Excel Probability Formula Help

[richardsbenson]

Hello

I have not posted on T2W for a very long time. an had for gotten how much info is in here.

I 'm in the proccess of designing an experimental system. and have become stuck what i'm looking for is an excel formula to help me work out weather a preset tp would be hit on a new day.

I am using forex for the trial it's early days so I will see what happens
the idea is i calculate how many points are from the open to the high and open to the low. then see what the probability of a TP or SL is of being hit is.


Below is an example
Open High Low High Diff Low Diff
2.7733 2.8132 2.7678 0.0399 0.0055 Long
2.7938 2.8111 2.7785 0.0173 0.0153 Long
2.8218 2.8545 2.7609 0.0327 0.0609 Short
2.8064 2.8378 2.7677 0.0314 0.0387 Short
2.8047 2.8249 2.7608 0.0202 0.0439 Short
2.7749 2.7854 2.7043 0.0105 0.0706 Short
2.7534 2.7557 2.7443 0.0023 0.0091 Short
2.7438 2.7706 2.7146 0.0268 0.0292 Short
2.7222 2.7581 2.7115 0.0359 0.0107 Long
2.7147 2.7362 2.6878 0.0215 0.0269 Short
2.7165 2.7362 2.6826 0.0197 0.0339 Short
2.7238 2.7578 2.7134 0.0340 0.0104 Long
2.7443 2.7711 2.7007 0.0268 0.0436 Short
2.7597 2.7678 2.6707 0.0081 0.0890 Short
2.6921 2.6991 2.6073 0.0070 0.0848 Short
2.6196 2.6311 2.5194 0.0115 0.1002 Short
2.5711 2.6177 2.5571 0.0466 0.0140 Long

 

[tripleogstar]

Use VBA to build the function

 

[richardsbenson]

I'm not sure that's really the issue. Distributions are unlikely to be symmetrical in the very short run. So if you're simply saying that if the TP level is twice as near as the S/L level then you're twice as lilkely to take your profit as to be stopped out then I think this is at best hugely over simplistic.

GJ

Attached is an excel sheet I have been working on if you firstly take a look at the MM Sheet and have a look at the formular's you should find thay I have tried to create and intergrated system starting with the system accuracy so depedent on how accurate the system is will depend on how much the TP is.

I tend to use the SL as a 15% global close all and use the 0.5% trailing stop.

Anyway have a look and let me know what you think, your ideas and alterations are more than welcome.

 

[Hotch]

Looked at the sheet. Still on the same lines GammaJammer was on though.

Am I right in saying that you have your range daily range, and your profit target and stop loss are both in said range, and you want to work out the probability of either being hit before the other?

Don't think you're going to be able to manage that