Fractal analysis of the markets by max dmitrievsky

Fractal market analysis Guide to use FAM Generator LLC «FAM Group»

FAM Group ÂŤFractal Market AnalysisÂť

Table of contents What is fractal analysis of the markets? ........................................................................................................................................................................ 3 FAM Group Generator. Mathematical modeling of the dynamics of prices.................................................................................................... 4 Getting the forecast in FAM Generator. ......................................................................................................................................................................... 8 Repository forecasts. ...........................................................................................................................................................................................................11 Interpreting the predictions of the program. ............................................................................................................................................................13

FAM Group ÂŤFractal Market AnalysisÂť

What is fractal analysis of the markets? Fractal analysis of the forex market (FOREX), stocks, futures, metals - a new trend prediction markets, building on the most advanced of the existing at the time, the mathematical model. In contrast to classical technical analysis, fractal market analysis FOREX, NYSE, FORTS is a scientifically valid method of predicting prices, and thus does not exclude the postulate "the price includes all." Therefore, fractal analysis of markets often results in a graphical forecasts, which puts it on par with the technical analysis of markets (Charting), and use all the tools of technical analysis in conjunction with a fractal. Our research in the field of classical technical analysis showed that the community of traders there are no uniform standards. There are many different techniques of forecasting, radically different from each other. Moreover, if we ask the two traders to analyze any market using the same tools of technical analysis, we find a difference in interpretation of results. This phenomenon is due to imperfection of all the techniques of technical analysis (if it were not so, there would be a single, globally available technology forecasting, giving unambiguous results.) Here comes into force the human factor when the two traders, because of their experience and external circumstances, may give different estimates of the same market conditions. Agree that this should not be. We want to have confidence in the reliability prediction, and to find confirmation of their findings in the pages of analytical resources and communities of traders. Fractal Market Analysis deprived of these shortcomings, because based on the clear laws of price formation, thus there is always one point of view of the schedule, which has a mathematical basis. On the other hand, the process of market analysis is partially automated, which eliminates the occurrence of errors in the forecast due to human error. The birth of fractal market analysis was preceded by a search for the golden mean. Traders needed a versatile method of technical analysis of markets, which would explain the very essence of pricing, as well as combined all kinds of technical analysis, revealing their meaning.

FAM Group ÂŤFractal Market AnalysisÂť

FAM Group Generator. Mathematical modeling of the dynamics of prices. Pursuing research in the field of fractal market analysis, we were able to issue "multifractal model of asset returns" in the form of software that has no analogues in the world. Our software (hereinafter - FAM Generator) allows you to generate a realistic market model, starting from the axioms of a fractal time and fractal structure. FAM Generator uses an effective mathematical apparatus for determining the market structure, which is the "know how" LLC "Pham Group" that is protected by copyright. FAM Generator, due to the progressive mathematical algorithms that can simulate the multifractal structures of high complexity, thereby reproducing the real-world market fluctuations. We do not go in the wake of the market, while they themselves generate a price quote! If we can reproduce market volatility, then make a valid prediction for the required period of time - a matter of technique and experience. Each of the generated models (structures) has its own unique characteristics, and the variety of models is large. From this it follows that the attempt to find the fractal market models manually is very time consuming, and often almost impossible task. Artificial intelligence is much better to solve the problem of determining the market model (structure). Of course, no system on the market does not work with 100% accuracy, but, nevertheless, aware of the principles of self-organization of the market, you can greatly increase their advantage over other traders.

What is a software package FAM Generator. First of all, it is a tool to find fractal structures in the market. It consists of client-side, which is the main module to find fractal structures and the preparation of the actual forecasts. The top window displays the downloaded data you are interested in the instrument. The bottom window shows the plot of the fractal function, which finds a match with the actual schedule, after performing the calculations.

FAM Group «Fractal Market Analysis»

Module «Automatically search» - a basic "laboratory" trader and analyst in which the calculations are carried out. This module allows you to search for fractal structures automatically based on user-defined settings.

FAM Group «Fractal Market Analysis»

For the most part, the program is equipped with an intuitive interface that lets you easily download quotes from FAM server via the button «On-line quotes». Basic settings made in the left panel the calculations, so constantly in the field of view. The program is integrated add-on «Package search», allows you to perform batch processing of data (the analysis of several selected instruments). To do this, there is a convenient pop-up panel (the right of the main window), in which you can choose the right tools for the analysis and time-frames, as well as create their own templates are stored. The analysis of multi-search are displayed in a separate window (pictured center) in a list of analyzed instruments, with the mapping accuracy of coincidence Structure and OI. By the results of a batch search, you can apply a filter on the two parameters, the resulting predictions can filter out low-interest coincide. Let us now consider the basic settings that will be needed in the process of market analysis. You will be pleasantly surprised to know that unlike other programs, market analysis, FAM Generator has a minimal number of settings. The range of parameters «Structure of chart» sets the search range of the fractal structure of the graph. It can be argued that the wider the range of values (note that all fractal structures are constructed in the range from one to two), the higher the probability that the generator will find the most appropriate structure. However, it is understood that an increase in the range of parameters increases the amount of calculations and consequently the speed of analysis is reduced. But do not worry about it. Empirically it was calculated that the most common structure of the market range from 1.3 to 1.9. We recommend that you put these are the parameters. Of course, you will be able to experiment and to specify a different range of values, and it would be most appropriate for you. «Volatility of chart» is the second major adjustment, giving the analysis of the volatility of the selected tool, and also varies in the range from one to two. Our studies have shown that one should not ask too perfect for this setting, it is sufficient to interval from 1.4 to 1.6. Naturally, this does not prohibit you put more value, but until you've got the experience - we do not recommend this. It should be remembered that these settings act as a module to automatically search for, and the Multiple, as well as hand searching for bodies. Working with the various modules of the program will be discussed further. Once the chosen configuration of the structure and volatility, it is necessary to determine the part of the graph, which will be analyzed. You can limit the history of the site, for example, 100 bars, or increase it to 500. But you never know at what interval it is a fractal structure, the most suitable for a particular market situation. In other words, select the desired area on the eye chart for analysis a task complicated arch and totally hopeless. For us, this will make the program, and we, again, define it only for the range of values.

FAM Group «Fractal Market Analysis»

The parameter «Min int» defines the minimum part of the graph (in bars), which will be analyzed. For example, we decided to get into the generator hourly data and want to get a forecast for the next 100 hours. It is understood that for such a long-term prospects (almost a week) should be enough information, at least 100 bars of history. Agree, it would be foolish to meteorological forecast for the week, guided only by meteorological data, accumulated over time. We need enough information so that the minimum interval for analysis should be nothing less than the forecast horizon, we want to have. By default, the minimum interval for the analysis of 100 bars of history, but you can change it, depending on the situation. The parameter «Max int» sets, as you have already guessed, an upper threshold for analysis. That is part of history, on which the analysis carried out will be gone. By default, the maximum interval is 500 bars of history. «Forecast's depth». This option has already been mentioned in passing, and is directly responsible for the output forecast on the chart for its length. We do not recommend giving the program an additional problem of determining the forecasts are too long, low timeframe, and propose to use different time frames for analysis, in conjunction with a depth of 100-150 bars forecast history. Do not forget that the parameter "depth forecast" should not significantly exceed the parameter "minimum interval". Setting «Step size» (step length) specifies the number of bars, through which the program will recalculate the entire structure of the graph. For example, the minimum interval is 50 bars, and the maximum 80. The parameter step length is 10. This means that the analysis will be conducted initially at 50 bars, then at 60, 70, 80, that is, every 10 bars. By default, the step size is 10, but you can vary it, realizing the principle of action. The smaller the step size - the higher the quality of the final forecast, increasing the step size increases the speed of calculations, but the quality may suffer, as will be analyzed in less than fractal structures. Setting «Lengh of OI» This is the last one, which is a fine tool for management calculations. "Site Optimization" is a separate section of the schedule, located at the end of the sample interval. He is responsible for a more detailed analysis of recent data, since they are most important for traders. Given the recent changes in the market, and giving them appropriate weights, we greatly enhance the accuracy of forecasts. Recommended parameters UO 30 to 50, but later you will learn on their own they vary. Now that you're familiar with the basic settings of the program, you will agree that very few of them and they are easy to understand. Let's say more than once exposed the necessary parameters, someone will stop and they will not change anything. For example, pre-generator parameters are perfectly balanced, and we can work with them. At the same time, no one stops to experiment with the settings and display its formula effective search of fractal structures, and how do we explain further.

FAM Group «Fractal Market Analysis»

Getting the forecast in FAM Generator. As mentioned above, the main module for the analysis of the market is «Automatically search». This module allows to analyze the market, relying on the AI (artificial intelligence) program FAM Generator. Fortunately, you can always double-check the results of the automatic search, using the built-in tool matching structures, but we'll discuss a little later.

Check the box «Automatically search» before the automatic analysis. Select from the options available in this module, designed in the form of checkboxes appear. - Search for ascending and descending (Search for ascending and descending patterns). This option is enabled by default, and means an automatic search immediately for ascending and descending fractal structures. We recommend using this option. In fact, if you remove the check mark from the option for you to display two additional: - Search only rising (ascending Only search patterns), Search only downstream (search only the top-down structures). These options are intended for more experienced users, and are used relatively infrequently.

Also, you can disable the AI of the generator, and try to find a fractal structure on the market at a certain section of the schedule for this uncheck «Automatically search». As a result, remain options Search only rising, Search only downstream, and disappear field Max int, Step size and Length of OI. Now the generator is transferred to manual search, and you can ask the analyzed interval and move it on the schedule with the slider below.

FAM Group «Fractal Market Analysis»

Once you are done with the settings of the search, select one or a group of tools that you intend to analyze. If you are interested in some kind of a tool and a specific time frame, you can use outlook express, open the desired financial instrument (and time-frame) through a form of "online quotes" and then click «Get forecast».

In that case, if you want an in-depth analysis of various financial instruments, with different time-frames, you can call the function «Package Search». After clicking on this button, opens a panel with more advanced settings. Here you can choose from a list of the

FAM Group ÂŤFractal Market AnalysisÂť

tools, put a checkmark in the right tools, and select the required time frames for each individual instrument. If you want to create a template for the analysis to include all the necessary tools, below you have the option Current Profile, which allows you to create and edit your templates for analysis.

FAM Group ÂŤFractal Market AnalysisÂť

After you select the right tools and store them in a template (optional), press the Start button on that same panel, thereby starting the process of Multiple. Depending on the selected tools and search parameters, the analysis process can take anywhere from five minutes to several hours (with a large number of selected instruments), and therefore should be Multiple advance, for example, an hour before the opening of markets, or the beginning of your trading activity (if you analyze the more than a dozen instruments at the same time, several time-frames for each). Upon completion of the search, the screen will show a table of results, shown in the picture above, in the center. In allocating the necessary lines on the graph show the results of calculations (forecast). The result is determined by the percentage (correlation) found a pattern to the actual graphics quotes and signed as a Structure,%. Also, the table shows the result of OI (site optimization), expressed as a percentage. These parameters will be discussed further here, we should remember that the higher the percentage of overlap in the areas of Structure and OI, the more reliable prediction we have. Bottom table is a filter through which you can set a minimum threshold to output the results in this case it is equal to 70%, so the table is not removed all the search results (some do not meet the filter criteria). We recommend that you consider only those projections which have a ratio of at least 80 to 80%, but in some cases, these parameters can be neglected.

