The future of automated trading: round two - page 24
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In my opinion, not everyone needs tick data. And therefore, it's not at all necessary that MT has tick data - there are other platforms for that, as you correctly pointed out. And the competition between them will show how important tick data is for a trader ))))
I think so. time will definitely put everything in its place. just for fun. one little message from a "simple" trader https://www.mql5.com/ru/forum/2157/page4/#comment_25151
Imagine, he analyzes ticks (I think), 0-bar. Idiot )))) and he's trying to win the championship... Probably a theorist ...)).
Z.U. Now I'll go torment Timbo (let him puff away for efficiency), because he's painting the future here in gloomy colours. The bastard wants to deprive the dream ))).
I think so. time will surely put everything in its place. just for fun. one little message, from a "simple" traderhttps://www.mql5.com/ru/forum/2157/page4/#comment_25151
Where does it say it uses tick history? All it says is that processing on every tick on the zero bar.
no it does not. he does not have it - the tick history. it is difficult to use something that does not exist. Besides, I do not know exactly what he analyses, I can only guess. But judging by the phrase, it's not bars that he analyses, but ticks, every tick!
Well, let's ask the author of the comment.
Dear komposter, do you analyse ticks in your EA, or is it just a ticking history of the EA?
Here's a conversation about tics. Guys, what ticks, at least get the daily data sorted out. Here is my broker's daily price history (and by the way, this is my main timeframe):
Or here's more:
What is being done on the futures glut is nothing short of a bacchanalia. How can we even talk about approximate testing? How can experts be run on this data? I know many will say: go to your broker, let him solve all these problems. But he practically cannot solve technical problems, he can buy quotes, but he needs a reliable technical solution for it all to run without any gaps and pseudo-data. Question to MT5 developers, would they be so kind as to provide brokers with a special solution for filtering quotes and preparing them for broadcasting to the MT5 terminal?
Therefore, if the phrase "robots will fish out everything useful" the word "everything" means arbitrage strategies, then yes, of course, robots will grind up mountains of information faster than a human. But if the word "everything" includes non-arbitrage strategies, then I don't see a clear or obvious answer here. Putting aside marketing and, as Renat correctly pointed out, dusting the eyes of competitors, we find no direct evidence that big companies have non-arbitrage strategies at all with MO>0. The facts, not the PR we have, indicate that gloriously promoted big funds drain as successfully as individuals. This indirectly indicates that they are trading martingale and do not have a strategy with MO>0. Sometimes it turns out that these funds with classified strategies are trivial pyramid schemes. So I don't find the big players' robots in any way threatening non-arbitrage strategies at all.
Any profitable strategy can be considered arbitrage. Or statistical arbitrage. As it guarantees profit with a given probability. "There are facts" refers to a few and does not characterise the industry as a whole. And even if the industry is not yet using any strategies, it is probably only because they are happy with what they have at the moment. But that can't go on forever. The speed war will end sooner or later, and then the robots will go wide, into all other even much less profitable glades and trample everything.
The private traders claim that over 90% are losing, this percentage is much higher than the number of losing funds. To whom exactly are they sinking, who has picked up this money? Besides, you have to realise that many funds do not aim at making money, they aim at doing a little better than the index, and the index may be in deep shit. Therefore one should not look at all funds, but only at a rather narrow sector of quantitative hedge funds. Much less is known about them, because they are not obliged to disclose their information.
I will try again to ask how does market efficiency lead to random rambling, even if only in theory? What is the logic behind the transition?
Not exactly accurate. The result is not a SB, but a martingale by one of the filters specified in the three forms of efficiency (weak, medium, strong). But I don't know the logic either. I have to look it up with Shiryaev.
It is quite possible that the formal notion of efficiency is the corresponding martingale. That is, martingale and efficiency are the same thing, but for different audiences: martingale is for mathematicians, while efficiency is a "human" interpretation for investors and traders who are not too familiar with mathematics, i.e. for you and me.
Not exactly accurate. The result is not SB, but a martingale on one of the filters specified in the three forms of efficiency (weak, medium, strong). But I don't know the logic either. I have to look for it from Shiryaev.
It is quite possible that the formal notion of efficiency is the corresponding martingale. That is, martingale and efficiency are the same thing, but for different audiences: martingale is for mathematicians, while efficiency is a "human" interpretation for investors and traders who are not too familiar with mathematics, i.e. for you and me.
Still, the "awareness = efficiency/martingale" transition remains unexplained. The only thing that has any analogy is a Brownian environment, but this environment must be sufficiently homogeneous. What we do not see in the market.
In general, my opinion, this wonderful connection "awareness = efficiency / martingale" is only a beautiful fairy tale, for peeps. And it's more of a model, as it should be, rather than as it actually is. And in reality we see market players with different degrees of influence on the market, and different levels of awareness. And moreover, with different objectives. There are the interests of the national banks and they are playing their game (the latest apparent games towards global currency devaluation is a great example). There are the interests of the major exporters/importers. There are the interests of large financial institutions. And so on. So, in fact, there are participants in the market for whom it is not at all necessary to win this game. How it can be said that the market is homogeneous - I don't understand.
Any profitable strategy can be considered arbitrage. Or statistical arbitrage. Because it guarantees profit with a given probability. "There are facts" refers to a few and does not describe the industry as a whole. And even if the industry is not yet using any strategies, it is probably only because they are happy with what they have at the moment. But that can't go on forever. The speed war will end sooner or later, and then the robots will go wide, into all other even much less profitable glades and trample everything.
The private traders claim that over 90% are losing, this percentage is much higher than the number of losing funds. To whom exactly are they sinking, who has picked up this money? Besides, you have to realise that many funds do not aim at making money, they aim at doing a little better than the index, and the index may be in deep shit. Therefore one should not look at all funds, but only at a rather narrow sector of quantitative hedge funds. Much less is known about them, because they are not obliged to disclose their information.
The single facts are all that we have relatively reliable. The rest is speculation. For example, "The war of speeds will end sooner or later" - why end? and in our lifetime? "and then the robots will go wide" - why only then? why not now? just because "they're happy with what they have at the moment"? To me this is a very far-fetched reasoning that turns business sharks into good Samaritans. I would speculate differently - they can't let robots go to scale because they don't know how, because no one has yet come up with an appropriate theory for them. I think it's simpler and closer to real life.
Looking at quantitative hedge funds, I see three consecutive years of losses. This is more or less a reliable fact. The simplest and most far-fetched assumption I can think of that follows from this is that they trade martingale. What conclusion do you think I should draw? That hedge funds are a threat to individuals? Manual trading? My private strategy?
Going back to the commonplace over 90% of individuals are draining and the question "who will pick up that money?", I also ask myself - all the hedge funds and other institutionalists drained in 2008. Who picked up their money? The private sector? To me, the balance is not so simple - the privateers are draining and the institutionalists are pouring in. Therefore, the institutional threat to private profitable strategies through such a simplistic balance sheet is to me also far-fetched.