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Of course it can be calculated. Depends on how far you want to look back
and then the difference between that moving forward.
Maybe it's different on different instruments. IDK...
I'm guessing his (Tiger) high probability statement is intuition based on tiger's experience
with the setup. Whether he has the actual probability with the setup is unknown
at this time (which of course is what you are wondering).
I coded up my interpretation and at first glance, it seems to have a very high probability ( Thanks @tigertrader ).
I would say, cut some simple code, backtest little, and see how it looks. The OP is not giving concrete rules ( nor should he ), the idea is enough as each person will implement it according to his/he style.
I wonder how one would go about testing, or more specifically what parameters one would be using to prove a high probability setup?
I mean 'anything' could be called a high-probability setup given the right trader trading it. So are we talking about the 'setup' itself, or whatever logic one applies to it in their own mind as making it a high-probability setup?
I think it ultimately would be up to the rules used.
There shouldn't be too much of a variance for experienced traders.
(assuming each trader had the same code)
Yeah, that's what I'm getting at. It would all depend on HOW it was deployed. Two different sets of rules by two different people will lead to a completely different expectancy.
Just one out of hundreds of variables needed could be...... how it works better in a range bound market relative to where those limits are.... well one has to define 'range bound.' Two different interpretations of that leads to two different expectancies. Along with entries, targets, trails, all in/out vs. scale, etc......
We can both assume it would work differently in a trending market vs a ranging market.
That expectancy of each is of course unknown at this time but I would guess that
a ranging market would have a higher expectancy.
What I'm also assuming is that two experienced traders would use very similar entry,
stop, and targets.
I agree, it would be cool to see concrete statistics for different traders
deploying the same setup. This, we may never know