Machine learning in trading: theory, models, practice and algo-trading - page 2246

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Oleg avtomat:

the studio is not here; these are not mashups as you understand them; the code is my development and is not distributed; this thread is not yours, you are a guest here, and your rights are guest.

I've already shown too much, that's enough.

there is a special category of people who like to show, and another category of people who like to watch. Here you go there, there "too much" does not happen
 
Oleg avtomat:

the studio is not here; these are not mashups as you understand them; the code is my development and is not distributed; this thread is not yours, you are a guest here, and your rights are guest.

I've shown too much already, that's enough.

It's hard to understand from the drawings. As well as from the formulas shown earlier.

 
I'm going to make the same ones and put them in the NS
 
Maxim Dmitrievsky:
I'll make the same ones and put them in the NS

Do it, I wonder what you get in the NS

 
Evgeni Gavrilovi:

Okay, if you don't want to describe all the nuances in detail, then deign to show an example of your trade - publish a paid signal, at least for a year.

Everyone will appreciate your skills in the market, and at the same time, during this time and can get a million bucks from subscribers. What are you waiting for?)

Waiting for what? All we needed was your appeal, now I can do it. )))))))))))))))

 
Oleg avtomat:

Go ahead and do it, I wonder what you'll get in the NS.

It? ))) period left to pick up


 
Maxim Dmitrievsky:

I want to see an effective application of DSP to quotes from those who have been doing it for 100 years

I can take these filters and spit out a ready-made TS in the form of a bot, with history tests and so on. But they don't want to. Or rather, they have nothing.

there is nothing complicated about replacing some MAs with others

Here's an example....

How you can try to filter the indicator through psa decomposition.

Pure example, indicators are evil!


1) I took an RSI indicator and broke it down into 30 components

2) I threw out all components and left only the 3rd and 4th ones


The result is

top is the RSI

as you can see the signal is much cleaner...


Let's see the cross-correlation

As you can see, the indicator is not only keeping up, but is even ahead of the old PCI



So conclusions:

1) Mashka lags behind.

2) Mashka smoothes everything


1) decomposition (any) can more accurately filter or smooth

2) you can achieve a leading effect

 
mytarmailS:

Here's an example....

How can you try to filter the indicator through psa decomposition...

Pure example, indicators are evil!!!


1) took a PSI indicator and broke it down into 30 components

2) I threw out all components and left only the 3rd and 4th ones


The result is

top is the RSI

as you can see the signal is much cleaner...

as you can see, it is already some other signal

MA is not delayed if you do it like this

prices = pd.DataFrame(mt5.copy_rates_range(SYMBOL, TIMEFRAME, START, STOP),
                          columns=['time', 'close']).set_index('time')
prices.index = pd.to_datetime(prices.index, unit='s')
prices = prices.reset_index(drop=True)
prices = prices.dropna()
prices['MA'] = prices['close'].rolling(10).mean()
prices = prices.dropna()
prices['returns'] = prices['close'].diff(10)
prices = prices.dropna()
prices['MAreturns'] = prices['returns'].rolling(10).mean()
prices = prices.dropna()
prices['diff_ma'] = prices['close'] + prices['MAreturns']
prices = prices.dropna()
prices['diff_ma_smoothed'] = prices['MA'] + prices['MAreturns']
prices = prices.dropna()

don't thank me.

Let's quickly condemn Automat, expose DSP using super simple code to create any filters... ...and go drink coffees with peace of mind.

The code is a simple econometric approach, improving the properties of an ordinary MA. In fact, it's a filter. Improving, in terms of RMS error reduces

 

There are excellent books on DSP from John Ehlers

Cybernetic Analysis for Stocks and Futures Cutting-Edge DSP Technology to Improve Your Trading

Cycle Analytics for Traders Advanced Technical Trading Concepts

MESA and Trading Market Cycles Forecasting and Trading Strategies

Rocket Science for Traders Digital Signal Processing Applications

 
Evgeni Gavrilovi:

Okay, if there is no desire to describe in detail all the nuances, then please show an example of your trade - publish a paid signal, at least for one year.

Everyone will appreciate your skills in the market, and at the same time, during this time and can get a million bucks from subscribers. What are you waiting for?)


Here is an example


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