Jurik CFB

The Jurik Composite Fractal Behaviour or CFB measure the trend strengh using a combination of duration and fractal structure.

It can be computed using 24-48-96 or 192 periods of past data.

I compare here the usd/gbp future traded at the CME.

In the first image we have the cfb computed with 192 periods, the data it is then standardized, the indicator it is in the middle pane of the chart. When the CFB it is over 2 standard deviation (horizontal red line) and the Jurik Vel Oscillator (standardized) it is above 2 standard deviation and reverse its direction a signal is then generated.

Here instead we have the same indicator using 24 periods, it is clearly visible that with a shorter data used to compute the indicator the second top is missing.

Euro FX and PCA

This is an example of a reconstructed time serie, in this case the EURO FX future at 180 min sampling time interval, with only 2 extracted component we can identify buy and sell points pretty well.

Lower we have another example of pca reconstruction using just the first component, in this case represent the trend of the serie, confidence levels are included.

10 Pips strategy with three line break

I developed a simple strategy to trade the Euro FX during moments of relative low volatility.

At the first signal you enter using as a stop loss the top of the box (or the bottom in the case of a long trade) your target is small 10 pips, because most of the time the euro come back stopping you due to low volatility. There isn't enough volatility for longer moves, so is better to close the trade at the first ten pips of profit.

Update:

Three Line Break

Three line break charts usually help traders more accurately determine the current direction of the trend and alert them sooner when the trend has changed than do other methods (stochastics, moving average crossovers, etc).

Three line break charts display a series of vertical boxes that are based on the closing prices. Every time there is a higher close a new white bar is created. When the price closes below the low of 3 green boxes the trend shifts to down and we start drawing black boxes. Every new closing low draws a new black box and so on. Three point break charts often can help a trader spot trend reversals quickly. There are many uses for 3 line break charts, you can use them for entries, exits, and make wonderful places to trail your stops to catch the majority of the move.

An example trade, my long with the Euro FX Cme Future

Entry point at 1.3692, first white box, i managed to close before FED meeting at 1.3756

This chart was made in Amibroker, using tick visualization, every 16 base ticks one bar is drawn or every 16 base pip, it is a way to compact the chart and eliminate small congestion areas.

GBP-USD and digital filtering PART 2

After 40 days i post an update to see what happened, the stlm gave 2 signals, one long and one short very profitable that is still valid.

GBP-USD and digital filtering

A nice example of digital filtering using STLA and STLM

STLA stands for Slow Adaptive Trend Line and STLM for Slow Trend Line Momentum show the tempo of change (fall or growth) of SATL.

Euro Fx, 5m chart, Today