# Tag Info

2

In the Ljung-Box test, the null hypothesis is: $H_0$: The data are independently distributed So, your p-values of 0 indeed indicate that you should reject the null hypothesis, but it means that your data is not independently distributed, and in particular that there is some significant autocorrelation in the process. This is obviously the case, because ...

2

The answer can be found here under 1.3) Random Walk Hitting Probabilities (when events have equal probability of $\frac{1}{2}$ each). $$p(a) = \frac{b}{a+b}$$ $p(a)$ would be the probability of take-profit hit first. To look at probability of stop-loss being hit first, just take 1 minus the above, resulting with $a$ on the top ...

1

There are several reasons: Expected payoff = 0 I don't know why you selected 0.5 ATR and 2 ATR away from the market but let's go with it for a while. This means that you want to gain 2x while risking only 0.5x. For now let's assume that FX log-returns are normal. To bring it to a higher level, we can use a piece of Black Scholes formula, namely the ...

Only top voted, non community-wiki answers of a minimum length are eligible