a trading strategy based on Elliott Wave Theory - page 188
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I would like to show a picture, but I don't know how to insert it... I will fill it in by hand:
M1=0.076
M2=0.138
...
M10=0.374
M11=0.377
...
M100=0.439
M101=0.439
...
М1000=0.5
Neutron , and how did you calculate the Hurst index (methodology). As described by Peters (averaging and approximation) or in another way?
And it would be better (if available) to give the EURUSD calculations, the values have been already voiced for it.
As for the algorithm of Hearst index calculation given by you, it seems to me that using Open looks more correct.
Also, t1 and t2 should be different t/f in the formula. If we are really talking about a sliding window, then t[i+1] and t[i] refer to the same t/f. Therefore t[i+1]/t[i]=1 and the denominator of the formula for M[i] is 0.
Yurixx, I have to apologize again for incorrectness related to free application of brackets. I don't know how to switch to a lower index in this editor. In this case I meant t[1] is a timeframe equal to one minute, t[n] is n minutes.
As for the numbering of bars, I used a convenient one - 0-current, i-future after i steps. This moment is not crucial. If you want, everything can be easily rewritten in MQL standard.
And it would be better (if available) to give the EURUSD calculations, the values for it have been already voiced.
The value of Hurst indicator for EURUSD for 2004 at interval of 1 minute - 1 000 minutes has been calculated and I will try to show it in a picture... The calculation algorithm is given right on the picture.
PS1: I have not started the research yet, once again I am off on a business trip for 1.5 weeks.
PS2: Forgot the question itself: how do you use the spectral power for prediction?
Conclusion: periodic price fluctuations in the foreign exchange market singled out one way or another are of no practical value, because the time needed for their reliable detection is longer than the characteristic time of existence of the features themselves. This in turn points to stochastic nature of harmonic price fluctuations. With all ensuing conclusions for a trader.
Grasn, I have a big request to you and Yurixx: can you give a reason to apply the Hurst Index to the currency market? The point is that, as I understood from your earlier posts, you are trying to build a forecasting model on its basis but what are you guided by in assuming the solvability of the problem in such a formulation?
Conclusion: periodic price fluctuations in the foreign exchange market singled out one way or another are of no practical value, because the time needed for their reliable detection is longer than the characteristic time of existence of the features themselves. This in turn points to stochastic nature of harmonic price fluctuations. With all the ensuing conclusions for the trader.
Bravo, Neutron, excellent post!!!! It should be placed in large letters on every website dedicated to MTS development! Because this short post concentrates the explanation of many failures of developers, especially beginners. Many especially persistent developers come to the same conclusion having spent years on optimizing various oscillators and searching for the "right" quotes, while here it is clearly and simply explained - the periodical price oscillations at the currency market singled out one way or another have no practical value, since the time needed for their reliable detection is greater than the characteristic time when the features themselves exist! Those who are familiar with the processing of experimental data will perfectly understand and take note of this post.
Oops! This conclusion is intuitively understandable to me, because it is consistent with my understanding of the market as an obviously non-stationary random (or chaotic ?) process. However, I would not be able to assert this with certainty. It's quite different when that conclusion is drawn from the research you've done. Thank you, now that's a fact worthy of attention.
But now another point becomes unclear. Maybe I misunderstood your approach on page 93? Or do you refer to this approach only to the ability to operate in the stock market? However, I assumed that it is spectral analysis that you are betting on in terms of predicting the near-term price behaviour.
I cannot give a justification as I do not have one. This means the following.
The approach I am trying to implement does use the Hearst index as one of the strategy components. It seems to me (! :-)) that it gives some qualitative advantages. However, I have so far failed to translate them into quantitative results. And that, I believe, is the only irrefutable justification.
As for the assumption that the problem is solvable, this is closer to humour than hypothesis.
I wrote here recently about the mathematician Perelman who proved Poincaré's hypothesis. It couldn't be proved for about 100 years. But many people must have tried. One might have concluded that if for 100 years many could not, then the solution does not exist. However...
The same situation is with Forex. Crowds are playing, many people are looking for patterns and trying to formalize them, but no one has found one. Maybe it is impossible? It may well be! I, however, have specific interests. I prefer unsolvable problems. Maybe I read a lot of Strugatsky in my youth? :-)))
Вывод: выделенные тем или иным способом периодические колебания цены на валютном рынке практической ценности не имеют, т.к. время необходимое для их достоверного выявления больше характерного времени существования самих особенностей. Это, в свою очередь, говорит о стохастической природе гармонических колебаний цены. Со всеми вытекающими из этого для трейдера выводами.
Bravo, Neutron, great post!!!! It should be put in big letters on every website dedicated to MTS development! Because this short post is the explanation of many failures of developers, especially beginners. Many especially persistent developers come to the same conclusion having spent years on optimizing various oscillators and searching for the "right" quotes, while here it is clearly and simply explained - the periodical price oscillations at the currency market singled out one way or another have no practical value, since the time needed for their reliable detection is greater than the characteristic time when the features themselves exist! Those who are familiar with the processing of experimental data will perfectly understand and take note of this post.
A small fly in the ointment - in Larry Williams' book "Long-Term Secrets of Short-Term Trading" the same thing is said. Although my experience is of course more valuable, but reading it could save a lot of time.
Conclusion: periodic price fluctuations in the foreign exchange market singled out one way or another are of no practical value, because the time needed for their reliable detection is longer than the characteristic time of existence of the features themselves. This in turn points to stochastic nature of harmonic price fluctuations. With all the ensuing conclusions for the trader.
Oh how, Neutron, I just don't get your point anymore. Previously you highlighted in bold letters that:
... The results show that cycles on the currency market do exist but they are stochastic, i.e., there are no cycles with a stationary or nearly stationary period...
Where did you write about this? And then how are you going to look for trends? I take it that's an important part of your approach. Anyway, anyway, it doesn't matter.
PS: There are Fourier window transforms, wavelet analysis (that's what I'm studying now)
solandr
Bravo, Neutron, excellent post!!!! It should be placed in large letters on every website dedicated to MTS development! As this short post concentrates on explaining many of the failures of developers, especially beginners.
solandr, do you think that real professionals cover the whole working screen with parabolas or "methodology of converging gradients" to look where "speculative capital" ends? (post 04.10.06 10:11)
Don't jump to conclusions about what can and cannot be applied. You don't know that! You already have a similar experience (13.11.06:52).
And if you're going to put beginners on the right path, then write on websites honestly that "only 1-5% of you will succeed in something, and it's likely to be bad and not always good".