Machine learning in trading: theory, models, practice and algo-trading - page 2273

 
Maxim Dmitrievsky:

Where are you, anyway? In the prices, yes ) above it says

Well firstly Fourier can be used for hundreds of other problems (just so you know...;) )


Cycles, if primitive, can also be autocorrelated, if primitive and dirty, you can even look at the time between extrema...


If we are serious about loops, we should either clean (filter) the data and use methods described above, or use something ready-made that does it all automatically...

I searched for loops using Rssa package, which implements SSA method



 
mytarmailS:

Well firstly Fourier can be used for hundreds of other problems (just so you understand...;) )


Cycles, if primitive, can also be autocorrelated, if primitive and dirty, you can even watch the time between extrema.


If we are serious about loops, we should either clean (filter) the data and use methods described above, or use something ready-made that does it all automatically...

I've looked for loops using Rssa package, which implements SSA method

It's probably better to filter by hours, days, etc. Looking for other loops won't do much

 
Maxim Dmitrievsky:

it's probably better to just filter by hours, days, etc. looking for other cycles won't do much

I don't know what you're doing.

 

In principle, if DSP fans are so eager, I would advise them to look in the direction of spectrum theory for non-stationary processes (Spectral analysis for non-stationary processes).

However, the mathematics there (theorist) is usually quite complicated.

 
Aleksey Nikolayev:

In principle, if the DSP fans are so eager, I would advise them to look at the spectrum theory for non-stationary processes (Spectral analysis for non-stationary processes).

However, the mathematics there (theorist) is usually quite complicated.

But it will not work without mathematics?

 
Maxim Dmitrievsky:

And without mathematics it won't work?

This spectrum theory is for non-stationary processes. few people understand it. Although, yes, there are only short periods of stationarity, but in general there is a lot of confusion)))

 
Maxim Dmitrievsky:

And without mathematics it will not work?

I'm afraid it won't work even with mathematics) Roughly speaking, because the Tsosniks have non-stationarity "not the system" that we need.)

Here's a good article about non-stationarity in audio:

While stationarity can be given rigorous definitions, nonstationarity is a very broad concept, as there are infinitely many ways to depart from stationarity.

 

All right, I've given up on cycles for now. Suggestion, fun for:

  • bots on MO and martingale
  • Reverse engineering bots from a market or signals using MO
topic is free ) in terms of doing anything, but it makes some sense (but it's not certain)
 
Aleksey Nikolayev:

I'm afraid it won't work even with mathematics) Roughly speaking, because the Tsosniks have non-stationarity "not the system" that we need)

Here's a good article about nonstationarity in audio:

While stationarity can be given rigorous definitions, nonstationarity is a very broad concept, as there are infinitely many ways to depart from stationarity.

I looked through it, got a little carried away... well, let's forget about loops for now :D

 
Valeriy Yastremskiy:

This spectrum theory is for non-stationary processes. few people understand it. Although yes, we definitely have only short periods of stationarity, but in general there is disorder and vacillation))).

When I was trying to build a "universal price theory" and then "break the back of Forex" - is an obvious way to nowhere.

Reason: