Machine learning in trading: theory, models, practice and algo-trading - page 2295

 
Maxim Dmitrievsky:

That's not the deviation.

My current goal is to determine trend/flatness using correlation, for cycles I will use Fourier.

 
Rorschach:

These tests are not full-fledged, I saw an article that the test for randomness could pass the music.

It is necessary to look at the specifics - what kind of music (to whom and white noise - music), whether it was compressed, what tests were conducted (there are dozens of them and you need to pass them all).

 
Aleksey Nikolayev:

It is necessary to look at the specifics - what kind of music (to whom and white noise - music), whether it was compressed, what tests were conducted (there are dozens of them and need to pass all).

I think rap with a lowered bitrate, I couldn't find the link.

 
Maxim Dmitrievsky:

For some reason everyone is used to calling martin the averaging of positions, mostly not meaningful or over-optimized

you can leave the lot fixed, but still use a grid. Trade sets (entry and exit points) will change, so will their representation in the feature space for MO. This is exactly the interesting point.

If the stability effect will appear on new data - I don't know. I do not have such a mathematical formula. Check it empirically.

If you mean to correctly calculate the grid, that it will be profitable, and the rules for adding orders. There is something in it). And depending on the nearest row, the pattern of the grid should change, and we should teach to place limit orders correctly.

This is a large learning curve.

 
Valeriy Yastremskiy:

Well, if you mean to correctly calculate the grid so that it will be profitable and the rules for adding orders. There is something in it). And depending on the nearest row, I can change the pattern of the grid, and teach to place limit orders correctly.

Such a great deal of training.

Since the level of participants in the theme has increased on average (all learned to teach neural networks), then I propose to take popular strategies and attach to them the MO. Including martin and TC from Market.

So, someone fell out.

I do not know how to use it, but I will try to find a good market for it.

I believe that this subject may bring up mature TS

 
Maxim Dmitrievsky:

Since the level of thread participants has increased on average (everyone has learned how to train neural networks), I propose to take popular strategies and attach MO to them. Including the martin and TC from Market.

So, someone fell out.

I do not know how to use it, but I will speculate if it will be real or not.

I believe that this thread can grow into a mature TS

mature TS(grail without neuro, AI) almost in 4 lines

Sharpe Ratio: 15.32

a copy of the FX sector algorithm on SME

So in forex the earnings are the inverse of this Sharpe Ratio

;)

Good luck

 
Maxim Dmitrievsky:

Since the level of thread participants has increased on average (everyone has learned how to train neural networks), I propose to take popular strategies and attach MO to them. Including the martin and TC from Market.

So, someone fell out.

I do not know how to use it, but I will speculate if it will be real or not.

I believe that this topic may produce matured TC

If we want to raise the Expert Advisor of the brokerage company by a simple calculation, we may use it as an example and on the contrary, if we cannot determine the direction of the market, it will be impossible to estimate the volume of the market without a trace).

 
Valeriy Yastremskiy:

Forming a grid ( conditions for placing orders ) at once and a lot, it's kind of more complicated than initially showing the direction to teach).

It's fun to play with this, I will do it soon

funny because it is unclear)
 
Maxim Dmitrievsky:

It's fun to play with this, I'll do it soon

It's cool because it's hard to understand )

Well, here, instead of a single solution, the training result is a strategy in the form of a set of solutions)

 
Rorschach:

In Figure 2, how is the confidence interval constructed?

You can lookat it here.

Анализ основных характеристик временных рядов
Анализ основных характеристик временных рядов
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В статье представлен класс, предназначенный для осуществления быстрой предварительной оценки характеристик различных временных рядов. При этом производится оценка статистических параметров, автокорреляционной функции, строится гистограмма и производится спектральная оценка временного ряда.
Reason: