Discussion of article "A scientific approach to the development of trading algorithms" - page 9

[Maxim Romanov]

Forester #:

Thought about the reasons. At blocks of 200-300pts we see the strongest differences from the SB after 10-15 blocks, i.e. after 2000-4000 pts. of movement in one direction. Such price shifts are most likely formed by news. The price shifts and already fluctuates at another level.
If we cut out news movements/blocks (or just blocks from 13 to 20 in Moscow, when the main news is released) from those 100000 examples, then most likely the probabilities of outcomes of 40 blocks will become more similar to the SB.

Bottom line: one of the main differences from the SB is the influence of news.

That's not the point. I've found the market has a natural asymmetry. In any market. The probability of going 10% up is higher than the probability of going 10% down. And that probability is the same for all markets. The larger the size of the moves, the greater the deviation of the probability from 0.5. For movements of 0.1%, it's almost 0.5. For a 20% move, it's about 0.55. I don't remember the exact numbers, but I tabulated them.

So if the price went 20% up, with probability 0.55 it will go another 20% up and only with probability 0.45 it will go the same amount down.

Why is it hard to make money in forex? All trading goes in ranges of 0.5% very low volatility market, you can't see asymmetry. Why is crypto easy? It's a very volatile market, it's easy to go over 10%. At the same time, it is more difficult to earn money on a fund than on crypto, but easier than on forex.

Since it is a market, the rule works globally and for some benchmark assets does not work. But it works on average.

And second. Even if the probability of trend continuation is 0.5, the market switches between two states, unlike the SB. 0,8-0,2. And the more developed the market is, the less clear switching is. But the period is floating and accordingly the threshold probabilities are floating.

[Forester]

Maxim Romanov #:
Не в этом суть. Я нашел у рынка природную ассиметрию. У любого рынка.

Yes, either in the discussion or you wrote in the article - the reason for this is printing money. And the rich get more of it, and where do they put it? Invest. That's why crypto stocks are going up on average.

Maxim Romanov #:

Why is it hard to make money on Forex? All trading goes in ranges of 0.5% very low-volatility market, asymmetry is not visible.

If you print quid, you have to print more euros to keep the balance. Key rates, etc.
Central banks of the issuers of major currencies do not let them rise or fall, 2 times in a year. There is no or very little displacement, and the difference from the SB, apparently, only in price shifts on news and other events. In other moments it seems to be very similar to the SB.