Machine learning in trading: theory, models, practice and algo-trading - page 2528

 
Aleksey Nikolayev #:

It will be no longer SB, but a process with realizations-constants)

I make a counterproposal to end our wonderful discussion before Kolmogorov and Wiener rise from their graves to beat us with sticks)

Why "withrealizations-constants"? ACF=1 follows from your (and my) formula for large t (long enough samples).

Indeed, we can end the discussion, especially, here we are mercilessly off-topic)).

 
Dear mathematicians! Closer to life!)
Suppose we have a series with H<0.5. What is the optimal algorithm for trading it?

By the way, there is a special branch about mathematics for that)
 
Secret #:

Suppose we have a series with H<0.5. What is the optimal algorithm for trading it?

It is clear that the instrument which is more strongly related to the reversion should be traded on the reversion, the only difficulty is that this index is floating (quasiphase) and the deviation from 0.5 is not strong enough, and the calculation of H has the window effect, so we still need some kind of additional analysis.

Probably the practitioners won't write here their results, but among the obvious ones this is for example trading in night flat, if the broker is not too stingy with spread and there is no significant news in Asia-Australia that night.

 
Secret #:
Suppose we have a series with H<0.5. What is the optimal algorithm for trading it?

That's a strange question. Or is it a trick question? IfH<0.5, then everyone knows that it's a counter-trend.

 
secret #:
Suppose we have a series with H<0.5. What is the optimal algorithm for trading it?

And what is the p-value?

 
Aleksey Nikolayev #:

What is the p-value?

Set it any way you like)

 
Doctor #:

That's a strange question to ask. Or is it a trick question? IfH<0.5, then everyone knows the contrend.

Clearly a countertrend. What is the specific algorithm?)
 
transcendreamer #:

It is obvious that the instrument more inclined to return should be traded on the return, the only difficulty is that this indicator floats (quasiphase) and the deviation from 0.5 is sometimes not strong enough, and the calculation of H itself has a window effect, in the end it is still some kind of additional analysis.

We know about complexities) To simplify things, let's set complexities equal to zero. What is the formula to trade the return for maximum profit and minimum drawdown?
 
secret #:
Set any to your liking)

H was also set to taste? Then trade to your liking, too)

 
Secret #:
We know about complexities) To simplify, let's set complexities equal to zero. What is the formula to trade the return for maximal profit and minimal drawdown?

Numerical optimization is the solution. Generally it is necessary for deviation of more than X%/ points to expect correction in Y%/ points within some Т, then the additional filters should be used for what cases to trade or not to trade.

It seems to me it is impossible to wrap numerical optimization in a formula.

Reason: