a trading strategy based on Elliott Wave Theory - page 214
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I only had the guts to ask the smallest question; he was not a geophysicist, he was a hydrographer. He kept an eye on the water levels in open basins, hence his method of filling and emptying the reservoir. Well, that's just a small thing.
Actually, he was a "climatologist" and studied geophysics (or maybe I got it wrong again) and he was only "involved" (or rather, he didn't get out of those places for 60 years) in hydro projects on the Nile... But anyway, you're right, I was mistaken about professions.
North Wind, let me give my belated respect too, on your research.
...
That's tricky, he was actually a "climatologist" and was studying to be a geophysicist (or am I confused again), and he was only "brought in" (or rather, he hasn't been out of those places for 60 years) on the Nile hydro projects... But still, you are right, got the professions wrong.
It can't be a mistake, it doesn't affect anything. :)
...
North Wind, let me give my belated respects too, on your research.
It's nothing, I was interested - I did it, I posted the results. If anyone else finds it useful - welkam.
Alex Niroba
…
Ни разу не тестировал свою стратегию на истории, потому, что считаю, что
будущее и прошлое НИКОГДА не повторяется.
так же как нельзя два раза войти в одну и ту же реку... :)))
Alex, history, always repeats itself. You enter the same water in the river. Read Hirst, he will tell you, including about precipitation..., after all he was not a geophysicist for nothing.
I'm not going to argue :)))
I didn't say that my strategy is the best and that nothing else needs to be studied or used.
Of course you have to check and try other ways !!!
I just fumbled one theme, and am trying to develop it into a strategy and bring it to mind :)))
I do not know if it is good or bad, but it brings at least some income.
The main thing for me is that it works for all currency pairs and for all
time frame.
The only thing I can't boast about yet is limiting losses, i.e. I can't
i.e. I can't work out clear rules for calculating stop loss and take profit.
Trading by hand is not a good thing :(
This is the current result of my method for a month:
Ticket Open Time Type Lots Item Price S/L T/P Close Time Price Commission Taxes Swap Profit
9067137 2006.12.08 13:50 balance Deposit 5 000.00
9067143 2006.12.08 13:50 sell 2.50 audusd 0.7890 0.0000 0.0000 2006.12.15 10:53 0.7799 0.00 0.00 -106.00 4 550.00
9301680 2006.12.15 10:53 sell 5.00 gbpusd 1.9562 0.0000 0.0000 2006.12.15 17:00 1.9526 0.00 0.00 0.00 1 260.00
9301700 2006.12.15 10:53 buy 5.00 gbpusd 1.9566 0.0000 0.0000 2006.12.15 11:05 1.9574 0.00 0.00 0.00 280.00
9328406 2006.12.15 17:05 buy 5.00 gbpusd 1.9528 1.9530 0.0000 2006.12.15 17:49 1.9530 0.00 0.00 70.00
9328414 2006.12.15 17:05 buy 2.50 gbpusd 1.9528 1.9530 0.0000 2006.12.15 17:49 1.9530 0.00 0.00 35.00
9330359 2006.12.15 17:50 buy 5.00 gbpusd 1.9533 1.9620 0.0000 2006.12.19 10:08 1.9635 0.00 0.00 -25.90 3 570.00
9330369 2006.12.15 17:50 buy 2.50 gbpusd 1.9533 1.9621 0.0000 2006.12.19 10:08 1.9635 0.00 0.00 -12.96 1 785.00
9393202 2006.12.19 14:42 buy 11.00 gbpusd 1.9599 0.0000 0.0000 2006.12.19 14:47 1.9605 0.00 0.00 0.00 462.00
9393416 2006.12.19 14:47 buy 12.00 gbpusd 1.9608 1.9612 0.0000 2006.12.19 15:12 1.9623 0.00 0.00 0.00 1 260.00
9394181 2006.12.19 15:12 buy 13.00 gbpusd 1.9627 0.0000 0.0000 2006.12.19 17:01 1.9628 0.00 0.00 0.00 91.00
9396724 2006.12.19 17:01 sell 13.00 gbpusd 1.9625 1.9592 0.0000 2006.12.21 15:45 1.9579 0.00 0.00 -76.44 4 186.00
9455535 2006.12.21 15:46 sell 16.00 gbpusd 1.9575 0.0000 0.0000 2006.12.22 19:25 1.9566 0.00 0.00 -23.52 1 008.00
9487689 2006.12.22 22 22:57 sell 17.00 gbpusd 1.9586 0.0000 0.0000 2006.12.26 14:44 1.9581 0.00 0.00 -49.98 595.00
9491588 2006.12.26 14:45 buy 17.00 gbpusd 1.9578 1.9630 0.0000 2006.12.28 15:55 1.9644 0.00 0.00 -179.69 7 854.00
9535446 2006.12.28 15:56 buy 22.00 gbpusd 1.9651 0.0000 0.0000 2007.01.02 17:43 1.9731 0.00 0.00 -175.56 12 320.00
9608161 2007.01.03 21:25 buy 5.00 usdzar 7.0150 7.0151 0.0000 2007.01.04 12:22 7.0340 0.00 0.00 -196.91 1 350.58
9608196 2007.01.03 21:27 buy 5.00 usdsgd 1.5350 1.5320 0.0000 2007.01.04 14:50 1.5370 0.00 0.00 58.68 650.62
9608215 2007.01.03 21:29 buy 5.00 usddkk 5.6635 5.6767 0.0000 2007.01.04 12:22 5.6863 0.00 0.00 43.54 2 004.82
9608244 2007.01.03 21:30 buy 5.00 usdsek 6.8640 6.8906 0.0000 2007.01.04 12:22 6.8998 0.00 0.00 0.00 67.67 2 594.28
9609733 2007.01.03 23:09 sell 5.00 eurusd 1.3168 1.3115 0.0000 2007.01.04 12:22 1.3105 0.00 0.00 52.50 3 150.00
9609734 2007.01.03 23:09 sell 5.00 gbpusd 1.9510 1.9506 0.0000 2007.01.04 07:48 1.9506 0.00 0.00 -21.00 140.00
9609736 2007.01.03 23:09 sell 5.00 gbpjpy 232.81 232.11 0.00 2007.01.04 12:22 232.05 0.00 0.00 -292.71 2 228.55
9616006 2007.01.04 07:56 sell 5.00 gbpusd 1.9507 1.9446 0.0000 2007.01.04 12:22 1.9443 0.00 0.00 0.00 2 240.00
9625809 2007.01.04 12:36 buy 5.00 usdzar 7.0507 7.0655 0.0000 2007.01.04 14:54 7.0740 0.00 0.00 0.00 1 646.88
9625914 2007.01.04 12:43 buy 5.00 usdsek 6.9085 6.9172 0.0000 2007.01.04 14:50 6.9222 0.00 0.00 0.00 989.57
9625930 2007.01.04 12:44 sell 5.00 gbpjpy 231.90 231.75 0.00 2007.01.04 13:31 231.75 0.00 0.00 0.00 440.62
9625982 2007.01.04 12:47 buy 5.00 usdjpy 119.36 118.37 0.00 2007.01.04 15:42 119.37 0.00 0.00 0.00 41.89
9626003 2007.01.04 12:49 buy 5.00 eurchf 1.6137 1.6089 0.0000 2007.01.04 13:51 1.6139 0.00 0.00 0.00 81.21
9626019 2007.01.04 12:50 sell 5.00 eurusd 1.3097 1.3194 0.0000 2007.01.04 15:38 1.3093 0.00 0.00 0.00 200.00
9626022 2007.01.04 12:50 sell 5.00 gbpusd 1.9436 1.9454 0.0000 2007.01.04 21:40 1.9433 0.00 0.00 0.00 105.00
9626041 2007.01.04 12:52 sell 5.00 chfjpy 96.86 96.84 96.39 2007.01.04 13:57 96.84 0.00 0.00 0.00 83.90
9627627 2007.01.04 13:55 buy 5.00 usdzar 7.0452 7.0660 0.0000 2007.01.04 14:54 7.0732 0.00 0.00 0.00 1 979.30
9627737 2007.01.04 13:58 sell 5.00 chfjpy 96.76 96.75 0.00 2007.01.04 20:58 96.64 0.00 0.00 0.00 503.82
9627947 2007.01.04 14:03 sell 5.00 gbpusd 1.9450 1.9490 0.0000 2007.01.04 14:24 1.9441 0.00 0.00 0.00 315.00
9628629 2007.01.04 14:24 sell 5.00 gbpjpy 231.61 232.55 0.00 2007.01.04 20:58 231.56 0.00 0.00 0.00 146.94
9629742 2007.01.04 14:45 buy 5.00 usdnok 6.3212 6.3122 0.00 2007.01.04 15:45 6.3221 0.00 0.00 0.00 71.18
9630224 2007.01.04 14:56 buy 5.00 usdzar 7.0925 7.0840 0.0000 2007.01.04 15:58 7.0940 0.00 0.00 0.00 105.72
9630229 2007.01.04 14:56 buy 5.00 usdzar 7.0937 7.0855 0.0000 2007.01.04 20:59 7.0955 0.00 0.00 0.00 126.84
9630237 2007.01.04 14:56 buy 5.00 usdzar 7.0925 7.0842 0.0000 2007.01.04 15:58 7.0940 0.00 0.00 0.00 105.72
9630239 2007.01.04 14:56 buy 5.00 usdzar 7.0925 7.0840 0.0000 2007.01.04 15:59 7.0930 0.00 0.00 0.00 35.25
9633155 2007.01.04 15:54 sell 5.00 eurusd 1.3086 1.3184 0.0000 2007.01.04 17:19 1.3084 0.00 0.00 0.00 100.00
9633872 2007.01.04 16:11 sell 5.00 gbpusd 1.9466 1.9454 0.0000 2007.01.04 16:30 1.9451 0.00 0.00 0.00 525.00
9633889 2007.01.04 16:11 sell 5.00 eurusd 1.3110 1.3102 0.0000 2007.01.04 16:30 1.3095 0.00 0.00 0.00 750.00
9633992 2007.01.04 16:12 sell 5.00 gbpusd 1.9467 1.9454 0.0000 2007.01.04 16:29 1.9451 0.00 0.00 0.00 560.00
9634984 2007.01.04 16:37 sell 5.00 gbpusd 1.9443 1.9443 0.0000 2007.01.04 17:18 1.9439 0.00 0.00 0.00 140.00
9634988 2007.01.04 16:37 sell 5.00 gbpusd 1.9442 1.9541 0.0000 2007.01.04 17:19 1.9441 0.00 0.00 0.00 35.00
9634989 2007.01.04 16:37 sell 5.00 gbpusd 1.9442 1.9442 0.00 2007.01.04 17:18 1.9441 0.00 0.00 0.00 35.00
9634990 2007.01.04 16:37 sell 5.00 gbpusd 1.9442 1.9442 0.00 2007.01.04 17:18 1.9441 0.00 0.00 0.00 35.00
9636610 2007.01.04 17:21 sell 5.00 gbpusd 1.9444 1.9456 0.0000 2007.01.04 21:37 1.9437 0.00 0.00 0.00 245.00
9636613 2007.01.04 17:21 sell 5.00 gbpusd 1.9444 1.9456 0.0000 2007.01.04 21:37 1.9437 0.00 0.00 0.00 245.00
9636617 2007.01.04 17:21 sell 5.00 gbpusd 1.9443 1.9456 0.0000 2007.01.04 21:37 1.9437 0.00 0.00 0.00 210.00
9636619 2007.01.04 17:21 sell 5.00 gbpusd 1.9443 1.9456 0.0000 2007.01.04 21:37 1.9437 0.00 0.00 0.00 210.00
9636622 2007.01.04 17:21 sell 5.00 gbpusd 1.9443 1.9456 0.0000 2007.01.04 21:37 1.9436 0.00 0.00 0.00 245.00
9640117 2007.01.04 20:34 sell 5.00 eurusd 1.3083 1.3102 0.0000 2007.01.04 21:38 1.3080 0.00 0.00 0.00 150.00
9643478 2007.01.05 00 00:56 sell 5.00 eurusd 1.3089 1.3099 0.0000 2007.01.05 01:54 1.3079 0.00 0.00 0.00 500.00
9643490 2007.01.05 00:57 sell 5.00 euraud 1.6710 1.6727 0.0000 2007.01.05 02:56 1.6704 0.00 0.00 0.00 235.17
9643511 2007.01.05 00:59 sell 5.00 eurcad 1.5410 1.5426 0.0000 2007.01.05 01:54 1.5406 0.00 0.00 0.00 169.78
9643558 2007.01.05 01:01 buy 5.00 usdchf 1.2327 1.2313 0.0000 2007.01.05 01:54 1.2333 0.00 0.00 0.00 243.25
9643565 2007.01.05 01:01 sell 5.00 gbpchf 2.3938 2.3958 0.0000 2007.01.05 01:56 2.3930 0.00 0.00 0.00 227.05
9643586 2007.01.05 01:02 sell 5.00 gbpusd 1.9425 1.9420 0.0000 2007.01.05 01:53 1.9406 0.00 0.00 0.00 665.00
9643600 2007.01.05 01:03 sell 5.00 eurjpy 155.52 155.29 0.00 2007.01.05 01:51 155.16 0.00 0.00 0.00 1 517.07
9643602 2007.01.05 01:04 buy 5.00 usdjpy 118.86 118.87 0.00 2007.01.05 15:40 118.91 0.00 0.00 0.00 210.24
9643606 2007.01.05 01:05 sell 5.00 gbpjpy 230.84 230.35 0.00 2007.01.05 01:52 230.23 0.00 0.00 0.00 1 799.71
9643609 2007.01.05 01:05 sell 5.00 chfjpy 96.41 96.33 0.00 2007.01.05 01:53 96.21 0.00 0.00 0.00 842.89
9643617 2007.01.05 01:06 sell 2.00 nzdusd 0.6956 0.6941 0.0000 2007.01.05 01:52 0.6927 0.00 0.00 0.00 1 160.00
9645669 2007.01.05 02:41 sell 5.00 gbpusd 1.9413 1.9431 0.0000 2007.01.05 02:59 1.9411 0.00 0.00 0.00 70.00
9645672 2007.01.05 02:41 sell 5.00 eurusd 1.3086 1.3103 0.0000 2007.01.05 03:19 1.3084 0.00 0.00 0.00 100.00
9661462 2007.01.05 11:19 sell 5.00 gbpusd 1.9417 1.9404 0.0000 2007.01.05 12:25 1.9404 0.00 0.00 0.00 455.00
9661596 2007.01.05 11:22 sell 5.00 eurusd 1.3097 1.3099 0.0000 2007.01.05 13:06 1.3089 0.00 0.00 0.00 400.00
9661817 2007.01.05 11:28 sell 5.00 nzdusd 0.6955 0.6943 0.0000 2007.01.05 13:06 0.6929 0.00 0.00 0.00 2 600.00
9662052 2007.01.05 11:34 buy 5.00 usdnok 6.3320 6.3247 0.0000 2007.01.05 14:30 6.3435 0.00 0.00 0.00 906.44
9669199 2007.01.05 14:32 sell 5.00 gbpusd 1.9307 1.9304 0.0000 2007.01.05 14:54 1.9303 0.00 0.00 0.00 140.00
9670411 2007.01.05 14:41 buy 5.00 usdzar 7.1572 7.1750 0.0000 2007.01.05 14:54 7.1860 0.00 0.00 0.00 2 003.90
9670426 2007.01.05 14:41 buy 5.00 usdnok 6.3732 6.3792 0.0000 2007.01.10 10:28 6.3884 0.00 0.00 32.49 1 189.66
9670496 2007.01.05 14:43 buy 5.00 usdsek 6.9804 6.9735 0.0000 2007.01.05 17:08 6.9831 0.00 0.00 0.00 193.32
9670591 2007.01.05 14:45 sell 5.00 eurusd 1.3003 1.3096 0.0000 2007.01.05 17:02 1.2996 0.00 0.00 0.00 350.00
9670640 2007.01.05 14:45 sell 5.00 chfjpy 95.91 95.91 0.00 2007.01.08 06:37 95.82 0.00 0.00 -25.29 380.20
9670714 2007.01.05 14:46 sell 5.00 gbpjpy 229.20 230.12 0.00 2007.01.05 14:55 229.11 0.00 0.00 0.00 265.42
9670827 2007.01.05 14:48 sell 5.00 eurcad 1.5298 1.5287 0.00 2007.01.05 17:01 1.5280 0.00 0.00 0.00 765.44
9670864 2007.01.05 14:49 buy 5.00 usdchf 1.2385 1.2290 0.0000 2007.01.05 17:08 1.2388 0.00 0.00 0.00 121.08
9671398 2007.01.05 14:58 buy 5.00 usdzar 7.2080 7.2170 0.0000 2007.01.05 15:40 7.2270 0.00 0.00 0.00 1 314.52
9671421 2007.01.05 14:58 sell 5.00 gbpusd 1.9299 1.9285 0.0000 2007.01.05 17:01 1.9281 0.00 0.00 0.00 630.00
9672133 2007.01.05 2007.01.15 15:15 sell 5.00 gbpjpy 229.32 229.01 0.00 2007.01.05 17:01 228.96 0.00 0.00 0.00 1 061.14
9673402 2007.01.05 15:56 buy 5.00 usdjpy 118.88 118.46 0.00 2007.01.09 09:06 118.96 0.00 0.00 118.79 336.25
9673843 2007.01.05 16:10 buy 5.00 usdzar 7.2227 7.2405 0.0000 2007.01.05 17:03 7.2522 0.00 0.00 0.00 2 033.87
9675289 2007.01.05 17:04 sell 5.00 eurusd 1.2985 0.0000 0.0000 2007.01.08 15:02 1.2982 0.00 0.00 17.50 150.00
9677421 2007.01.05 18:17 sell 5.00 gbpusd 1.9308 1.9321 0.0000 2007.01.05 18:54 1.9301 0.00 0.00 0.00 245.00
9677436 2007.01.05 18:18 sell 5.00 eurusd 1.3005 1.3029 0.0000 2007.01.05 18:55 1.3004 0.00 0.00 0.00 50.00
9678313 2007.01.05 18:57 sell 5.00 eurusd 1.3002 1.3043 0.0000 2007.01.08 14:39 1.2993 0.00 0.00 17.50 450.00
9687544 2007.01.08 05:19 sell 5.00 gbpjpy 228.47 228.46 0.00 2007.01.08 06:33 228.46 0.00 0.00 0.00 29.57
9687561 2007.01.08 05:20 buy 5.00 usdzar 7.2510 7.2620 0.0000 2007.01.08 7.2720 0.00 0.00 0.00 1 443.89
9687694 2007.01.08 05:33 sell 5.00 nzdusd 0.6857 0.0000 0.0000 2007.01.08 15:02 0.6856 0.00 0.00 0.00 100.00
9688774 2007.01.08 06:48 sell 5.00 gbpjpy 228.47 228.64 0.00 2007.01.08 06:55 228.41 0.00 0.00 0.00 177.53
9688777 2007.01.08 06:49 sell 5.00 chfjpy 95.80 95.77 0.00 2007.01.08 09:17 95.71 0.00 0.00 0.00 380.62
9688890 2007.01.08 06:55 sell 5.00 gbpjpy 228.33 0.00 0.00 2007.01.08 09:16 228.54 0.00 0.00 0.00 -621.67
9690832 2007.01.08 09:14 buy 5.00 usdsek 6.9663 6.9650 0.0000 2007.01.08 09:16 6.9695 0.00 0.00 0.00 229.57
9692300 2007.01.08 13:53 1.6689 0.00 0.00 0.00 0.00 117.06
9692442 2007.01.08 09:00 buy 5.00 usdzar 7.2935 7.3287 0.0000 2007.01.09 18:07 7.3287 0.00 0.00 -65.21 2 401.91
9693350 2007.01.08 09:22 sell 5.00 chfjpy 95.78 0.00 0.00 2007.01.08 15:02 95.75 0.00 0.00 0.00 126.30
9700846 2007.01.08 13:24 buy 5.00 usdsek 6.9739 6.9719 0.00 00 2007.01.08 14:59 6.9840 0.00 0.00 0.00 723.08
9702315 2007.01.08 14:19 buy 5.00 usdzar 7.2490 7.2528 0.0000 2007.01.08 14:40 7.2627 0.00 0.00 0.00 943.18
9706071 2007.01.08 15:38 buy 5.00 usdsek 6.9764 6.9865 0.0000 2007.01.08 18:53 6.9914 0.00 0.00 0.00 1 072.75
9706077 2007.01.08 15:38 buy 5.00 usdzar 7.2580 7.2665 0.0000 2007.01.09 17:06 7.2765 0.00 0.00 -65.21 1 271.22
9706360 2007.01.08 15:46 sell 5.00 eurusd 1.3006 1.3017 0.0000 2007.01.09 17:09 1.3002 0.00 0.00 19.00 200.00
9706380 2007.01.08 15:46 sell 5.00 eurusd 1.3002 1.2998 0.0000 2007.01.10 07:42 1.2978 0.00 0.00 38.00 1 200.00
9706462 2007.01.08 15:49 sell 5.00 eurusd 1.3003 1.3003 0.0000 2007.01.09 18:05 1.3001 0.00 0.00 19.00 100.00
9756428 2007.01.09 18:41 sell 5.00 gbpjpy 231.22 231.10 0.00 2007.01.10 07:42 230.92 0.00 0.00 -96.40 880.50
9756652 2007.01.09 18:47 sell 5.00 chfjpy 96.03 96.40 0.00 2007.01.10 10:28 95.90 0.00 0.00 -25.98 545.35
9756696 2007.01.09 18:48 buy 5.00 usdzar 7.3312 0.0000 0.0000 2007.01.10 08:36 7.3407 0.00 0.00 -64.73 647.08
9773571 2007.01.10 07:45 sell 5.00 eurusd 1.2975 1.2988 0.0000 2007.01.10 14:40 1.2967 0.00 0.00 0.00 400.00
9780352 2007.01.10 10 10:30 sell 5.00 usdzar 7.3612 0.0000 0.0000 2007.01.10 10 10:48 7.3575 0.00 0.00 0.00 251.44
9780462 2007.01.10 10:33 sell 5.00 usdnok 6.3905 6.3931 0.0000 2007.01.10 10:46 6.3881 0.00 0.00 0.00 187.85
9784050 2007.01.10 12:40 sell 5.00 usdzar 7.3793 0.0000 0.0000 2007.01.10 14:28 7.3705 0.00 0.00 0.00 596.97
0.00 0.00 -1 018.82 101 334.29
Closed P/L: 100 315.47
during this month I have performed 114 trades (almost on all currency pairs),
among them 113 positive, one negative, as a result I have increased my deposit
from $5000 to $100 315 (more than 2000%
I think, this is not a limit!).
Dear experts in mathematical statistics, if you don't mind, please help me to solve this problem correctly.
There is a time series of prices X[i] where i=1,...,N
There is a sample of this series Y[k] where k=i1,i2,...,iM
There are two indicators BR[i](strength of bears) and BL[i] (strength of bulls) defined on the whole number series.
Correspondingly, there are sets of values for each of them on the sample Y[k].
The hypothesis to check and if it is confirmed, determine the statistical validity:
The probability of the price direction from the point Y[k] is determined by the pair of values BR[i] and BL[i].
How it is determined is the next question. Maybe a simple condition BR[i]>BL[i] is enough,
or maybe not. But you can deal with it later.
Or maybe you don't have to deal with it at all ? Maybe on the plane of values (BR,BL)
to determine areas where the statistical superiority of one direction of movement over the other is not less than
a given level ?
All in all I have too many options in my head, which means none of them are correct.
So I would like to know how to correctly set this problem from the point of view of mathematical statistics.
Thanks in advance.
Alex, you've been inspiring me with your results since page 1 of this forum (I've been here since the beginning). At least give me guest access to your trading, I've been asking for it for a long time. I want to touch a miracle. :о)
What miracle. Miracles don't happen!!! :)
It's a long and painstaking research work,
which, unfortunately, is not yet complete.
I decided to take a look at Rich's best result , he took the 1st place https://championship.mql5.com/2012/en .
P.S. It's sad...
I can say that the fact that there is a transformation of one distribution into another is almost a discovery for me! I could not find any explanations in books. Perhaps I searched badly or just in the wrong books? I suspect that it may have something to do with statistical radio engineering, with some sort of filtering of the input signal (data) by a bandpass filter. And here how it could be applied to our quotations you could result any references to the required information since it is rather known thing, but of which I have no idea and consequently have no idea where to look for information about it? Thanks in advance!
About eksel also interesting to know how it is done - conversion of uniform distribution to normal?
PS: http://www.oglibrary.ru/data/demo/3843/38430429.html Here, judging by the description there is something about what is required. But it requires some kind of payment to view the book itself. Can't something be found in the public domain (it's not about money at all, it's about expediency)? Maybe that's not what's required at all???
I can say that, for me, the fact that there is a conversion from one distribution to the other is almost a discovery! I could not find any clear explanations in books. Perhaps I did not look hard enough, or I just looked in the wrong books? I suspect that it may have something to do with statistical radio engineering, with some sort of filtering of the input signal (data) by a bandpass filter. And here how it could be applied to our quotations you could result any references to the required information since it is rather known thing, but of which I have no idea and consequently have no idea where to look for information about it? Thanks in advance!
About eksel also interesting to know how it is done - conversion of uniform distribution to normal?
PS: http://www.oglibrary.ru/data/demo/3843/38430429.html Here, judging by the description there is something about what is required. But it requires some kind of payment to view the book itself. Can't something be found in the public domain (it's not about money at all, it's about expediency)? Maybe that's not what's required at all???
On the subject: http://forex.kbpauk.ru/showflat.php/Cat/0/Number/132669/page/0/fpart/1/vc/1
...And just now I have assembled the first draft of my "astrolabe". Exactly the draft, because I haven't yet introduced all the logic of data processing into the system (4 modules out of 9), and of course, not everything is fine, not all the criteria are optimal and there is a lot of searching and research ahead.
An example of forecast
First tests and first results. The left part of the red vertical line is the data that was selected for analysis. Red marks in the right part are correspondingly the forecasted price values in the new channels.
First results
I have got what I expected. The system is not "wrong" (within accepted limitations, of course) if "similar structures" of future movements exist in the selected history data. If not, it lies, in the most brazen way, but sticks to the "party course"...
Sergey, I'm shocked by what I've seen in the pictures you've shown! If it's not a bug in the code (when a "future bar" is handled secretly), then you've solved the main trading problem.
You have analyzed the hour bars, consequently, the forecasting horizon of your TS is 200-300 hours (see figure), at this lag the instrument volatility is 150-250 pips on average. The error of forecasting does not exceed 20%. From this height, you don't care about spreads, slippages, and, perhaps, the brokerage company itself.
I think you have solved all your problems :-)
Or maybe I do not understand something in these pictures and you are making a one-hour forecast for each current bar? But then the forecast error exceeds 100% and it is not good for anything :-(
Come on, elaborate on the algorithm (within the bounds of decency of course).
to North Wind
If you have materials on Shiryaev and Pastuhov's theses, I'd be grateful if you could share them or give me some links to them.