Machine learning in trading: theory, models, practice and algo-trading - page 846
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Where did you see stationarity in the price behavior?)
In the returnees of Erlang flows with an order above 300.
I need the Grail, folks! Thoughts of money are eating away at my suffering soul...
I'm in need of the Grail, folks! Thoughts of money plague my suffering soul...
The Grail is a spiritual notion, which has little to do with money.)
In returnees of Erlang flows with an order above 300.
Well, it's the price that trades, not the returns.
Returns are easily converted back to price
The problem is that returns with a small lag are stationary, but they give us a forecast for only 1 bar
big lags are non-stationary but give n bars forecasts
if you manage to get a stationary retour with a long lag, it's like a grail
The world first heard about the Grail at the end of the twelfth century from Chrétien de Troyes, and the legend spread across Europe with unprecedented rapidity. It said that in a mysterious country there is an impregnable mountain on which rises the castle of Monsalvat, the "Mountain of Salvation". The way up is blocked by a rough river and steep cliffs. And only the pure of heart, selfless, helping the weak and fighting for good and justice can enter the castle of Monsalvat, where the greatest relic - the Grail is stored. Only those who have overcome the temptations of this world and developed many virtues can contemplate the Grail. And that is if he is summoned. No wonder that since the XII century, many have tried to get into the mysterious land and reach the highest of goals. The history of this quest is very instructive: for few people, the search for the Grail was a spiritual adventure, but for most - the pursuit of quite concrete treasure, a source of power and immortality.
The Holy Grail (Old Polish: Graal, Grâl, Sangreal, Sankgreal, Lat. Gradalis) is one of the implements of the Passion in medieval Celtic and Norman legends - the chalice from which Jesus Christ ate at the Last Supper and into which Joseph of Arimathea collected the blood of the wounds of the Savior crucified on the cross. The legendary Knights of the Round Table spent their lives in a fruitless search for the Holy Grail, which (along with the spear that pierced Christ's body) Joseph of Arimathea supposedly kept and brought to Britain. In European medieval novels the Grail is interpreted not as a cup but as a stone or some precious relic.
If we turn to Celtic myths, the magical cup is also present in them and, presumably, their image may have influenced the formation of the idea of the Grail. They include the witch's cracked magical cauldron of Keridwen. It is kept in a certain castle where only perfect men of pure thoughts can enter. And the rest of us can't see it. The place is called Annun: "Annun is both the world's primordial abyss, the place where death is stronger than life and where all that exists is born of death, and the Other World where the gods are found and where the Road to the wonderful island of the western seas, Avalon, passes...". In the same Celtic lore there is another myth connected with the Grail Stone. It was a special stone which could shout. With its cry it acknowledged the true king and was set in the ancient Irish capital of Tara.
Returns are easily converted back to price
The problem is that returns with a small lag are stationary but give a forecast for only 1 bar
with larger lags they are non-stationary but give n bars forecasts
If you manage to get a stationary return with a long lag, it's like a grail.
That's exactly right.
Gentlemen!
Don't any of you know anything about math?
For the billionth time, I attach Kolmogorov's work. Read at least the first two pages.
Well, everything is written as for a child. This approximation problem is exactly for neural networks. All is written in Russian.
If you don't want to mess with Erlang's threads, just take OPEN or CLOSE returns from M15 and up.
We simply need to obtain the desired series directly in MT5 through the custom symbols - this will eliminate the problems with packages and third-party software and it will be easy to obtain series for any symbol
I hope fxsaber will help me this week (or, rather, he will do it himself, if he wants), because his skills are really good :)
At the same time, it would be a great example of how to create a symbol with an arbitrary distribution on the basis of another
And only the pure of heart, selfless, helping the weak and fighting for good and justice can enter the castle of Monsalvat, where the greatest relic - the Grail is stored. Only those who have overcome the temptations of this world and developed many virtues can contemplate the Grail. And that is if he is summoned. No wonder that since the twelfth century, many have tried to enter the mysterious land and reach the highest of goals.
What the wild medieval people can't imagine))
If you can get a stationary returnee with a long lag - it's like a grail
If you grow a grandmother's beard, she will turn into a grandfather))
Whatever way you look at it, analyzing the behavior of the price as a stationary process or picking stationary noise-like components out of it is fundamentally illiterate and even wild from a mathematical point of view.
There has long been a mathematical basis for the analysis of nonstationary processes - it's another matter how to adapt it in practice.
Here is an example of the analysis of nonstationary VR using the well-known Viterbi algorithm.