a trading strategy based on Elliott Wave Theory - page 267
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EUR delta = [ma5(EURUSD) - ma200(EURUSD)]+ [ma(EURUSD) - ma200(EURUSD)]+ ... and so on by currencies
He himself wrote that this transformation corresponds to his sense of the market - he has a point))))) but his transformation does not save the exchange rate as a ratio of currencies, while in my transformation the exchange rate is equal to the ratio of currencies.
Which from general considerations sort of shouldn't be, but is a fact in a real system. It would be interesting to know what anyone thinks about this?
I think I may have roughly solved this problem of "world currency"!!! see fig. let us know at any given moment the exact value of a random variable, for example usd (the red line in fig. corresponds to red line) and several values (3, 10 and 100) of ratio of this variable to another random variable (like eur/usd, usd/gbp... etc.), then having only these ratios we may find an approximate value of "world currency" -usd.
The picture shows how the accuracy of the solution increases with increasing number of instruments, 3, 10 and 100. Knowing the usd, it is not difficult to find the other values: gbp, jpy, etc.
But what is the point of doing this?
I think Vladislav's approach will work quite well for paired indicators, judging by the way 77 (short for Semen Semenych) offers to trade, i.e. construction of a regression channel and entrance at its penetration.
there is a similar thread on the spider
http://forex.kbpauk.ru/showflat.php/Cat/0/Number/121838/an/0/page/0#Post121838
what can i say - the root of the number of currencies, what else can i say))))
and how do you set the initial offset? it cannot be determined from the initial data?
But what's the point?
I think that forex should be analyzed by currencies, not by exchange rates, because currencies are the basic independent elements of forex, i.e. basic. Another thing is that we have to trade at rates.
http://forex.kbpauk.ru/showflat.php/Cat/0/Number/121838/an/0/page/0#Post121838
How do you set the initial offset? Isn't it possible to determine it from the initial data?
Thanks for the link - I'm looking into it. As for the initial shift, it is well defined and equal to the arithmetical mean of expectation of each instrument, and this question has no principle character, because it doesn't matter which level to start forming, for example, USDx index. For the sake of beauty it can be equated to 1. In general, we can see that the comrades are very free in their choice of an additional condition to close the system of equations. For example some people propose to equate the sum of all indices to zero, others propose to equate their product to one (see ref.). What does it follow from? A word of liberty!
Let's see what we have if we use pairs:
1. usd/jpy
2. usd/chf
3. usd/cad
4. gbp/usd
5. eur/usd
6. aud/usd
Solving the system of 6 equations we find the value of USDx. Substituting this value into the fifth equation we find EURx, see figure.
The figure shows eur/usd 1h in green. For comparison, the ratio of indices - EURx/USDx (red line) is shown in the same place. It can be seen that the ratio of approximations coincides well with the real series. The problem is solved.
Well, for example, we calculate a stable channel in the universal currency and find reversal zones. Then we recalculate the channel and the zone on other quotes. We obtain a channel and a zone on each pair, and make a trading decision based on certain conditions. If it suddenly works, it is of direct benefit - an order of magnitude reduction of calculation time. I have my doubts about the validity of this translation, although the idea is interesting.
That's how I understood it too.
The increased predictive ability of the synthetic tool is of interest. The autocorrelation coefficient for ordinary pairs on watchframes is at the level of 1%. It is interesting to estimate it for currency indexes on the same TF:
1. USDx 4%
2. EURx 0.5%
3. CHFx 0.5%
4. GBPx 0.0003%
5. CADx -0.05%
6. AUDx -0.05%
In general, without claiming to be true, I can responsibly say that it is all bullshit. Really having less than a percent of forecast reliability, you can safely forget about it all!
That's exactly how I understood it too.
The increased predictive ability of the synthetic tool is of interest. The autocorrelation coefficient for ordinary pairs on the watchframe is at 1%. It is interesting to estimate it for currency indexes on the same TF:
1. USDx 4%
2. EURx 0.5%
3. CHFx 0.5%
4. GBPx 0.0003%.
5. CADx -0.05% 4.
6. AUDx -0.05% 6.
In general, without claiming to be true, I can responsibly say that it's all rubbish. Really having less than a percent of forecast reliability, you can safely forget about it all!
In general, I share your opinion. Small experiments showed that it turns out to be something rubbish.
Moreover, the very possibility of creating such a global currency is questionable. And the approach to it, as an index (in my understanding it is a big difference) or an integral indicator, will simply "kill" the information about currency pairs (After yesterday's beer, I can hardly express my thoughts). At least the channel recalculation showed really bullshit.
All the criteria for identifying trends are off the charts here. Here they are in pure form - even with a 1:1 leverage we have 40-50% per annum, taking into account the negative swap!
It looks nice, but for sure it should collapse in speed, by the way, it seems to have fallen recently.
PS: I will add though. The idea of getting into the long for five years has been visiting me for a long time. :о)
A long time ago ("trading strategy based on Elliot Wave Theory") I published my results on the Hearst index. I used such terms as structure, structure repeatability. After all, if you look closely, these structures do repeat. Somewhere at that time appeared the first ideas about how to model the trajectory of price movement. Finally, the first "stable" results based on wavelets. If you look at the picture, you will immediately understand why it is in inverted commas. It's the same for me - forecasting (H+L)/2 on hours, eurusd currency (I remember about others, but there are the same results). Channels are not shown, because matcad is good for everything, but not for huge amount of different graphical objects. I'm thinking what to use as an alternative for charts (the calculation itself is in matcad). Who works with it, he will understand. Well, it's not bubbling formula squares, and there are restrictions :o))
Black dots - fact, red dots - modeling price trajectory. It is noticeable that the red dots do not start from zero. This is precisely the mapping of the "dead zone" in the past to the future. In other words, I know nothing about it.
But I am not giving up hope. If you look closely, you can see that there are small shifts (well, not so small shifts, but not very big), and I struggle with them. In the end, however, it all tends to come undone. :о)