Machine learning in trading: theory, models, practice and algo-trading - page 2579

 
Maxim Dmitrievsky #:
Any such row can be approximated to a stationary one

Like this one?
I've been looking for four years. It's faster than the Kalman.

s

 
Roman #:

Like this one?
I've been looking for four years. Faster than a Kalman.


No, I meant non-stationary spread (which will be a frequent occurrence). Stationarity is needed only when teaching the model, while trading will be non-stationary on any implementation. The main thing is to have enough examples.
 

The main essence of arbitrage, as of any post factum, is the observation that there is a balance in the market between the mutual movement of currency pairs

that is I would say an interrelated movement of them

and this is nothing other than the spread

in fact, the fight against the spread, which widens not in favor of the trader and can infinitely pump the dough out of his pocket while he has it ;)

this is a game of chess with a grandmaster, who rules the movement of kotir

it's a hell of a game.....

I advise not to crash into portfolios, or see my post about two triangles, which wobble relative to each other like pendulums.

An interesting and profitable strategy because they are both separately in balance and almost neutral to the trader.

The pairs are superimposed as follows:

1.0 - Bid/Bid0.

Equity on the example of EUR/USD/GBP

EURGBP + GBPUSD - EURUSD = 0.000 throughout history !!!

Good luck !

 
Maxim Dmitrievsky #:
No, I meant non-stationary spread (which will be a frequent phenomenon). Stationarity is needed only when training the model while trading will be non-stationary in any implementation. The main thing is to have enough examples.

I thought you would understand. This is just that, for non-stationary, autocorrelated series, with transitions.
Here's a comparison of the error rate, of the two filters.
In green, Kalman.

sko

 
Roman #:

I thought you would understand. This is just that, for non-stationary, autocorrelated series, with transitions.
Here's a comparison of the error rate, of the two filters.
The one in green is Kalman.

I'm afraid I don't understand filters and I don't know how to use them in trading. I'm writing purely about more or less current MO techniques. Not pretending to be objective

If you take the MA and subtract the variance from it, you can make any filter, fit the series, you can probably add "memory". But what for? If you teach TC through MO.
 
Roman #:

I thought you would understand. This is just that, for non-stationary, autocorrelated series, with transitions.
Here's a comparison of the error rate, of the two filters.
The green one is kalman.

So what is this?

 
mytarmailS #:


We need to somehow divide the prices of the two pairs into

1) spread which earns

2) noise

Do PCA or other decomposition, maybe with AMO, autoencoders or networks (but it is more probable that everything will "die out" on the new data), so PCA is better


And we need a "number" to describe "a good spread" after the spread decomposition. Co-integration alone is not enough here, we need the spread to earn because it is not a linear product of prices but a non-linear part of prices after decomposition

the funny thing is that the spread of two pairs is the chart of the third one

What's the point of trading?

 
Renat Akhtyamov #:

The funny thing is that the spread of two pairs is the chart of the third

What is the sense of trading?

Well it's not the same Spread
 
Renat Akhtyamov #:

The funny thing is that the spread of two pairs is the chart of the third

What's the point of trading that?

it makes sense to trade triangles. And the neuronet, if it is trusted, then train on three.

simply because there is no nishish in the history of 1 arbitrary symbol. It's effectively traded and in any theory is bound to be noise.

And in three you can catch the current situation with a small window.

 
mytarmailS #:
Who has quotes for the pound and the euro more than 5 years 5min. throw me please!!!

SanSanych's hint was DucasKopi

Reason: