do anyone know this concept of mean shifting.

can this concept be used in doing band trading of standard deviation (or say bollinger band).

if market is in sideways phase than buy at lower band and sell at higher band can be done... but when directional move will come then we will get trapped. to avoid this situation what all indications can be used?

one which i have heard is mean shift concept. can anyone share something on this. or give some new ideas to avoid the losses when directional move comes.

I will try a stab on this query, if I have understood fully or not is you can clarify.

Any calculation of mean has to be done on N days. N will vary for each different participant. So, Mean is a changing value too since with each new trading day's data the earliest day in the mean value is dropped. Similarly extrema calculations whether using Bolling Bands or plain vanilla Standard Deviations bands are also adapting by adding the latest price data and dropping the earliest one.

Problem truly then is that each person is using a fixed N and in life and thus in markets N is not fixed. The ideal value of N is not constant and can and does vary.

What you are talking of Mean Shift is different. The mean is always shifting in the bollinger system or any other. Only in a theoretical model where the price series is de-trended that stationarity of mean is achieved. In real markets, not as in models, mean is rarely stationery. That is where risk originates from. If the pursuit for trying to make any returns without undertaking any risk could have a fruit then the person able to achieve such a thought, model or method would clean out everyone else in the markets and wealth in only one hand will make wealth also futile. There is no holy grail, ever. Risk is the origin of rewards. So focus on seeking methods and systems where you are handling only the types of risks you are comfortable with and only the amounts of risk that are justified by your capital and your psychological tolerance for that amount of risk. Bina mare swarg kisi ko nahi mila!

thnks for the reply sir...

i mean to say that when we trading in a band then mean is almost same or we can say that it will not vary with huge value.

now when the directional move comes mean will change. can this be predicted that how much that mean will shift and after that for some time again mean will not vary much.

i was reading an article on mean shift..

"It
is shown that mean shift is a mode-seeking process on a surface
constructed with a “shadow” kernel. For Gaussian kernels, mean
shift is a gradient mapping. Convergence is studied for mean shift
iterations. Cluster analysis is treated as a deterministic problem
of finding a fixed point of mean shift that characterizes the data"

what i can conclude from above lines is that
if we can find out a point from where mean shift can happen then we can predict the directional move the market...

m i right on this?

One can use howsoever complicated or howsoever improvised methods of predicting shifts in mean. Yet they are all in the nature of predicting only. All forecasting is, in general, an effort to predict expected change and then you can of course vary that to predict change in expected value / price. Expected value / price is a mean only. No forecasting method exists without taking some type of risk. So in trying predict when a market will shift from being a trading market to a trending market you are still taking some other type of risk. Enough standard Technical Methods exist for these kind of studies. You can seek the more numeratively exhaustive methods too. Have you checked out Welles Wilder's works....

i totally agree with u sir about the risk factor
but i think that if we donot innovate on new things then we cannot make an edge for ourself. Indicators which are well known to public generally donot generate good signals. i.e why i was thinking on different lines.
can you tell some other indicators which can be used other than DMI indicator for predicting directional move while playing on standard deviation bands so that we can reduce our chances of getting trapped when directional move comes.