sideways.
IMHO, there is no difference between noise and volatility. There is no line in the sand separating the two, it is a matter of perception, how closely someone zooms in and discretionary definition.
The Std Dev is different, though, because it actually measures the price moves around the arithmetic average.
It is worth mentioning that the lookback period itself has a significant impact on the applicability of any indicator (research Nyquist frequency on Google for more info).
You make interesting points, and often it is about how the individual interprets the message of indicators that matters most. Of course in trading there is not actually a right and a wrong. It is all about how information is applied. Thank you for your comments and hopefully other viewers will benefit from your insights. Martyn
As a discretionary trader, I was looking for some materials that would help me improve my knowledge regarding systematic trading. The whole series is very valuable. TY.
Thank you for the great video series. It feels good to have quantifiable evidence that facilitates simplifying and objectifying edges.
Keep em coming Martyn... appreciate your work
A great episode as usual 😃
Waiting for next episode
Awesome!
Good man yourself.