Machine learning in trading: theory, models, practice and algo-trading - page 3677

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Recently got the Grail on all pairs and TFs using the Savitzky-Golei filter as a trait. It's good for marking trades, but as a sign it's not, because it uses future observations for smoothing. Replacing it with regular polynomials broke the picture :)
 
Maxim Dmitrievsky #:
It's good for marking up trades,

In reality you will not know the future to build this filter. So also for trades - it is not that it is not good - it is not possible.

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Forester #:

In reality, you won't know the future to build this filter. So for transactions, it is not only not good, it is not possible.

It takes values of future observations to smooth current ones. For marking trades on history there is no problem, for example for strategies of returning to the mean (it cuts off noise well, makes it stationary), it allows to mark trades by deviations from the mean. The filter values are taken as the average.

 
Maxim Dmitrievsky #:

Takes values of future observations to smooth current ones. There is no problem for marking trades on history, for example for strategies of returning to the average (it cuts off noise well, makes it stationary), it allows marking trades by deviations from the average. The filter values are taken as the average.

I understand the idea. Agreed. Any markup on future data is done.

 

Interesting

The theory of efficient markets. Robert Shiller. Yale University Lecture

https://www.youtube.com/watch?v=x7cF3Mby3V8

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mytarmailS #:

Interesting

The theory of efficient markets. Robert Shiller. Yale University Lecture

https://www.youtube.com/watch?v=x7cF3Mby3V8

Well, in principle, yes, but if there are no patterns, there is nothing to trade except arbitrage, which is also not always possible :)
[Deleted]  
Has anyone tried biclustering yet? I'll try it when I get my head round it after the holidays.
You can make a table with all patterns for all combinations of features at once.
 
Maxim Dmitrievsky #:
Well, in principle, yes, but if there are no patterns, then there is nothing to trade except arbitrage, which is also not always possible :)

also making...the one where holding and trawling limits on both sides and a lot of fiddling with the glass.

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Maxim Kuznetsov #:

and then there's makin'...the one where you hold and trawl the limiters on both sides and fiddle with the glass a lot.

Yeah, with this makin', you probably can't get anywhere anymore.
 
Maxim Dmitrievsky #:
Has anyone tried biclustering yet? I'll try it when I get my head round it after the holidays.
You can make a table with all patterns for all combinations of features at once.

It's kind of a simple chip selection thing. With castellation.

Picked up by forest. Bi-forest, let's call it))))

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