Repository forecasts. The results of the calculations contained in the repository forecasts, delivered in a separate tab of the program. You can always turn to the historical data of interest to you, so it is not necessary to memorize a lot of predictions. Repository has a handy filter according to date of the forecast, the financial instrument, the time-frame, as well as the interest of the structure and OI. The figure below shows the output of historical data from 10 to 29 January, the currency pair EURUSD, H1 time frame. On the right you can see a list of all the forecasts of selected criteria. It is clear that the percentage of the filter structure and OI is zero, so all bets are withdrawn completely. In the background displays the graph corresponding to the selected row in the table. Thus, you can switch between the predictions, compare schedules and perform other market research.

FAM Group ÂŤFractal Market AnalysisÂť

Go directly to the interpretation of results, and consider the questions most frequently by our customers.

FAM Group ÂŤFractal Market AnalysisÂť

Interpreting the predictions of the program. There is only the most reliable way to determine the structure of the market - the definition of the behavioral patterns of market participants in a given time frame. You should clearly be aware of exactly what phase the market is, what conditions have led to subsequent fluctuations in the price. Through our program, you must learn to see the repetitive patterns of the market, as well as weed out the correct predictions of the infidels. Consider an example that illustrates the high forecast, which should be targeted.

FAM Group «Fractal Market Analysis»

This 30-minute chart of the currency pair EURGBP after treatment schedule in the generator. The red color of the lot on which the program has found a pattern and compared it with the pattern on the bottom graph. Correlation (Accuracy) was 77%, whereas the correlation between the area vivo (site optimization) is 75%. Quite a good result, which is worth paying attention. After this, we draw attention to the fluctuations in these patterns and their overall structure. Try to find similarities and differences between the upper and lower graphs. Ask yourself some questions:     

To what extent these patterns are consistent with each other? In which phase of the market belongs to this pattern (momentum, trend, flat, correction)? How to behave diagram to the red area, continue to look like a graphic where the red area is already over? As a wave relate to each other, do not you think weather is too fantastic? What is the market solution can be taken on the basis of this prediction?

Here is an example of how I responded to your questions: 

   

The patterns have a certain amount of similarity, they are parallel, and can trace the alternation of smaller vibrations, which are also similar. The only difference I can see - this difference of fractal dimensions of graphs. It can be argued that the real plot the amplitude of oscillation is wider volatility higher. (Read about the fractal dimension in the "fractal dimension"). I attribute this pattern to the rising momentum, but because of its internal structure is very flat, it may be noted that this rising wedge, and to limit its trend lines. To figure the red plot behaved in a similar way, schedules continue to be similar, the correlation remains. The ratio of wave propagation in the structure of the proportional, there are three ascending wave. Weather seems quite plausible. Based on this prediction I can make some decisions: Do not open short positions (sell) or to be out of the market. Calculate the next price levels for prospective orders and purchase the asset. Purchase must be performed throughout the structure, that is, I'm not going to risk and trade in small movements, and wait for the completion of the forecast, or close a position halfway to the goal, if I feel that the market began to change.

FAM Group ÂŤFractal Market AnalysisÂť

We give the following example to illustrate the dubious quality of the found structure (pattern).

This 30-minute chart of currency pair AUDUSD. Pay attention to the accuracy of matching the structure results in the (red) section of the schedule, it was 96%. Not bad, but the section "UO" match accuracy is low, at only 38%. Forecasts with a low VO easy to filter out and remove them altogether, but once we caught the eye of this schedule, you should disassemble it to end.

FAM Group «Fractal Market Analysis»

We take all the same a few questions and try to answer them:     

The results (red) plot patterns coincide with sufficient accuracy, if determined visually. But on the UO site we see a significant deviation, which is embarrassing. This pattern is reminiscent of the final wave of growth, as evidenced by correcting decline (forecast). Prior to the red area graphs behave quite differently, as can be seen on a real schedule upward cycle, and the bottom graph is constantly falling, by itself, plus red area quite short, what would it be to be judged on the phase of the market in full. Found pattern and prognosis correlate well, do not feel any strong biases, but the preceding paragraph is very confusing. I will not open a transaction on an existing forecast, because it is not sufficiently objective and needs to be checked again.

