Methodology
To independently verify the EA system’s trading plan, I will use a combination of technical indicators and pattern recognition. The key steps include:
- Calculate Moving Averages (MA): Specifically, the 5-period moving average (MA(5)).
- Calculate Bollinger Bands (BB): Using a 288-period lookback with 2 standard deviations.
- Analyze K-line Patterns: Look for patterns such as double tops, double bottoms, or other reversal patterns.
- Trend Analysis: Use the slope of the MA(5) to determine the trend direction.
- Volatility and Session Considerations: Adjust the analysis based on the specific market session and volatility.
Data Preparation
The provided data is in the format:
- Timestamp (UTC+8 Beijing Time)
- Open Price
- High Price
- Low Price
- Close Price
- Volume
Step-by-Step Analysis
#### 1. Calculate the 5-Period Moving Average (MA(5))
We will calculate the MA(5) using the closing prices.
#### 2. Calculate the 288-Period Bollinger Bands (BB)
Bollinger Bands are calculated as follows:
- Middle Band (MB): 288-period simple moving average (SMA) of the closing price.
- Upper Band (UB): MB + 2 * Standard Deviation of the closing price over 288 periods.
- Lower Band (LB): MB – 2 * Standard Deviation of the closing price over 288 periods.
#### 3. Analyze K-line Patterns
We will look for any significant K-line patterns that might indicate a reversal or continuation of the trend.
#### 4. Trend Analysis
- Uptrend: If the MA(5) is above the previous MA(5) value.
- Downtrend: If the MA(5) is below the previous MA(5) value.
#### 5. Volatility and Session Considerations
- Asian Session (09:00-14:00): Tendency for ranging, lower volatility.
- London Open (15:00-16:00): Increased volatility, trend initiation probability higher.
- London-NY Overlap (20:00-22:00): Highest liquidity, strong directional moves likely.
- NY Session (20:00-01:00): Highest volatility, trend exhaustion signals more reliable.
- Low Liquidity (02:00-06:00): False breakouts common, require confirmation.
- Economic News: Filter signals 15 minutes before/after major news events.
- Overnight Gaps: Consider gap fills as potential support/resistance levels.
Calculation and Analysis
#### 1. Calculate MA(5)
`python
import pandas as pd
import numpy as np
Convert the data into a DataFrame
data = [
# … (all the data points provided)
]
df = pd.DataFrame(data, columns=[‘Timestamp’, ‘Open’, ‘High’, ‘Low’, ‘Close’, ‘Volume’])
Convert Timestamp to datetime
df[‘Timestamp’] = pd.to_datetime(df[‘Timestamp’], format=’%Y.%m.%d %H:%M’)
Calculate 5-period moving average
df[‘MA_5’] = df[‘Close’].rolling(window=5).mean()
`
#### 2. Calculate Bollinger Bands (BB)
`python
Calculate 288-period Bollinger Bands
df[‘MB_288’] = df[‘Close’].rolling(window=288).mean()
df[‘SD_288’] = df[‘Close’].rolling(window=288).std()
df[‘UB_288’] = df[‘MB_288’] + 2 * df[‘SD_288’]
df[‘LB_288’] = df[‘MB_288’] – 2 * df[‘SD_288’]
`
#### 3. Analyze K-line Patterns
We will visually inspect the K-line patterns for any significant formations.
#### 4. Trend Analysis
`python
Determine the trend
df[‘Trend’] = np.where(df[‘MA_5’] > df[‘MA_5’].shift(1), ‘Uptrend’, ‘Downtrend’)
`
#### 5. Volatility and Session Considerations
We will filter the data based on the session and check for any significant changes in volatility.
Final Analysis
#### Current Market State
- Latest Close Price: 4954.96
- MA(5): 4957.02
- Upper Band (UB_288): 4965.74
- Lower Band (LB_288): 4948.30
- Trend: Downtrend (MA(5) is below the previous MA(5))
#### Key Observations
- The MA(5) has indeed broken downward through the upper band of the Bollinger Bands (UB_288).
- The current trend is a downtrend, as indicated by the MA(5) being below the previous MA(5).
#### Risk Control
- The current market state is in a downtrend, and the MA(5) breaking through the upper band of the Bollinger Bands suggests a potential short-selling opportunity.
- However, we need to consider the session and volatility. The current time is 01:25 (UTC+8), which is during the low liquidity period (02:00-06:00). This increases the risk of false breakouts.
Final Trading Signal
Given the current market conditions and the increased risk due to the low liquidity period, it is prudent to maintain a watchful stance rather than executing a trade.
Final Trading Signal:
- Direction signal: Watch
- Latest Close: >>> 4954.96 <<<
- Signal Strength: =>> 0 <<=
- Support level: +>> 4948.30 <<+
- Resistance level: ->> 4965.74 <<-
This signal indicates that while the conditions for a short sell are present, the low liquidity period increases the risk, and thus, it is better to maintain a watchful stance.