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PTS-Markov Projection Indicators - Your new forecasting tool


Markov modeling is a statistical technique used to predict prices due to its ability to capture the probabilistic transitions of different market states.

By representing the market as a series of states and computing transitional probabilities, they can provide a dynamic view of how prices may evolve.

Markov projection in NinjaTrader8 Forex Markov projection in NinjaTrader8

One of the pioneers in applying quantitative models to investing is Jim Simons, the founder of Renaissance Technologies.

Simons and his team have successfully used complex mathematical models, including Markov chains, to predict market behavior with good results.

Renaissance Technologies' flagship Medallion fund was renowned for its exceptional performance, with reported annualized returns of over

 66% before fees from 1988 to 2018.

Simons' approach demonstrates the power of leveraging advanced statistical techniques to identify patterns and make investment decisions.

By employing Markov modeling, Simons and his team could navigate the intricacies of the market more effectively, leading to outperformance.


Become a member of PTS and gain access to get the Markov price reduction now. Sign up here.


 Member log in  here to find your PTS Member ID number if you forgot it.


Markov applied to chart Markov with the flames attached
 

The PTS-Markov comes with $49 add ons so you can pick your own patterns


~There is a master file "PTS-Markov1" which is required before adding the alternative extra components available~

 ~The master file is hard coded with logic derived from historical testing of Demand Index and other trend indicators~

~After installing the master file it is very simple, as any extra PTS-Markov add on can be purchased and selected by a check box to use it or not~

 ~The resulting projections are averaged out and projected 30 bars into the future on any markets that you plot it on~

~All the files are priced the same price at $49 and have lifetime licenses (for the duration of the platform you use it on)~

~The outputs are pumped into the master file which always gives a plot- the add ons give less signals as they are more rare~

~At least this above is the general idea but  customer feedback is important with this project, so email me your ideas if you like to~

Image below shows a spiders web of 16 Markov projections basis of Friday at 1340pm GMT which is 50 minutes pre-US open.

Notice the statistical projections show 12 out of the last 16 events went up from that time of day until the close.

Also note that one event was a big down move!


PTS Markov spiders web on MES Futures



This chart of Microsoft clearly shows Volatility expansion contraction cycles
 

PTS Markov spiders web on Microsoft


The ultimate plan is to attach the flames to the Markov projection plot

 
PTS Markov on Goldman Sachs stock
 
Below is a very basic study of Markov chains applied to day of week + time of day as long entries.

Making a time of day and day of week study on the NQ futures the optimal times of day and days of week

were as follows since Jan 1st 2022 to Dec 2024 when holding for 300 minutes. No stop loss or other exit method used.

This is a simple experiement to ascertain a time edge with day of week.




Day of week

Time relating US Opening Win rate Average win Average loss Total profit
Monday 120 mins after US open 60.16% $1578  -$1322 $59,658
Tuesday 100 mins after US open 58.62% $1621 -$1554 $44,520
Wednesday 8 Hrs 45 mins after US open 61.76% $745 -$552 $25,455
Thursday 14 hours 10 mins before US open 58.90% $718 -$656 $23,090
Friday 13 hours before US open 62.32% $577 -$506 $24,344
           

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Then another condition is added, close must be above a 30 period MA in the Markov chain. Before looking, consider it if will improve?

All trades are closed after 300 minutes have passed as before. Some big jumps in Tuesdays win rate and Thursday and Friday gains.


Day of week

Time relating US Opening Win rate Average win Average loss Total profit
Monday 1 hour 50 mins after US open 63.16% $1490  -$1157 $44,275
Tuesday 1 hour 10 mins after US open 71.82% $1532 -$1591 $46,330
Wednesday 2 Hrs 30 mins after US open 60.76% $1944 -$1615 $41,665
Thursday 2 hours 30 mins before US open 56.67% $2374 -$1769 $50,690
Friday 1 hours after US open 66.67% $1934 -$2133 $43,345
           




 


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~ About ~

Precision Trading Systems was founded in 2006 providing high quality indicators and trading systems for a wide range of markets and levels of experience.

Supporting NinjaTrader, Tradestation. MultiCharts, TradingView, MetaTrader 4 and MetaTrader 5

 

 

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Page created on October 12th  2024   -  New responsive page GA4 added canonical this. 5/5 html sm links added - retrievable osenrx files