Once you have made a conclusion about the prognosis is poor, there are several scenarios for your further action: 1. Skip to forecast and to find a more successful results for the other instruments. 2. Calculate the results using other parameters vivo (for example, to change from 30 to 50 and start the search again.) 3. Recheck the forecast for other time periods (See projections for older and younger interval, and then compare the results.) In this example, we do not restrict ourselves to go further, and, having considered the forecasts for the execution of the story. For this we turn to the section on the site http://famgroup.ru/ analysts and discuss some interesting examples. The following forecast was made January 23, 2012, you can verify this by following the link http://famgroup.ru/analytics/176. Analysis were subjected to 15-minute quotation currency pair EURUSD.

FAM Group «Fractal Market Analysis»

Let us turn to the past and try to answer five questions, imagining that the subsequent movement of the market has not happened yet: 

  



Are the patterns fit together? The patterns on the upper and lower graphs in red, have a high degree of similarity. This is evidenced by the percentage of overlap with the structure (94.95%), as well as a visual approximation suggests a high degree of "similarity" of these sites. In which phase of the market belongs to this pattern (momentum, trend, flat, correction)? Undoubtedly, the pattern can be classified as pulses. This is evidenced by a clear upward vector formation of fractal structures. How to behave diagram to the red area, continue to look like a graphic where the red area is already over? Prior to the red area charts behave similarly. Can clearly be seen from the downward turning point in the ascending structure. As a wave relate to each other, do not you think weather is too fantastic? The ratio of waves in the structure is proportional to, you can visually distinguish 5-wave impulse (taking into account the forecast). Weather is seen as an objective in terms of fundamental factors, as well as in terms of elementary technical analysis - it is possible to identify support and resistance zones. Based on this projection can be taken as an effective market solution with an excellent risk to reward ratio and a high probability of further growth of the market.

FAM Group «Fractal Market Analysis»

FAM Group ÂŤFractal Market AnalysisÂť

Check how the market has changed since our forecast horizon, with 150 15-minute closing prices:

That good definition of high-quality prediction was confirmed by the movement of the market is almost 1 to 1.

FAM Group ÂŤFractal Market AnalysisÂť

Lets go a little deeper into the history and analyze the forecast, which preceded the one just considered. This example is taken from the section, and analysts located at the link http://famgroup.ru/analytics/173, so all the examples discussed in this handbook are confirmed in practice and based on real events. Date of the forecast 17 January 2012, a time-frame for 15 minutes. The graph clearly shows that the forecast was preceded by an increase, as discussed above.

FAM Group «Fractal Market Analysis»

We continue to answer the same questions (I hope you have them memorized):     

The patterns on the upper and lower graphs in red, correlate well both visually and in percentage terms (95%). This is a reversal pattern and resembles an inverted hy (head and shoulders), with subsequent upward momentum. Prior to the red area, the chart is weakly correlated, although the directions are the same. The ratio of the waves is quite plausible, it is possible to limit the peaks and the trend lines to identify additional patterns. This is a buy signal with an excellent risk to reward ratio.

Thus, you can easily distinguish the wheat from the chaff. Do not worry if not all of them will turn out. It takes time to understand and interpretation of the forecasts. There are periods during which the program will issue a forecast of poor quality. Always refer to the percentage of correlation structures and SI and be sure to compare visually. Look for confirmation in the other time intervals, improvise, and must register on our website and write in blogs (http://famgroup.ru/home) all of your thoughts. Project participants must respond and help you to understand.

We wish you every success in the development of programs and good luck in trading! Always happy to answer your questions by e-mail support@famgroup.ru